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What does this implement/fix? Explain your changes.

Adds AutoETS

Does your contribution introduce a new dependency? If yes, which one?

No

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TonyBagnall and others added 30 commits May 24, 2025 14:43
@aeon-actions-bot aeon-actions-bot bot added enhancement New feature, improvement request or other non-bug code enhancement forecasting Forecasting package labels Aug 14, 2025
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Thank you for contributing to aeon

I have added the following labels to this PR based on the title: [ enhancement ].
I have added the following labels to this PR based on the changes made: [ forecasting ]. Feel free to change these if they do not properly represent the PR.

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Branch based off AutoARIMA branch, to avoid file conflicts when that is merged. Need to work out how to deal with ZeroDivisionErrors in the loss function, as currently number is not used in the main AutoETS function as it needs to catch any ZDEs

@alexbanwell1 alexbanwell1 self-assigned this Sep 23, 2025
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alexbanwell1 commented Oct 27, 2025

Also Added at the top of the AutoETS forecaster class:
Attempts to make this forecaster stable:
- Issues with Zero division Errors:
- If any data points are non-positive, multiplicative options are excluded.
- With numba fastmath=true, the compiler moves the operations around. This means
zero division guards are ineffective. As such I have tried putting the guards
in a separate fastmath=false function, with inline=true. This slows it down a
lot though.
- Need to make sure initialisation function never assigns slices of the data
array
- fixed bug where the first few values were being changed in the seasonality
calculation array
- Issues with the nelder mead not finding good parameters,
usually ending up with alpha approx 1:
- Tested updating the initial conditions (initial level, trend,
seasonality array) to be heuristically calculated across the whole
array at the start.
This seemed to fix some issues, but cause others.
- Tested optimising over the initial conditions in the nelder-mead array.
This didn't really help, although is how statsmodels does it.
- Added guards to the nelder-mead algorithm to reflect points back in when they
go above or below (0,1) to ensure parameters stay valid.
- Added sigmoid function to output of nelder-mead to ensure parameters stay
in (0,1).
- Initialised the simplex array with reasonable starting values
(a=0.4, b=0.25, phi=0.95, g=0.35)
- The algorithms sometimes produce really extreme forecasts of the order of 1e100
larger than the data. I assume this is due to the guards on the zero division,
but haven't been able to work out how to fix it.

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2 participants