I have time series data sampled every 10 seconds. I want to predict a target variable ???? for 5 steps ahead using the input variable at the current time along with 10 past lags. My problem is that there is an unobserved hidden variable affecting the target variable ????. How can I infer this hidden unobserved variable and improve my predictions?
I want to use Python for coding.
I used theano and arviz. But I’m not sure about the correct methodology.
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