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tbats fixes

Open jmoralez opened this issue 1 year ago • 1 comments

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 to season_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 using center=False.
  • Subtracting the signal found for each seasonal period before looking for the next one

Adds an experiment with the M4 hourly dataset.

jmoralez avatar Feb 23 '24 21:02 jmoralez

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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.

MMenchero avatar Mar 28 '24 06:03 MMenchero