

TITLE
Time Series Transformer - Dynamic Categorical Features

COMMENTS
3

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### Feature request

I would like to have a Dynamic Categorical Feature Embedding option in TimeSeriesTransformerConfig 

### Motivation

I didn't see any option in the TimeSeriesTransformerConfig where I could define an embedding of a Dynamic Categorical Feature. I'm working with sales data and holiday is an important element of sales, so all of my models handle the holidays with a dynamic embedding. Is it the case in Time Series Transformer too, and I'm just missing something?

### Your contribution

Happy to help, but would need some guidance on how it's handled currently.