Investigate TSMARS Models

[antoinecarme]

TSMars is an application of MARS regression (Multivariate adaptive regression spline) models to Time Seris Forecasting.

https://en.wikipedia.org/wiki/Multivariate_adaptive_regression_spline

[antoinecarme]

[antoinecarme]

[antoinecarme]

Avoid reinventing the wheel.

Is there already a decent python implementation ?

[antoinecarme]

Impact on PyAF : MARS and MARSX models.

[antoinecarme]

Good reference :

Elements of Nonlinear Time Series Analysis and Forecasting

Authors: Jan G. De Gooijer

https://link.springer.com/book/10.1007/978-3-319-43252-6

[antoinecarme]

[antoinecarme]

An interesting python implementation to be tested :

https://github.com/scikit-learn-contrib/py-earth By Jason Rudy (@jcrudy)

A Python implementation of Jerome Friedman's Multivariate Adaptive Regression Splines algorithm, in the style of scikit-learn. The py-earth package implements Multivariate Adaptive Regression Splines using Cython and provides an interface that is compatible with scikit-learn's Estimator, Predictor, Transformer, and Model interfaces. For more information about Multivariate Adaptive Regression Splines, see the references below.