# VEST: Automatic Feature Engineering for Forecasting

arXiv: https://arxiv.org/abs/2010.07137 · HTML: https://mlsanity.com/paper/2010.07137/

## Key facts

- Cited by 14 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 14 Oct 2020.

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## Abstract (arXiv)

Time series forecasting is a challenging task with applications in a wide range of domains. Auto-regression is one of the most common approaches to address these problems. Accordingly, observations are modelled by multiple regression using their past lags as predictor variables. We investigate the extension of auto-regressive processes using statistics which summarise the recent past dynamics of time series. The result of our research is a novel framework called VEST, designed to perform feature engineering using univariate and numeric time series automatically. The proposed approach works in three main steps. First, recent observations are mapped onto different representations. Second, each representation is summarised by statistical functions. Finally, a filter is applied for feature selection. We discovered that combining the features generated by VEST with auto-regression significantly improves forecasting performance. We provide evidence using 90 time series with high sampling frequency. VEST is publicly available online.