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[Models] Add composable transformations to be applied before fitting a model

Open AzulGarza opened this issue 2 years ago • 0 comments

Description

Transformations can often enhance the performance of certain types of models and data. We propose introducing a suite of composable transformations that can be applied to the time series before fitting the model. This might be implemented as follows:

from statsforecast.transformations import BoxCox, MinMax

sf = StatsForecast(
     models=[BoxCox(MinMax(AutoARIMA()))]
)

The new suite of transformations should be incorporated into the statsforecast/transformations.py module. The order of transformations should be from left to right; in the given example, BoxCox would be applied first, followed by MinMax, and finally the AutoARIMA model would be fitted on the fully transformed series.

Use case

No response

AzulGarza avatar Jun 09 '23 00:06 AzulGarza