[FEA] Add alternative seasonality tests for auto-ARIMA

rapidsai / cuml

cuML - RAPIDS Machine Learning Library

https://docs.rapids.ai/api/cuml/stable/

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[FEA] Add alternative seasonality tests for auto-ARIMA #2234

Open Nyrio opened 4 years ago

Nyrio commented 4 years ago

The initial auto-ARIMA PR introduces the Wang, Smith & Hyndman's test to decide whether seasonal differencing is needed.

In the future it would also be nice to have other options such as:

CH (Canova & Hansen, 1995)
OCSB (Osborn, Chui, Smith & Birchenhall, 1988)
HEGY? (Hylleberg, Engle, Granger & Yoo, 1990)

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