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A nice extension to the ARIMAX fit functionality would be to be able to choose a non-Gaussian distribution for the innovations (for example a t-distribution).
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### Describe the bug
Pasting some breaking code, reduced from `sktime` code posted there by @garrus990, here: https://github.com/alan-turing-institute/sktime/issues/1871
A seemingly innocuous appl…
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Here is a brief overview (which should be extended for the documentation)
## continuous response
- continuous response on real line
- linear models OLS, WLS
- generalized linear models GLM wi…
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This library achieves very high success rates, though it takes a very long time to optimize and train. This could be improved if we could figure out a way to utilize the GPU more during optimization/t…
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**Describe the bug**
A forecaster which contains a transformer for both X and Y and converts series to panel, cannot be used.
**To Reproduce**
```python
from sktime.datasets import load_airline
…
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## Background
- 월 별 평균으로 시계열 분석 -> STL을 다른 모델의 가중치로 활용해도 좋을 듯
자체로 활용하기엔 데이터의 개수가 매우 적음(대략 50개)
따라서 일별 평균으로 분석해보기(1000개 정도 됨)
- 걱정되는 건 매일 거래량이 다름... 거래 위치도 다름....
-> 다른 변수의 영향을 반영하기 위해 SARIMAX …
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I'm trying to merge some redundant and confusing-to-me bits of ar_model, arima_model, and var_model. First a question that should be easy:
AR.fit and ARIMA.fit each take a `method` argument. `met…
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example `if type(corr1) == np.ndarray:`
should either use `is` or `isinstance`.
Most likely we want `is` in those cases, i.e. rule out subclasses of ndarray (which might not have compatible behavior…
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https://github.com/statsmodels/statsmodels/issues/4597#issuecomment-386888049
GLM Binomial attaches a transformed endog to the model. This means that we cannot use our standard pattern for recreati…
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Hi,
First of all thanks for putting this ARIMA summary online.
Second, I have a question. How would someone make predictions on the future (test set) if observed data are still unknown (NaN). Here is…