Acknowledgements
skaters is better for the people below. Each row says what they contributed and what became of it.
Code and reviews
| who | contribution | status |
|---|---|---|
| spencer-ak | TiRex-2 challenger and the frozen M4-hourly benchmark (#159); a correction to the TimesFM 2.5 distillation contract (#158). | merged |
| verityengine | A localized search bracket and scale-relative tolerance for
Dist.quantile
(#176). |
in review |
| Endre Moen | Robust median/MAD standardization and a residual variance-ratio lens (#307), from his work on real-time structural breaks. | in review |
Ideas
Suggestions for new transforms and model features, most from the discussion collected in issue #319. The queue of what is being built and tested next is in issue #320.
| who | idea | status |
|---|---|---|
| Kaveh Nobari | Fourier terms for multiple or non-integer seasonalities; differences of fractional order for I(d) series. | tested Fourier at 52.18 weeks; fractional differencing is already in the pool |
| Petros Zerfos | Multiple seasonality as in BATS; Box–Cox. | tested extra periods 52 and 168; Box–Cox is covered by Yeo–Johnson |
| Endre Moen | Robust standardization, a residual variance-ratio lens, and a whitened likelihood check that tells the chain when to reset its memory. | queued |
| Ndetto Mbalu | A scaled logit for bounded series such as rates and proportions; a Kalman or Hodrick–Prescott trend filter that keeps short-term dynamics; median/IQR normalization. | queued |
| Georg M. Goerg | Lambert W transforms for heavy tails. | queued |
| David Patschke | A complex-valued state-space transform with stable conjugate poles whose frequency, phase and damping adapt online (after S4D, FITS and FreTS). | queued |
| Sean Allen | Causal Hodrick–Prescott or Baxter–King filters, empirical mode decomposition, the sinh-arcsinh transform, log-squared stochastic volatility coordinates, dynamic time warping, and an online discrete wavelet transform. | tested sinh-arcsinh: no gain over the GPD tail splice (#320); the rest queued |
| Arthur Berd | ARIMA with exogenous inputs; wavelet transforms. | queued |
| Lukas Schreiner | Lag-polynomial (ARMA) structure and the Wold decomposition. | queued as a moving-average transform |
| Dale Rosenthal | Transfer functions, moving-average effects, vector versions. | queued |
| Klaus Glückert | A predicted changepoint. | queued with Endre Moen's memory reset |
| Alex Ornatsky | Spike removal, as in power prices. | queued |
| Konstantin Shmakov | Reflections y → c − y and
y → −y; time reversal; frequency transforms. |
queued reflection first |
| François P. | Kalman filters. | queued |
| Albert Galick | Behavioural cohorts of aggregated series, with series that jump between cohorts; phenomena an ordinary distribution describes badly. | noted heavy tails are handled by the GPD splice; cohorts are a multivariate question |
| Andrew Mureddu | Notes and a worked conversation on new transforms. | noted |
Statuses: merged is in the library; tested was run through the benchmark and the result is recorded; queued is in the build queue; in review is an open pull request; noted is read and answered. If your contribution is missing or misdescribed, open an issue.