Is your feature request related to a current problem? Please describe.
It is currently a bit cumbersome to evaluate both multi- and univariate models in a single setting. Suppose we have one/many multivariate time series at hand and want to forecast with a multivariate model and also with (a collection of) univariate ones, per variate independently. We currently need to maintain a list of this ourselves and if we are looking at a univarite model, loop over the variates.
Describe proposed solution
A wrapper around univariate models that applies fit()/predict()/... to the wrapped models, each per variate and else forwards most properties.
Describe potential alternatives
Have users implement it each time again.
Additional context
This is especially important if one wants to see how relvant the dynamics between multiple variates are. Related to #1844.
Is your feature request related to a current problem? Please describe.
It is currently a bit cumbersome to evaluate both multi- and univariate models in a single setting. Suppose we have one/many multivariate time series at hand and want to forecast with a multivariate model and also with (a collection of) univariate ones, per variate independently. We currently need to maintain a list of this ourselves and if we are looking at a univarite model, loop over the variates.
Describe proposed solution
A wrapper around univariate models that applies
fit()/predict()/... to the wrapped models, each per variate and else forwards most properties.Describe potential alternatives
Have users implement it each time again.
Additional context
This is especially important if one wants to see how relvant the dynamics between multiple variates are. Related to #1844.