Parameter estimation

The sktime.param_est module contains parameter estimators, e.g., for seasonality, and utilities for plugging the estimated parameters into other estimators. For example, seasonality estimators can be combined with any seasonal forecaster to an auto-seasonality version.

All parameter estimators in sktime can be listed using the sktime.registry.all_estimators utility, using estimator_types="param_est", optionally filtered by tags. Valid tags can be listed using sktime.registry.all_tags.

Module for parameter estimators and parameter estimator plugin composition.

Parameter estimators

Composition

ParamFitterPipeline(param_est, transformers)

Pipeline of transformers and a parameter estimator.

PluginParamsForecaster(param_est, forecaster)

Plugs parameters from a parameter estimator into a forecaster.

Naive

FixedParams(param_dict)

Dummy parameter estimator that writes fixed values to self.

Seasonality estimators

SeasonalityACF([candidate_sp, p_threshold, …])	Find candidate seasonality parameter using autocorrelation function CI.
SeasonalityACFqstat([candidate_sp, …])	Find candidate seasonality parameter using autocorrelation function LB q-stat.
SeasonalityPeriodogram([min_period, …])	Score periodicities by their spectral power.

Stationarity estimators

StationarityADF([p_threshold, maxlag, …])	Test for stationarity via the Augmented Dickey-Fuller Unit Root Test (ADF).
StationarityKPSS([p_threshold, regression, …])	Test for stationarity via the Kwiatkowski-Phillips-Schmidt-Shin Test.