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[WIP] Auto arima #53

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[WIP] Auto arima #53

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Commits on Jun 12, 2015

  1. reworked bgtest to take residuals, added bptest

    jose.cambronero committed Jun 12, 2015
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  2. cleaned up after adding bptest/bgtest

    jose.cambronero committed Jun 12, 2015
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Commits on Jun 15, 2015

  1. cleaned up additional style issues

    jose.cambronero committed Jun 15, 2015
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Commits on Jun 16, 2015

  1. added EWMA functionality and tests

    jose.cambronero committed Jun 16, 2015
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  2. Merge pull request sryza#26 from josepablocam/master 

    A couple of simple changes to get started: corrected
    @sryza
    sryza committed Jun 16, 2015
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  3. cleaned up additional style issues

    jose.cambronero committed Jun 16, 2015
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  4. Add Hadoop dependency

    @sryza
    sryza committed Jun 16, 2015
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  5. Add seed generation in historical var example

    @sryza
    sryza committed Jun 16, 2015
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  6. Convert tab to spaces

    @sryza
    sryza committed Jun 16, 2015
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Commits on Jun 17, 2015

  1. changed SSE calculation to use while loop rather than map + sum

    jose.cambronero committed Jun 17, 2015
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  2. changed EWMA fitting to use gradient descent

    jose.cambronero committed Jun 17, 2015
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  3. style changes

    jose.cambronero committed Jun 17, 2015
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  4. added note stating ubounded optimization for ewma

    jose.cambronero committed Jun 17, 2015
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Commits on Jun 18, 2015

  1. Merge pull request sryza#27 from josepablocam/ewma 

    added EWMA functionality and tests
    @sryza
    sryza committed Jun 18, 2015
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Commits on Jun 19, 2015

  1. Document more functionality in README

    @sryza
    sryza committed Jun 19, 2015
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Commits on Jun 22, 2015

  1. Merge remote-tracking branch 'origin/master'

    jose.cambronero committed Jun 22, 2015
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Commits on Jun 23, 2015

  1. Copyright bump

    @cdalzell
    cdalzell committed Jun 23, 2015
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  2. Quick find & replace: toSamples -> toInstants

    @cdalzell
    cdalzell committed Jun 23, 2015
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  3. Merge pull request sryza#28 from cdalzell/feature/sryza#23-rename_toS… 

    …amples

Issue sryza#23: Rename toSamples to toInstants
    @sryza
    sryza committed Jun 23, 2015
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Commits on Jun 25, 2015

  1. added up/down sampling and cubic spline interpolation

    jose.cambronero committed Jun 25, 2015
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  2. added up/down sampling tests

    jose.cambronero committed Jun 25, 2015
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Commits on Jun 26, 2015

  1. Harmonize MLlib dependency version

    @sryza
    sryza committed Jun 26, 2015
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Commits on Jun 27, 2015

  1. started on acf plot

    jose.cambronero committed Jun 27, 2015
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  2. Mention R's equivalents in README

    @sryza
    sryza committed Jun 27, 2015
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Commits on Jun 28, 2015

  1. acf plot done

    @josepablocam
    josepablocam committed Jun 28, 2015
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  2. added pacf, refactored acf

    @josepablocam
    josepablocam committed Jun 28, 2015
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  3. added scaladocs to acf/pacf

    @josepablocam
    josepablocam committed Jun 28, 2015
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  4. added scaladocs to acf/pacf

    @josepablocam
    josepablocam committed Jun 28, 2015
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  5. Merge remote-tracking branch 'origin/acf_pacf' into acf_pacf

    @josepablocam
    josepablocam committed Jun 28, 2015
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Commits on Jun 30, 2015

  1. changed up/downSample function names to up/downsample (along with rel… 

    …evant tests), added missing type to EasyPlot functions
    jose.cambronero committed Jun 30, 2015
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  2. Merge pull request sryza#30 from josepablocam/acf_pacf 

    ACF and PACF
    @sryza
    sryza committed Jun 30, 2015
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Commits on Jul 1, 2015

  1. added scaladoc comments for up/down sampling

    jose.cambronero committed Jul 1, 2015
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  2. added option to drop intercept in AR(n) model

    jose.cambronero committed Jul 1, 2015
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Commits on Jul 2, 2015

  1. Merge pull request sryza#31 from josepablocam/docsampling 

    added scaladoc comments for up/down sampling
    @sryza
    sryza committed Jul 2, 2015
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  2. fixed space and expanded fitModel scaladocs for AR(n) to explain noIn… 

    …tercept parameter
    jose.cambronero committed Jul 2, 2015
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Commits on Jul 10, 2015

  1. Renamed labels to keys

    @cdalzell
    cdalzell committed Jul 10, 2015
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  2. Merge pull request sryza#33 from cdalzell/feature/sryza#24-TimeSeries… 

    …_label_to_key

sryza#24: Renamed labels to keys in TimeSeries
    @sryza
    sryza committed Jul 10, 2015
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Commits on Jul 15, 2015

