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## ENV
- Python 2.7
- np.**version**: 1.11.0
- pd.**version**: 0.18.0
- scipy.**version**: 0.17.0
- matplotlib.**version**: 1.3.1
- statsmodels.**version**: 0.5.0
## WHERE
I tried the [ARMA code](ht…
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### Describe the feature or idea you want to propose
To kick off the review of forecasting and hopeful eventual move away from huge collections of wrappers, I will audit the current state of foreca…
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It would be nice to add support for getting filtered output for new observations in state space models (see e.g. https://github.com/statsmodels/statsmodels/issues/2788#issuecomment-354781682). Presuma…
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Collection of follow-ups to #5827. These can/should be broken out into individual PRs. Many are relatively straightforward and would make a good first PR.
### General
- [x] Documentation (none w…
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Code to reproduce:
```python3
from sklearn.linear_model import LinearRegression
from sktime.datasets import load_longley
from sktime.forecasting.base import ForecastingHorizon
from sktime.forec…
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Hi,
Is there a way to pass a specific seasonal ARMA order to x13_arima_analysis rather than it examining the "maxorder" tuple for model identification.
Lets say, I want to pass the following SARIMA …
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#### Describe the bug
Cannot predict after SARIMAXResults `remove_data` method called. As an example, for my project the statsmodel results object is ~2 Gb and `remove_data` reduced this to ~200 Mb…
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### Describe the bug
I have run this code locally and it has worked, but when I run it on colab I face a value error
### To Reproduce
import pandas as pd
from pmdarima import pipeline
from pmdari…
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We should interface `AutoReg` and `SARIMAX` from `statsmodels` as forecasters.
- [x] `SARIMAX`
- [x] `AutoReg`
SARIMAX is currently not available in `sktime`, so having it would be nice.
`Au…
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### Describe the bug
auto_arima is returning constant predictions when data is too small., i.e., close to zero
Initially, I generated a linear trendy time series with slope 0.5 and intercept 100, …