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JoaquinAmatRodrigo / skforecast

Time series forecasting with machine learning models
https://skforecast.org
BSD 3-Clause "New" or "Revised" License
1.07k stars 123 forks source link

Replace, or complement, `pmdarima` with `statsforecast.AutoARIMA` #378

Open astrojuanlu opened 1 year ago

astrojuanlu commented 1 year ago

The Nixtla folks claim that their statsforecast.AutoARIMA is faster than pmdarima and prophet:

image

(source)

This is the API: https://nixtla.github.io/statsforecast/models.html#autoarima-1

My understanding is that both pmdarima and statsforecast implement 2008 Hyndman & Khandakar "Automatic Time Series Forecasting: The forecast Package for R".

Paging @mergenthaler, @FedericoGarza, and @kdgutier 👋🏽😊

JoaquinAmatRodrigo commented 1 year ago

The ARIMA implementation in statsforecast looks amazing. @JavierEscobarOrtiz let's see how we could fit it in the skforecast API.

https://nixtla.github.io/statsforecast/models.html#arima-1