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Cant' get high VARMAX orders from AutoTS #77
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Yep, it is hard-coded that way. Why? Because higher orders get really slow, and because I didn't notice any series actually benefiting from that slowdown (vs using faster models of other kinds that were also more accurate). You can of course do it manually with statsmodels VARMAX directly, or even from the VARMAX class here directly. I can add higher orders in (with a low probability of choice) if you think it would be useful. I'd probably throw in a value of 7. Are there any orders in particular you think would be useful? |
Ok thank you ! |
To answer the first part of your question is a bit of a long explanation. The random choice is part of the genetic algorithm, which also combines previous models (a random article I grabbed on that from google, here). Yes, the model orders can be repeated, but they'll be paired with new Transformations - true duplicates are removed and not run. I've thrown a 7th order in as an option (with low probability) that will be in the next version 0.3.3 which will be out in... a week maybe? Here's the hack for getting in parameter values that aren't normally allowed:
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Ok, Thank you for the explanation and the smart hack I'll work with that until the next version ! |
No matter the value that I set in max_generations arg, the orders of VARMAX that I get are always between 0 and 2.
Is there is any way to make AutoTS tries higher orders for VARIMAX models ?
I tried various parameters with AutoTS, here is an example of how I create a model and fit it.
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