Jacob Rachiele
Jacob Rachiele
Set initial Hessian using Builder with default still Identity matrix. Added ability to retrieve current Hessian and current point/value to class.
The ArimaCoefficients is a simple structure containing arrays of doubles representing the AR and MA parameters in addition to the mean/drift terms. There are a few issues. One is that...
The current way of using coefficients is ugly. A coefficient is either a known or estimated property of a process or model. It should have un uncertainty score associated with...
Should the StreamingSeries emit a Double, an Observation, or an entire static TimeSeries?
In the Streaming branch, we're using a StreamingSeries that implements the Flow.Processor interface. The idea is to be able to have parallel observation of this series by multiple different time...
The TimeUnit enum is basically a wrapper around Java's native ChronoUnit enum, but it adds the concept of a Quarter and has two methods "frequencyPer(other time unit)" and "totalDuration()". I'm...
The ARIMA models should be able to automatically apply a supplied one parameter [Box-Cox transformation](https://en.wikipedia.org/wiki/Power_transform#Box%E2%80%93Cox_transformation) when fitting the model. When the model is forecast, the Box-Cox transformation should be reversed...
Any non-invertible MA model can be converted to an invertible one, except when the roots lie exactly on the unit circle. The algorithm for doing so first needs to be...
Clients should be able to see whether the model they built is causal, stationary, and invertible.
Laguerre solver does a poor job in practice. I used it for a closed-source Arima implementation and felt compelled to replace it with this PolynomialRootFinder class that uses a companion...