Seasonal Decomposition for Multivariate time series
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I fit seasonal detector and transformer to a multivariate time series following the documentation.
https://adtk.readthedocs.io/en/stable/notebooks/demo.html#SeasonalAD
When I fit a pandas Dataframe with several columns (multivariate time series) to these detector/transformer, the seasonal_ component does not exist anymore.
Would it be possible to get a seasonal_ dataframe in that case ?
@nbrosse Right now there is no pretty way to do so. Maybe something in the future.
When a univariate model is applied to a multivariate series, what happens behind the scene is a list of models is initiated and each is assigned to a channel. You may access all models on the backend by _models attribute of your model. For each model in that list, I think you can get seasonal_. Let me know if that works.