-
Notifications
You must be signed in to change notification settings - Fork 220
[BUG] Fix incorrect undifferencing in ARIMA #2987
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
Conversation
…oducing the expected results
…bool, and fix bug with it not operating on differemced data
…e without refitting the model
…into arb/base_arima
Check out this pull request on See visual diffs & provide feedback on Jupyter Notebooks. Powered by ReviewNB |
Thank you for contributing to
|
… testing for DifferenceTransformer. This is tested in test_diff.py anyway, and it currently doesn't pass in the initial values to y required to undifference a series
There was a problem hiding this comment.
Choose a reason for hiding this comment
The reason will be displayed to describe this comment to others. Learn more.
could you take out the inverse of difference from this PR and make a separate one? I'm not sure atm how to do this to be consistent with the general interface, so it wpould be better as a separate PR imo
There was a problem hiding this comment.
Choose a reason for hiding this comment
The reason will be displayed to describe this comment to others. Learn more.
needs refactoring for the new model
There was a problem hiding this comment.
Choose a reason for hiding this comment
The reason will be displayed to describe this comment to others. Learn more.
see previous, also need testing for the undifference function in the transformer
Reference Issues/PRs
What does this implement/fix? Explain your changes.
Fixes incorrect undifferencing in ARIMA, adds inverse transform to DifferenceTransformer
Does your contribution introduce a new dependency? If yes, which one?
Any other comments?
PR checklist
For all contributions
For new estimators and functions
__maintainer__
at the top of relevant files and want to be contacted regarding its maintenance. Unmaintained files may be removed. This is for the full file, and you should not add yourself if you are just making minor changes or do not want to help maintain its contents.For developers with write access