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It depends. What are you forecasting and what are the data's characteristics?

Without knowing about that, here are some quick pointers:

  • Auto-Regression:
    -- Y/N and N lags
    -- Hidden layers: Y/N and N layers
  • (Trend: N changepoints)
  • (Seasonality: daily/weekly/yearly/other)
  • (Holidays: which county)
  • Any future regressors?
  • any lagged regressors? (if so, hidden layers?)

Hyperparameters should be tuned if hidden layers (NN used):

  • learning rate
  • (epochs, batch size)

Further, if you have a panel dataset - you can train one global model with shared weights across all or train one model per time-series.

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Answer selected by ourownstory
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