SARIMAX models are promising. In this issue we implement and test fancier versions.
Generally, how:
Extend for inputs beyond than traditional SARIMAX intent, either as part of exogenous variables "X" or my own formulation:
For "AR" inputs: include non-close values of the feed to predict, and other feeds (x2, x3, x4, ..). I should be able to specify a lower max order for the non-prediction feeds
For "I" inputs: include ""
For "S" inputs: include ""
For "MA" inputs: use real past prediction errors, vs an MLE estimator to get them
trentmc
commented
3 months ago
Background / motivation
Parent epic: #1006 "Explore SARIMAX modeling"
SARIMAX models are promising. In this issue we implement and test fancier versions.
Generally, how:
Pre-requisite
#1118 "[Aimodel] Add simple SARIMAX aimodels, test, iterate"
TODOs