Open fkiraly opened 1 year ago
hello professor, can i work on this.
Sure!
The first question on this issue would be one of literature research - is there an interfaceable implementation of global ARIMA out there? If yes, the issue would be pretty straightforward to interface. Though I do not know any such instance.
If not, then this becomes much more methodologically involved and is a good first issue only with very robust statistics knowledge, on how to fit ARIMA models.
A very similar model where we know a good implementation exists would be temporal mixed effects models, see here: https://github.com/sktime/sktime/issues/1767
Although neither is an "easy" starting point, for your first contribution to open source, I suggest to pick sth that is content-wise light, to learn the GitHub contribution workflow.
Continuing discussion from https://github.com/sktime/sktime/pull/5689#issuecomment-1875073761:
If i am not wrong at understanding, the GlobalArima have static parameters so what data we should use to train parameters of Global Arima or something?
The data would be passed in fit
, in pandas
MultiIndex
format or similar.
We should add a
GlobalARIMA
forecaster, which is the ARIMA family global forecaster. Originally requested by @olerch in https://github.com/sktime/sktime/discussions/5006. Related issue: https://github.com/sktime/sktime/issues/4651ARIMA can be used as a global forecaster in the following way:
This is different from the current behaviour of ARIMA, which will fit individual ARIMA-s per instance.
As far as I know, this is not available in any of the "usual suspect" packages
statsmodels
,statsforecast
,pmdarima
, or elsewhere - except possibly in the very special case of fitting to a single time series instance.Technically, this should not be too hard to implement, leveraging already existing functionality such as (possibly penalized/regularized) log-likelihoods implemented in
statsmodels
, and optimizing by SGD or a similar technique.This issue is a good first issue for more statistics or data science oriented contributors. There are multiple ways to resolve this:
sktime
The estimator implementation/interfacing guide is here: https://www.sktime.net/en/stable/developer_guide/add_estimators.html