ts-arima-forecast/dist/utils/model-selection.js

TypeScript library for ARIMA, SARIMA (soon), and SARIMAX (soon) forecasting

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.AutoARIMA = void 0;
const arima_1 = require("../models/arima");
class AutoARIMA {
    static findBestARIMA(data, maxP = 5, maxD = 2, maxQ = 5, criterion = 'aic') {
        const results = [];
        let bestScore = Infinity;
        let bestParams = null;
        for (let p = 0; p <= maxP; p++) {
            for (let d = 0; d <= maxD; d++) {
                for (let q = 0; q <= maxQ; q++) {
                    try {
                        const model = new arima_1.ARIMA({ p, d, q });
                        const fitResult = model.fit(data);
                        const score = criterion === 'aic' ? fitResult.aic : fitResult.bic;
                        results.push({ params: { p, d, q }, score });
                        if (score < bestScore) {
                            bestScore = score;
                            bestParams = { p, d, q };
                        }
                    }
                    catch (error) {
                        continue;
                    }
                }
            }
        }
        return {
            bestParams,
            bestScore,
            allResults: results.sort((a, b) => a.score - b.score)
        };
    }
}
exports.AutoARIMA = AutoARIMA;
//# sourceMappingURL=model-selection.js.map