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unit8co / darts

A python library for user-friendly forecasting and anomaly detection on time series.
https://unit8co.github.io/darts/
Apache License 2.0
7.89k stars 854 forks source link

CEEMDAN/HHT Request #1172

Open CadePGCM opened 2 years ago

CadePGCM commented 2 years ago

Can you add support for empirical mode decomposition and hilbert huang transform?

hrzn commented 2 years ago

Hi, thanks for the suggestion. Could you share example use-cases? I'm wondering if/how this should fit into Darts.

TamerAbdelmigid commented 2 years ago

I would like to second this. I had a case where improved forecasting performance was achieved by preprocessing the data using EMD and its variants. The case was a univariate timeseries series forecasting, short-term significant wave height. Yet care needs to be taken, it should be implemented in a moving window fashion as not to carry information about the future through the decomposition.