aeon-toolkit
[ENH] Implement STL series to collection transformer
Describe the feature or idea you want to propose
the Seasonal and Trend decomposition using Loess [1,2] is a transform that generates a collection of series from a single series. This has applications in bagging forecasting, but also could be useful for class imbalance problems.
[1] Bergmeir, C., Hyndman, R. J., & Benítez, J. M. (2016). Bagging exponential smoothing methods using STL decomposition and Box-Cox transformation. International Journal of Forecasting, 32(2), 303-312 https://www.sciencedirect.com/science/article/pii/S0169207015001120
[2] Hyndman, R.J., & Athanasopoulos, G. (2021) Forecasting: principles and practice, 3rd edition, OTexts: Melbourne, Australia. OTexts.com/fpp3, Chapter 12.5. Accessed on February 13th 2022.
Describe your proposed solution
It is implemented in statsmodels, and this seems to be what most people wrap. https://www.statsmodels.org/dev/generated/statsmodels.tsa.seasonal.STL.html
I think we should have a bespoke, efficient, solution.
Describe alternatives you've considered, if relevant
No response
Additional context
No response
related forecaster
https://www.inderscienceonline.com/doi/abs/10.1504/IJOR.2025.143957