  1. Added scalastyle plugin config

    @cdalzell
    cdalzell committed Jul 15, 2015
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  2. Gave maven-surefire-plugin a version since Maven was cranky about it … 

    …not having one
    @cdalzell
    cdalzell committed Jul 15, 2015
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  3. Ignoring scalastyle-output.xml

    @cdalzell
    cdalzell committed Jul 15, 2015
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  4. Scalastyle now runs as part of mvn compile

    @cdalzell
    cdalzell committed Jul 15, 2015
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  5. Added notes about how to disable scalastyle when needed, also gave th… 

    …e config xml the indentation formatting IntelliJ craved
    @cdalzell
    cdalzell committed Jul 15, 2015
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  6. Adding notes about how to switch off checking for a specific rule

    @cdalzell
    cdalzell committed Jul 15, 2015
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  7. Assignment to val is not considered to be a magic number

    @cdalzell
    cdalzell committed Jul 15, 2015
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Commits on Jul 16, 2015

  1. Added the Cloudera file header

    @cdalzell
    cdalzell committed Jul 16, 2015
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Commits on Jul 21, 2015

  1. Added newline at end of file

    @cdalzell
    cdalzell committed Jul 21, 2015
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Commits on Jul 24, 2015

  1. Disabled a couple of checks

    @cdalzell
    cdalzell committed Jul 24, 2015
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Commits on Jul 27, 2015

  1. Merge pull request sryza#37 from cdalzell/feature/scalastyle 

    Added Scalastyle
    @sryza
    sryza committed Jul 27, 2015
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Commits on Aug 3, 2015

  1. added ljunbox test, commonly used with arima to check residuals for s… 

    …erial corr
    @josepablocam
    josepablocam committed Aug 3, 2015
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  2. Merge pull request sryza#41 from josepablocam/ljungbox 

    Ljung-Box test
    @sryza
    sryza committed Aug 3, 2015
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Commits on Aug 4, 2015

  1. modified easyplot functions to return figure, so that user can 'saveas'

    jose.cambronero committed Aug 4, 2015
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Commits on Aug 5, 2015

  1. Merge pull request sryza#42 from josepablocam/return_figures 

    Return figures in plotting functions
    @sryza
    sryza committed Aug 5, 2015
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Commits on Aug 7, 2015

  1. added kpss stationarity test

    jose.cambronero committed Aug 7, 2015
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Commits on Aug 10, 2015

  1. added source for newey west

    jose.cambronero committed Aug 10, 2015
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Commits on Aug 11, 2015

  1. Merge pull request sryza#32 from josepablocam/arWithoutIntercept 

    added option to drop intercept in AR(n) model
    @sryza
    sryza committed Aug 11, 2015
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  2. first cut working ARIMA with css fitting

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  3. changed css to use while loops, cleaner, more readable now

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  4. fixed updating MA errors, new error placed at index 0, to align with … 

    …the way coefficients are reported for AR
    @josepablocam
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  5. add and remove time dependent effects

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  6. refactored and cleaned up

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  7. added scaladoc comments, fixed addTimeDependentEffects and removeTime… 

    …DependentEffects
    @josepablocam
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  8. still working out semantics of add and remove time effects, added tests

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  9. decided to comment out removeTimeDependentEffects until feedback...un… 

    …clear if correctly implementing that function, added test data
    @josepablocam
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  10. fixed addTimeDependentEffects and removeTimeDependentEffects based on… 

    … 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
    @josepablocam
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  11. added css with conjugate gradient descent

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  12. udpated arima implementation based on PR feedback from @sryza. Major … 

    …change was breaking up (p, d, q) as separate ARIMAModel members
    @josepablocam
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  13. broke up in all functions, made cgd default, added user guess for par… 

    …ameters, fixed typo in hannan, moved around arguments in functions in ARIMA object for consistency
    @josepablocam
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  14. fixed misspecification for differencing. Changed forecast function ac… 

    …cordingly. Added 2 new functions to UnivariateTimeSeries to perform differencing of order-d, rather than differencing at lag-d
    @josepablocam
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  15. incorporated @sryza 's feedback on having differences at order using … 

    …calls to differences of lag, removed unnecessary copying of vector in differences of order
    @josepablocam
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  16. fixing style issues and commented out private

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  17. added stationarity and invertibility check

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  18. fixed case of only AR, added some comments, cleaned up before merging

    @josepablocam
    jose.cambronero authored and josepablocam committed Aug 11, 2015
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  19. small comment to clarify how we call AR from within ARIMA

    @josepablocam
    josepablocam committed Aug 11, 2015
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  20. Merge pull request sryza#40 from josepablocam/arima 

    ARIMA
    @sryza
    sryza committed Aug 11, 2015
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Commits on Aug 12, 2015

  1. Merge branch 'kpss' into auto_arima

    jose.cambronero committed Aug 12, 2015
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  2. added first cut version of auto arima

    jose.cambronero committed Aug 12, 2015
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Commits on Aug 22, 2015

  1. cleaned up and fixed tests

    @josepablocam
    josepablocam committed Aug 22, 2015
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