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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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Add the possibility to select AR lags #85

Closed antoinecarme closed 2 years ago

antoinecarme commented 6 years ago

Many possibilities :

  1. Seasonal AR : lags depend on the underlying seasonality of the signal (monthly -> lag12, lag24, lag36 etc)
  2. Allow the user to select a set of lags (full customization, business friendly, generic)
  3. Time resolution-based lags by default : for an hourly signal , lags = range(1,24), for a daily : lags = range(1, 31), etc
  4. feature selection.
  5. etc ...

Reducing lags not only improves interpretability of the model/forecast, but it also speeds up the modeling process.

antoinecarme commented 2 years ago

Too old. Closing.