Exogenous Variables

anomaly_flags: bool = Field(default=False, description='Add anomaly indicator column')

changepoint_flags: bool = Field(default=False, description='Add changepoint indicator column')

correlated: list[CorrelatedExogConfig] = Field(default_factory=list, description='Correlated exogenous variables to generate')

datetime_cyclical: bool = Field(default=False, description='Add sin/cos cyclical encodings')

datetime_features: bool = Field(default=False, description='Add calendar features')

missing_flags: bool = Field(default=False, description='Add missing data indicator column')

model_config = ConfigDict(extra='forbid')

validate_unique_names()

correlation: float = Field(default=0.7, ge=(-1), le=1, description='Target correlation with the series')

lag: int = Field(default=1, ge=1, description='Lag for lagged_copy method')

method: Literal['correlated_noise', 'lagged_copy', 'trend_following'] = Field(default='correlated_noise', description='Method for generating correlated exogenous')

model_config = ConfigDict(extra='forbid')

name: str = Field(..., description='Column name for this exogenous variable')

noise_std: float = Field(default=0.1, ge=0, description='Noise std for lagged_copy method')

smoothing_window: int = Field(default=10, ge=1, description='Window size for trend_following method')

trend_noise_std: float = Field(default=0.1, ge=0, description='Noise std for trend_following method')