Minimal example of data setup for running DeepAR on multiple simultaneous related timeseries

deepar_multivar_ex.py

## first cat : 2 individual, 0 or 1
## second cat: 2 vars, 0 or 1

freq = "5min"
prediction_length = 10
context_length = 20

feat_00 = list( np.random.randn( 300 ) )
feat_01 = list( np.random.randn( 300 ) )
feat_10 = list( np.random.randn( 300 ) )
feat_11 = list( np.random.randn( 300 ) )

training_data = [
    {"start":str(start), "target":feat_00, "cat":[0,0], "dynamic_feat":[feat_01,feat_10,feat_11]},
    {"start":str(start), "target":feat_01, "cat":[0,1], "dynamic_feat":[feat_00,feat_10,feat_11]},
    {"start":str(start), "target":feat_10, "cat":[1,0], "dynamic_feat":[feat_00,feat_10,feat_11]},
    {"start":str(start), "target":feat_11, "cat":[1,1], "dynamic_feat":[feat_00,feat_01,feat_10]},
]