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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
1.59k stars 234 forks source link

Support `simulate` after fitting with `auto_arima` #469

Open nicolaschapados opened 2 years ago

nicolaschapados commented 2 years ago

Is your feature request related to a problem? Please describe.

It would be nice to directly support simulating from a fitted ARIMA model, e.g. to have a simulate method to call that would delegate to statsmodels.tsa.arima.model.ARIMA.simulate. Right now, the only way I found is to use arima_res_ member of the fitted object.

Describe the solution you'd like

Class pmdarima.arima.arima.ARIMA should contain a simulate method, with the same signature as provided by the statsmodels.tsa models.

Describe alternatives you've considered

Calling with the arima_res_ member, but in addition to lacking documentation, this feels more fragile than first-party support.

Additional Context

No response

tgsmith61591 commented 2 years ago

Thanks for the issue! This seems very reasonable. Would you be interested in contributing the feature?

I agree calling with the arima_res_ is not ideal, but it's a good work-around for now. There are no plans for the arima_res_ member to change or disappear in the future.

nilesh05apr commented 2 years ago

Hey! is this feature added? I have worked on ARIMA for one of my recent projects. I would love to contribute to this feature.

akhil14shukla commented 2 years ago

Hey @tgsmith61591 , if this issue is still up, I would like to start working on this..