[AutoCES] Add external regressors support

[juanitorduz]

Description

Id woulr be great to allow AutoCES support external regressors.According to the paper in the doc strings https://onlinelibrary.wiley.com/doi/full/10.1002/nav.22074 it is possible:

The state space form (8) permits extending CES in a similar ways to ETS to include additional states for seasonality or exogenous variables.

[juanitorduz]

BTW I wanted to join the Slack channel to ask the question, but I need a Nixtla email (🙈 ). Can you open this to the public eventually?

[jmoralez]

Hey @juanitorduz, thanks for raising this. We're going to do just that in the following weeks (adding the extra column). I believe this is the same as #669.

Which link did you use to join the slack? It should be open for everyone.

[juanitorduz]

When creating an issue and trying > Ask a question or get support

[juanitorduz]

But also, does AutoCES support external regressors? 🤗

[jmoralez]

Can you try this one: https://join.slack.com/t/nixtlaworkspace/shared_invite/zt-135dssye9-fWTzMpv2WBthq8NK0Yvu6A?

does AutoCES support external regressors?

Not at the moment, sorry. I think we can turn this issue into a feature request for that.

[juanitorduz]

Thanks! I just changed the description!

[GGA-PERSO]

hello @jmoralez @mergenthaler

What is the list of models supporting exogenous regressors ?
I thought it was only Arima ?

Thank you in advance for the clarification

[jmoralez]

Hey @GGA-PERSO. Yes, it's only ARIMA and AutoRegressive, so if you use one of those as the trend forecaster for MSTL it can use exogenous features.