Data & drivers

Covariate

Also called exogenous variable

A covariate is an extra series the forecast is allowed to see besides the target — price, promo, weather, spend. It only helps if you will have it (or a forecast of it) at prediction time.

The target's past explains a lot. Covariates explain the leftovers: why this Thursday was not like last Thursday. A promo flag with depth will do more than twenty vague 'campaign' tags.

Future covariates are a contract. If you use tomorrow's actual temperature, you cheated. If you use a weather forecast available this morning, you played fair. Write that down or the next person will cheat by accident.

More columns are not more wisdom. Each extra series is a chance to overfit last quarter's accident. Add them one at a time and keep the ones that move the backtest.