How to auto-discover a lagging of time-series data in scikit-learn and classify using time-series data
No. there is not a way, in Python, using sci-kit, to automatically lag all of these time-series to find what time-series (if any) tend to lag other data. You'll have to write some code.
I currently have a giant time-series array with times-series data of multiple securities and economic statistics.
I've already written a function to classify the data, using sci-kit learn, but the function only uses non-lagged time-series data.
Is there a way, in Python, using sci-kit, to automatically lag all of these time-series to find what time-series (if any) tend to lag other data?
I'm working on creating a model using historic data to predict future performance.