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alkaline-ml / pmdarima

A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.
https://www.alkaline-ml.com/pmdarima
MIT License
1.58k stars 234 forks source link

Feature Request: Bayesian Optimization #115

Closed rohan-gt closed 5 years ago

rohan-gt commented 5 years ago

Can the hyperparameters of auto-ARIMA be optimized by Bayesian optimization using packages like Hyperopt for faster modelling?

tgsmith61591 commented 5 years ago

This is one I'll have to think on for a while. As it currently stands, you couldn't easily sub in a new backend seamlessly, but that's because that was the behavior R's auto.arima set as precedent. I'm not saying that's the only way, or the proper way, just explaining why it is the way it is.

That said, if hyperopt or other hyper-param search methods can be shown to out-perform the stepwise algorithm that Hyndman laid out, then I think it's worth including for sure.

I'm going to mark this as backlog for now, since I think it's more of a convenience feature than anything else.

tgsmith61591 commented 5 years ago

I'm going to close this since I don't see it as being very high priority. If anyone ever wants to take a crack at it, feel free to comment as such.