fabletools
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Add some support for outlier detection and cleaning
Add some of the functionality of tsclean()
and tsoutliers
from the forecast package.
Related question: https://stackoverflow.com/q/59051260/144157
Issue for outliers is here: https://github.com/tidyverts/fable/issues/160
In the first instance, I think outlier cleaning should be done as a combination of outlier detection, removal, and then interpolation. Simpler/automatic methods can be added later (much like automatic model selection à la forecast::forecast.ts()
), where the results are to improve over time as the model selection algorithm improves.
Moved to {fabletools} as this functionality will first be implemented with the generics outliers()
and interpolate()
, where some intermediate function is used to replace outliers with missing values.
A higher level utility function to do these three steps (like tsclean()
) can be introduced later, once the necessary parameters and appropriate defaults are better known.
Hi. What is the progress status on this? I use the forecast package but am interested in whether I should begin modifying code to fable functions. Thanks.
At minimum this functionality requires #137. I have a somewhat clear idea on the design of this feature (using distributional model fits), so basic/default model-based outlier detection would be a small extension once #137 is implemented.
As for prioritisation: I'm working on forecast reconciliation at the moment, however @robjhyndman is actively thinking about and working on outliers and so I expect outliers would be the next priority.