[WIP] Auto arima #53
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[WIP] Auto arima #53
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A couple of simple changes to get started: corrected
added EWMA functionality and tests
…amples Issue sryza#23: Rename toSamples to toInstants
…evant tests), added missing type to EasyPlot functions
added option to drop intercept in AR(n) model
…the way coefficients are reported for AR
…clear if correctly implementing that function, added test data
… Sandy's feedback. Modified forecast to take same approach (i.e. use AR of intercept and MA of 0.0 prior to start of series). Added tests and modified leniency on intercept term
…change was breaking up (p, d, q) as separate ARIMAModel members
…ameters, fixed typo in hannan, moved around arguments in functions in ARIMA object for consistency
…cordingly. Added 2 new functions to UnivariateTimeSeries to perform differencing of order-d, rather than differencing at lag-d
…calls to differences of lag, removed unnecessary copying of vector in differences of order
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@sryza This depends on the kpss test. I've included that here (without the small changes made to the kpss patch). If the kpss patch is merged, I'll fix the conflicts here and then merge. Tagging as WIP because of this. |
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@josepablocam any chance this will go in? Was the "kpss patch" merged in? |
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Sorry, I haven't stayed involved, so not sure what the state of things are.
I think there were various patches that addressed similar functionality
though, perhaps some of them are already in the project.
…On Wed, Apr 19, 2017 at 11:10 AM, Jirka Kremser ***@***.***> wrote:
@josepablocam <https://github.com/josepablocam> any chance this will go
in? Was the "kpss patch" merged in?
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A heuristic to fit arima models automatically. Is meant to be a spark-timeseries counterpart of Hyndman's implementation in forecast