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tidyverts / fable

Tidy time series forecasting
https://fable.tidyverts.org
GNU General Public License v3.0
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Add generate.croston #253

Open mitchelloharawild opened 4 years ago

Fuco1 commented 4 years ago

This will be extremly useful for generating prediction intervals using simulation as described here https://otexts.com/fpp3/aggregates.html

How would you judge the difficulty of implementing this?

robjhyndman commented 4 years ago

Croston's method is not based on a stochastic model. See https://robjhyndman.com/publications/croston/ Consequently it is not possible to have a generate.croston function which is consistent with CROSTON forecasts.

Instead, it would be better to use a stochastic model for intermittent demand. See the tscount package for some examples. It would be nice to create an interface between fable and the tscount models.

Fuco1 commented 4 years ago

I went over the tscount paper and it looks very interesting for my application (demand planning for quite sporadically sold inventory - luxury perfumes and such).

I'll try it outside of fable to assess how useful it would be for us but since the entire codebase was now rewritten to use fable I'll probably write some bridge. I'll be happy to contribute it back if the quality will be on par with your expectations.

mitchelloharawild commented 4 years ago

A fable.tscount would be great and I'm happy to help you write this if it is useful for you.