Repository metrics
- Stars
- (7,162 stars)
- PR merge metrics
- (平均マージ 26d 10h) (30d で 86 merged PRs)
説明
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/4651
ARIMA can be used as a global forecaster in the following way:
- fit a joint likelihood (or joint fit criterion) on multiple time series instances to obtain one set of coefficients
- on inference/predict instances, use that one set of coefficients to forecast
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:
- find an existing implementation of global ARIMA somewhere and interface it
- implement global ARIMA in one of the upstream algorithm provider packages, then interface it
- implement global ARIMA directly in
sktime
The estimator implementation/interfacing guide is here: https://www.sktime.net/en/stable/developer_guide/add_estimators.html