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antoinecarme / pyaf

PyAF is an Open Source Python library for Automatic Time Series Forecasting built on top of popular pydata modules.
BSD 3-Clause "New" or "Revised" License
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Investigate TSMARS Models #215

Open antoinecarme opened 2 years ago

antoinecarme commented 2 years ago

TSMars is an application of MARS regression (Multivariate adaptive regression spline) models to Time Seris Forecasting.

https://en.wikipedia.org/wiki/Multivariate_adaptive_regression_spline

antoinecarme commented 2 years ago

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antoinecarme commented 2 years ago

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antoinecarme commented 2 years ago

Avoid reinventing the wheel.

Is there already a decent python implementation ?

antoinecarme commented 2 years ago

Impact on PyAF : MARS and MARSX models.

antoinecarme commented 2 years ago

Good reference :

Elements of Nonlinear Time Series Analysis and Forecasting

Authors: Jan G. De Gooijer

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https://link.springer.com/book/10.1007/978-3-319-43252-6

antoinecarme commented 2 years ago

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antoinecarme commented 2 years ago

An interesting python implementation to be tested :

https://github.com/scikit-learn-contrib/py-earth By Jason Rudy (@jcrudy)

A Python implementation of Jerome Friedman's Multivariate Adaptive Regression Splines algorithm, in the style of scikit-learn. The py-earth package implements Multivariate Adaptive Regression Splines using Cython and provides an interface that is compatible with scikit-learn's Estimator, Predictor, Transformer, and Model interfaces. For more information about Multivariate Adaptive Regression Splines, see the references below.