[New model] SARIMAX from statsmodels

[sotte]

Darts already wraps ARIMA from statsmodels. It would be great if it also supported SARIMAX to make it easy to incorporate exogenous data.

https://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.sarimax.SARIMAX.html?highlight=sarimax

[hrzn]

Hi @sotte, thank you for this suggestion. In fact, we are indeed wrapping over statsmodels' ARIMA, which also can take in an exogenous component, corresponding to SARIMAX. In Darts, you can already now provide a future_covariates series to specify this exogenous component.

Now, I'm note quite sure whether this results as precisely the same model as this one. That would require a little investigation...