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JuliaDynamics / ARFIMA.jl

Simulate stochastic timeseries that follow ARFIMA, ARMA, ARIMA, AR, etc. processes
MIT License
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SARIMAX #7

Open detrin opened 11 months ago

detrin commented 11 months ago

Hello,

would you be open on adding X into SARIMA model to get also SARIMAX? The only option as of now is statsmodels in python. I don't count using R as an option. https://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.sarimax.SARIMAX.html Which is alright, but it is terribly slow, because the whole implementation is just in python. I was thinking about writing SARIMAX from scratch in rust language, but that would be indeed nontrivial amount of work. I found your package and it looks very well, except missing the input for exogenous variables.

image Source: https://towardsdatascience.com/time-series-forecasting-with-arima-sarima-and-sarimax-ee61099e78f6

Would you be open to this feature?

detrin commented 11 months ago

Plus there is probably no seasonal component, I am not sure about that.

Datseris commented 11 months ago

if you can put in a PR together that is non-breaking with respect to current api that's totally fine. If its breaking just increment version in Project.toml

detrin commented 11 months ago

if you can put in a PR together that is non-breaking with respect to current api that's totally fine. If its breaking just increment version in Project.toml

I will consider this option, thanks for the response.

gvdr commented 9 months ago

if you can put in a PR together that is non-breaking with respect to current api that's totally fine. If its breaking just increment version in Project.toml

I will consider this option, thanks for the response.

For the time being, you can take a look at https://github.com/Baffelan/Stranbo.jl

Would be keen to benchmark it against the python version.