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BuildArima: Consistency of output

Open ngupta23 opened this issue 5 years ago • 1 comments

Predictions coming from ARIMA include extra information compared to SARIMAX and VAR. Need to make it consistent.

https://github.com/AutoViML/Auto_TS/blob/develop/auto_ts/models/ar_based/arima.py#L191-L191

ARIMA Models

  • [ ] Index value needs to be made consistent with the other statsmodels.
  • [ ] Index is not named in ARIMA but named <ts_column> name in SARIMAX and VAR. Need to make consistent.
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Predictions with ARIMA Model
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               mean  mean_se  mean_ci_lower  mean_ci_upper
Forecast_1  801.787  57.7527     688.593352     914.979860
Forecast_2   743.16  85.4145     575.751035     910.569856
Forecast_3  694.388  106.628     485.400142     903.375149
Forecast_4  684.729  108.306     472.452535     897.006104
Forecast_5  686.702  108.454     474.135844     899.268748
Forecast_6  692.134  108.468     479.541600     904.726446
Forecast_7  698.594  108.469     485.999430     911.189096
Forecast_8   705.36  108.469     492.765266     917.955429
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Predictions with SARIMAX Model
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Sales             mean     mean_se  mean_ci_lower  mean_ci_upper
2013-09-01  803.316737   57.933329     689.769498     916.863976
2013-10-01  762.460940   79.971766     605.719158     919.202722
2013-11-01  718.358193   96.253327     529.705138     907.011248
2013-12-01  711.421305   96.180308     522.911365     899.931245
2014-01-01  719.362546   98.272104     526.752761     911.972331
2014-02-01  732.709819  100.930940     534.888812     930.530825
2014-03-01  747.576454  102.978924     545.741472     949.411437
2014-04-01  762.473494  104.292923     558.063121     966.883867
--------------------------------------------------
Predictions with VAR Model
--------------------------------------------------
Sales             mean     mean_se  mean_ci_lower  mean_ci_upper
2013-09-01  741.377909   61.808346     620.235777     862.520040
2013-10-01  676.233419   90.153283     499.536231     852.930608
2013-11-01  615.538721  105.173723     409.402012     821.675430
2013-12-01  571.797729  111.305204     353.643538     789.951919
2014-01-01  546.952783  113.044924     325.388803     768.516763
2014-02-01  537.342231  113.342418     315.195173     759.489289
2014-03-01  537.474487  113.443588     315.129140     759.819834
2014-04-01  542.307393  113.595165     319.664960     764.949825

ngupta23 avatar Jun 17 '20 11:06 ngupta23

I will take care of it. This is just for tracking purposes.

ngupta23 avatar Jun 17 '20 11:06 ngupta23

Fixed

AutoViML avatar Apr 24 '23 11:04 AutoViML