Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

[MRG+1] SARIMAX only #219

Merged
merged 7 commits into from
Nov 18, 2019
Merged

[MRG+1] SARIMAX only #219

merged 7 commits into from
Nov 18, 2019

Conversation

tgsmith61591
Copy link
Member

Description

This fixes #211 by updating our ARIMA class to only use the statsmodels SARIMAX under the hood, per the thread here: statsmodels/statsmodels#6225 (comment)

It should not cause any breaking changes, though it will yield very slightly different results for some parameter combinations. It also will yield two new warnings for explicitly setting the old default values to some hyper-parameters.

Type of change

Please delete options that are not relevant.

  • Bug fix (non-breaking change which fixes an issue)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (only in the sense that existing models may yield very slight differences in parameters)
  • Documentation change

How Has This Been Tested?

All existing tests pass (with minor updates where required), and parity with R package functionality is the same as before.

Checklist:

  • I have performed a self-review of my own code
  • I have commented my code, particularly in hard-to-understand areas
  • I have made corresponding changes to the documentation
  • My changes generate no new warnings
  • I have added tests that prove my fix is effective or that my feature works
  • New and existing unit tests pass locally with my changes

@aaronreidsmith aaronreidsmith changed the title [MRG] SARIMAX only [MRG+1] SARIMAX only Nov 15, 2019
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

always use SARIMAX instead of ARIMA, it is deprecated
2 participants