arima_xreg

ARIMA with exogenous regressors

Main results

metric (mean)	auto_arima_nixtla	auto_arima_pmdarima	auto_arima_r
mase	0.84	0.89	0.82
time (mins)	3.32	52.51	2.91

Reproducibility

To reproduce the main results you have:

1. Execute make init to create a Docker image with the required dependencies.
2. Run the experiments using make run_module module="python -m src.[model] --group [group]" where [model] can be statsforecast and pmdarima, and [group] can be NP, PJM, FR, BE y DE.
3. To run R experiments you have to prepare the data using make run_module module="python -m src.data --group [group]" for each [group]. Once it is done, just run make run_module module="Rscript src/arima_r.R [group]".
4. Finally you can evaluate the forecasts using make run_module module="python -m src.evaluation".