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microsoft / finnts

Microsoft Finance Time Series Forecasting Framework (FinnTS) is a forecasting package that utilizes cutting-edge time series forecasting and parallelization on the cloud to produce accurate forecasts for financial data.
https://microsoft.github.io/finnts
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ARIMAX Implementation #142

Closed taixhi closed 10 months ago

taixhi commented 11 months ago

Implements new ARIMAX model, which often improves ARIMA when there is strong weekly/monthly seasonality. Attached is an example comparison between ARIMA and ARIMAX trained on the same data. 7b9967b5-e7dd-4010-a910-924bbb5ea21b

taixhi commented 10 months ago

Made the changes, thank you Mike.