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Add `AutoARIMA` model from statsforecast

Open alex-hse-repository opened this issue 2 years ago • 0 comments

🚀 Feature Request

As the authors of statsforecast state their auto_arima is 20x faster than the version form pmdarima(which we currently use).There for it might be useful to add adapter for this version too.

Proposal

  1. Rename current _AutoARIMAAdapter to _PMDarimaAutoARIMAAdapter and PMDarimaAutoARIMAModel
  2. Create _StatsForecastAutoARIMAAdapter for the statsforecast AutoArima version, throw error like here in case of in_sample prediction
  3. Create StatsForecastAutoARIMAModel(MultiSegmentPredictionIntervalModel)

Test cases

  1. Check that the StatsForecastAutoARIMAModel passes the current tests for PMDarimaAutoARIMAModel
  2. Add StatsForecastAutoARIMAModel to test_inference

Additional context

sktime adapter version link

alex-hse-repository avatar Aug 12 '22 08:08 alex-hse-repository