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Varima and AutoVARIMA models for forecasting#665

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charavelg wants to merge 24 commits into
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varima
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Varima and AutoVARIMA models for forecasting#665
charavelg wants to merge 24 commits into
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varima

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@charavelg
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@charavelg charavelg commented Apr 10, 2026

Add VARIMA and AutoVARIMA models for forecasting.

Supports naive seasonality.
Supports variable length TS.

VARIMA uses scipy nelder-mead optimization when q>0
AutoVARIMA uses statsmodels kpss tests for stationarity

Based on https://otexts.com/fpp3/

TODO:

  • Improve docstrings
  • Add doc example
  • Add models into the variable length section in docs

@charavelg charavelg requested a review from rtavenar April 10, 2026 14:32
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codecov Bot commented Apr 10, 2026

Codecov Report

❌ Patch coverage is 99.75610% with 1 line in your changes missing coverage. Please review.
✅ Project coverage is 94.15%. Comparing base (13bf0ea) to head (1fbeccb).
⚠️ Report is 4 commits behind head on main.

Files with missing lines Patch % Lines
tslearn/forecasting/_arima.py 99.66% 1 Missing ⚠️
Additional details and impacted files
@@            Coverage Diff             @@
##             main     #665      +/-   ##
==========================================
+ Coverage   93.70%   94.15%   +0.45%     
==========================================
  Files          73       77       +4     
  Lines        6986     7493     +507     
==========================================
+ Hits         6546     7055     +509     
+ Misses        440      438       -2     

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Comment thread tslearn/forecasting/_arima.py Outdated
Comment thread tests/test_forecasting.py
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2 participants