Multivariate regression

[raul-parada]

Hi,

Is there an example on how to predict multiple variables? From several inputs (5) predict two of them. Thanks

[nils-braun]

I assume you are looking for feature selection?
We do not have an example for this use-case, but you might be able to re-use the concepts describe in https://github.com/blue-yonder/tsfresh/blob/main/notebooks/04%20Multiclass%20Selection%20Example.ipynb: extract features on the full data and then select features first for the first target, then for the second and then combine the selected features.