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I'm doing Long-Short-Term-Memory (LSTM) to forecast time series. I was wondering, could we add x-reg part to an LSTM model? Like adding an X-Reg part to and ARIMA model?
Say I have a response monthly time series y (for about 10~20 years observation). And say I have about 400 signals (predictor time series). Should I do feature-selection and regression first and then use LSTM to model the residuals?
Or is this the wrong way to add predictors to LSTM?