Pre-optimization for ARIMAX + ARMA models

RJT1990 / pyflux

Open source time series library for Python

BSD 3-Clause "New" or "Revised" License

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Pre-optimization for ARIMAX + ARMA models #45

Closed RJT1990 closed 7 years ago

RJT1990 commented 7 years ago

ARIMAX models in particular need better initialization.

RJT1990 commented 7 years ago

On further investigation, issue may be related to the choice of optimization parameters for Scipy's L-BFGS routine. Now going to try and reduce the tolerance threshold to see the effects.