Hello - Is there a update method supported in AutoArima from statsforecast? similar to this one => https://alkaline-ml.com/pmdarima/refreshing.html
I need to execute autoarima on a walk forward using a sliding window. I am re-fitting whenever my model needs to be updated, but this is taking too much time. On the other hand, RMSE goes up if the model is not re-fitted with new data that comes from the sliding window.
I also tried the forward method, but RMSE is still going up with it. https://nixtla.github.io/statsforecast/src/core/models.html#autoarima.forward
k
Kevin Kho
08/14/2023, 7:19 PM
Pretty sure there is no implementation for this yet. Would you like to open a GitHub issue as a feature request?