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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
1.57k stars 231 forks source link

regularizing autoArima model #185

Closed fissehab closed 4 years ago

fissehab commented 5 years ago

I am fitting regression with ARIMA errors using auto.arima. Since I suspect the models could be over-fit, I want to use regularization with it. Is it possible to implement lasso or elastic net regularization ?

tgsmith61591 commented 4 years ago

Unfortunately this is not possible. We use stats models under the hood and to the best of my efforts to read into this, they don't allow it. I found an interesting answer on stack exchange about this, but it's not something we'll support in the foreseeable future.