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Varima and AutoVARIMA models for forecasting#665

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charavelg merged 28 commits into
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varima
Jun 30, 2026
Merged

Varima and AutoVARIMA models for forecasting#665
charavelg merged 28 commits into
mainfrom
varima

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@charavelg

@charavelg charavelg commented Apr 10, 2026

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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

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Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 94.89%. Comparing base (ce64286) to head (df7e5ae).

Additional details and impacted files
@@            Coverage Diff             @@
##             main     #665      +/-   ##
==========================================
+ Coverage   94.64%   94.89%   +0.25%     
==========================================
  Files          79       82       +3     
  Lines        7407     7820     +413     
==========================================
+ Hits         7010     7421     +411     
- Misses        397      399       +2     

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Comment thread tslearn/forecasting/_arima.py Outdated
Comment thread tests/test_forecasting.py
Comment thread tslearn/forecasting/_arima.py Outdated
Comment thread docs/examples/forecasting/plot_VARIMA.py Outdated
Comment thread docs/examples/forecasting/plot_VARIMA.py Outdated
Comment thread docs/examples/forecasting/plot_VARIMA.py Outdated
@charavelg charavelg merged commit 82e20ba into main Jun 30, 2026
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@charavelg charavelg deleted the varima branch June 30, 2026 08:43
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2 participants