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[Feat] Robustified crossvalidation #668

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merged 4 commits into from
Oct 13, 2023
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When in the presence of problematic series (eg. zero inflated) some methods like ARIMA can fail to fit.
To robustify the execution of StatsForecast.cross_validation:

  • Added try/except protection to first models' fit in the cross_validation to use fall_back fitted model.
  • Added forward method to Constant, Zero, and Naive models.

@kdgutier kdgutier added the bug label Oct 13, 2023
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@kdgutier kdgutier linked an issue Oct 13, 2023 that may be closed by this pull request
@kdgutier kdgutier requested a review from AzulGarza October 13, 2023 18:23
statsforecast/core.py Outdated Show resolved Hide resolved
@jmoralez jmoralez added fix and removed bug labels Oct 13, 2023
@jmoralez jmoralez merged commit 041a697 into main Oct 13, 2023
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@jmoralez jmoralez deleted the feat/robust_crossvalidation branch October 13, 2023 23:20
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[CV] Cross validation fails (doesn't seem to be using fallback-model)
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