statsforecast
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tbats fixes
Makes the following bug fixes:
- Applies the transformation with the optimum lambda to the seed states when using boxcox.
- Removes the Augmented Dickey-Fuller test.
- Checks if
use_trend in (True, None)
to correctly generate the combinations in the auto model. - Renames
seasonal_periods
toseason_length
to be consistent with the other models.
Also modifies the process to find the optimal number of harmonics by:
- Using an expanding mean if there aren't enough samples in the window to remove the trend (thus doesn't produce missing values). We discussed if we should use
center=True
and found that overall the forecasting error is smaller when usingcenter=False
. - Subtracting the signal found for each seasonal period before looking for the next one
Adds an experiment with the M4 hourly dataset.
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Important changes made by @jmoralez:
- Uses a new Box-Cox transformation that fixes the cases where the inverse transformation results in missing values.
- Limits the number of searches when determining the number of harmonics.
- Adds a scale parameter to the objective function, akin to what R does. With these changes, I reran the complete experiments for the M3 and M4 datasets.