Hi all, the Original MSTL paper suggest the follow...
# statsforecast
Hi all, the Original MSTL paper suggest the following set up for trend estimation
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Next, the trend component of the time series is computed using the last iteration of STL. On the other hand, if the time series is non-seasonal, MSTL uses the Friedman's Super Smoother function, supsmu, available in R (R Core Team, 2020), to directly estimate the trend.
In Nixtla it seems AutoArima is used and I wonder if this is the preferred set up, or perhaps can I set up the original MSTL as presented in the paper somehow? Without the AutoARIMA?
I looked it up, and the Super Smoother function is not available in Nixtla, but you can try it with other models. The closest might be SimpleSmooth, so you can do:
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models = [MSTL(
    season_length=[24, 24 * 7], # seasonalities of the time series 
    trend_forecaster=SimpleExponentialSmoothing() # model used to forecast trend

forecasts = sf.predict(h=24, level=[90])
You also might be able to create your own
compatible model with an existing supersmoother implementation. For example:
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from statsforecast.models import _TS
from supersmoother import SuperSmoother

class _SuperSmoother(_TS):
    def __init__():
        self.model = SuperSmoother()
    def fit(self, t, y, dy):
        self.model.fit(t, y, dy)

    def predict(self, tfit):
The Naive model might provide guidance. I’m not sure this will work. You need to shape the output a bit, like
outputs a dictionary, which
turns into a DataFrame later. The easiest thing to do is probably approximate it with the SimpleExponentialSmoothing, which is also meant for timeseries without seasonability