-
Notifications
You must be signed in to change notification settings - Fork 208
[ENH] Add Basic ARIMA model #2860
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
base: main
Are you sure you want to change the base?
Conversation
…oducing the expected results
Thank you for contributing to
|
There was a problem hiding this comment.
Choose a reason for hiding this comment
The reason will be displayed to describe this comment to others. Learn more.
good start, some tidying up needed and we should think about utils structure
…bool, and fix bug with it not operating on differemced data
There was a problem hiding this comment.
Choose a reason for hiding this comment
The reason will be displayed to describe this comment to others. Learn more.
this will need some testing, esp for _calc_arima.
Actually think _calc_arima hould be called _arma_forecast, and might need refactoring for easier use with predict
…e without refitting the model
…into arb/base_arima
Reference Issues/PRs
Split out of #2828
Basis for #2838
What does this implement/fix? Explain your changes.
Adds basic ARIMA forecaster, which fits phi, theta (and optionally c) parameters, but takes in the model to use e.g. ARIMA(p,d,q) and an option to include a constant term.
Does your contribution introduce a new dependency? If yes, which one?
No
Any other comments?
PR checklist
For all contributions
For new estimators and functions
__maintainer__
at the top of relevant files and want to be contacted regarding its maintenance. Unmaintained files may be removed. This is for the full file, and you should not add yourself if you are just making minor changes or do not want to help maintain its contents.For developers with write access