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It would be useful to be able to specify the simulated innovations. Often I'm combining ARIMA models for some variables with different models for others and using a copula framework to simulated the …
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Instead of using the SARIMAX model's predictions to be fed as a feature / observation into the agent at every time step, maybe using the predictions of a separately trained LSTM may perform better. I'…
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I'm currently doing some forecasting on daily data and I was wondering whether is there a problem whenever i add exogenous variables (like the day of the week or month of the year) provided as one-ho…
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Relevant topics can be stationarity, de-seasonalizing, de-trending, AR, MA, forecasting
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Hi, proffessor.
Is there any plan to add Li-Mak test for residual from arch model. I only found this test usable in R [WeightedPortTest](https://github.com/cran/WeightedPortTest), hope you can add it…
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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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I am getting a "ValueError: Non-stationary starting autoregressive parameters found with `enforce_stationarity` set to True." error when doing the feature extraction step(get_feature_SARIMA_residuals …
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Make improvements and fixes on past modules according to the provided feedback.
* Implement up to SARIMAX for arima module
* Fix plotting related issues
* Implement auto seasonality period detect…
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I've been working with the following pandas data-frame (named 'ts') for some time now:
```
ds y
0 2020-01-31 -10
1 2020-02-29 -15
2 2020-03-31 -293
3 2020-04-30 -75
4 2020-05-31 -187
5 2020…
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1. How exactly ts_forecast + lgb/ xgboost works? I looked it up in code seems it leverage https://hcrystalball.readthedocs.io/en/latest/, is there a documentation that introduce exactly what each para…