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Consolidate R methods #3099

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lostella opened this issue Jan 4, 2024 · 4 comments
Open

Consolidate R methods #3099

lostella opened this issue Jan 4, 2024 · 4 comments
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enhancement New feature or request

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@lostella
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lostella commented Jan 4, 2024

There are currently three versions of ARIMA methods:

  • vanilla
  • with seasonal features
  • with custom dynamic features and optionally sesasonal ones

The latter requires special handling in the Python wrapper class, and is currently failing some test.

We should probably consolidate how features are handled, and have a single ARIMA method. For example: doing all feature preprocessing (including constructing seasonal features) in Python rather than R, and keep the R code as a very thin interface layer.
@lostella lostella added the enhancement New feature or request label Jan 4, 2024
@gmcaixeta
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gmcaixeta commented Jan 9, 2024 •
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Wouldn't it be worth using the auto-arima from the statsforecast nixtla library which was implemented in python ?
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@melopeo
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melopeo commented Jan 10, 2024

@gmcaixeta I might be mistaken, but I think it is already available here: https://github.com/awslabs/gluonts/blob/dev/src/gluonts/ext/statsforecast.py#L159

@gmcaixeta
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@melopeo Sorry, my mistake.

@lostella lostella added this to the v0.15 milestone Jan 12, 2024
@lostella
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Link to more recent R test failure (log linked in OP has expired): https://github.com/awslabs/gluonts/actions/runs/9176392521/job/25231547428

@lostella lostella removed this from the v0.15 milestone May 24, 2024
@lostella lostella mentioned this issue May 27, 2024
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lostella added a commit that referenced this issue May 27, 2024
@lostella
Tests: xfail test for fourier.arima.xreg (#3182)
56fd7af 
*Issue #, if available:* See also #3099 


By submitting this pull request, I confirm that you can use, modify,
copy, and redistribute this contribution, under the terms of your
choice.


**Please tag this pr with at least one of these labels to make our
release process faster:** BREAKING, new feature, bug fix, other change,
dev setup
robert501128 pushed a commit to robert501128/gluonts that referenced this issue May 27, 2024
@lostella @robert501128
Tests: xfail test for fourier.arima.xreg (awslabs#3182)
7a2b7dc 
*Issue #, if available:* See also awslabs#3099 


By submitting this pull request, I confirm that you can use, modify,
copy, and redistribute this contribution, under the terms of your
choice.


**Please tag this pr with at least one of these labels to make our
release process faster:** BREAKING, new feature, bug fix, other change,
dev setup
kashif pushed a commit to kashif/gluon-ts that referenced this issue Jun 15, 2024
@lostella @kashif
Tests: xfail test for fourier.arima.xreg (awslabs#3182)
ccb48cc 
*Issue #, if available:* See also awslabs#3099 


By submitting this pull request, I confirm that you can use, modify,
copy, and redistribute this contribution, under the terms of your
choice.


**Please tag this pr with at least one of these labels to make our
release process faster:** BREAKING, new feature, bug fix, other change,
dev setup
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@lostella @melopeo @gmcaixeta