josepablocam

[WIP] Auto arima

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A heuristic to fit arima models automatically. Is meant to be a spark-timeseries counterpart of Hyndman's implementation in [forecast](http://www.inside-r.org/packages/cran/forecast/docs/auto.arima)

[WIP] Double Exponentially Smoothed Model (Holt linear model)

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We implement a holt linear model (additive variant), which allows us to capture trend and level. Estimation of parameters implemented with 2 different optimization methods: BOBYQA (bounded optimization by quadratic...

The original call `vec(startLoc until endLoc)` on a `Vector[T]` returns a `SliceVector[Int, T]` (as shown below). `SliceVector[Int, T]` does not inherit from `Serializable` as per [breeze docs](http://www.scalanlp.org/api/breeze/index.html#breeze.linalg.SliceVector). Only relevant parts...

Added the popular KPSS test for stationarity. Followed R's tseries implementation. Added appropriate tests. I mainly added kpss because it is part of the algorithm used by `auto.arima` in Hyndman's...

Let's us plot series of varying lengths without throwing a domain mismatch exception. Useful to visualize historicals vs fitted + forecasted. Useful particularly to visualize ARIMA forecasts and visually verify...

Backwards compatibility

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Thank you all for the great package! It is really lovely to be able to include `pmlb` in a project and only fetch datasets as need (while avoiding having to...