Approaching Time-Series with a Tree-based Model

Predict the future — generic data transformation and feature engineering basics

In this article, I’m going to show a generic way how to approach a time-series prediction problem with a machine learning model. I’m using a tree-based model LightGBM as an example here, but practically it could be almost any classical machine learning model, including linear regression or some other. I’ll cover needed data transformation, basic feature engineering and, modeling itself.