CrostonModel

[Mr-Geekman]

Issue by Mr-Geekman
Monday Jul 17, 2023 at 13:57 GMT
Originally opened as tinkoff-ai#1317

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🚀 Feature Request

Add model based on Croston's method for intermittent demand.

We could also try to implement some variations of this method.

Proposal

Add CrostonModel.

• It could be implemeted as per-segment model using BaseAdapter and PerSegmentModelMixin (look at ProphetModel for reference)
• It could be implemented as NonPredictionIntervalContextIgnorantAbstractModel that saves the answer during the fit
• During fit it should raise a warning that it doesn't work with exogenous features, look at SeasonalMovingAverageModel

References:

• 12.2 Time series of counts
• Stochastic models underlying Croston’s method for intermittent demand forecasting
• Forecasting and Stock Control for Intermittent Demands.

To discuss:

• Should it be our own implementation or some external package can be used (statsforecast for example)
  • We should try to make our own implementation

Test cases

• Tests for the model itself
• Inference tests in tests/test_models/test_inference/.

Additional context

No response