[Moving the discussion to arch@] Hi all,
I looked into their code and infact they do have ARIMA implementation [1] , though its not there in the documentation. Not sure whether its still under development. Anyway, they also do have some statistical tests (Durbin watson test, Breusch-Godfrey Test) which we might need. So, regarding what we can do in ML.. think we can support both AR and MA separately (for anyone who is interested), and ARIMA as the generalized version. I created a very Basic summary on ARIMA model [2]. Will improve this, going forward :) [1] https://github.com/cloudera/spark-timeseries/blob/master/src/main/scala/com/cloudera/sparkts/ARIMA.scala [2] https://docs.google.com/a/wso2.com/document/d/1pcGT620Fjms9gxmyn85mNP93oye_5xxCBhtqvE6iAAw/edit?usp=sharing Thanks, Supun On Wed, Jul 29, 2015 at 2:21 AM, Supun Sethunga <[email protected]> wrote: > Sure Srinath. By the look of it, seems they do have "Exponentially > weighted moving average" and "Auto-regressive models". Will do bit of > research on whether they support ARMA/ARIMA stuff (combination of the > earlier two) which are the most widely used models. > > Thanks Nirmal for the Link btw :) > > On Wed, Jul 29, 2015 at 11:30 AM, Srinath Perera <[email protected]> wrote: > >> Supun, please checkout and send notes. >> >> --Srinath >> >> On Wed, Jul 29, 2015 at 11:29 AM, Seshika Fernando <[email protected]> >> wrote: >> >>> Ah, this is superb. It has the VaR stuff that I wanted to do also. :) >>> >>> On Wed, Jul 29, 2015 at 11:07 AM, Nirmal Fernando <[email protected]> >>> wrote: >>> >>>> A library for financial and time series calculations on Apache Spark >>>> https://github.com/cloudera/spark-timeseries >>>> >>>> -- >>>> >>>> Thanks & regards, >>>> Nirmal >>>> >>>> Associate Technical Lead - Data Technologies Team, WSO2 Inc. >>>> Mobile: +94715779733 >>>> Blog: http://nirmalfdo.blogspot.com/ >>>> >>>> >>>> >>> >> >> >> -- >> ============================ >> Blog: http://srinathsview.blogspot.com twitter:@srinath_perera >> Site: http://people.apache.org/~hemapani/ >> Photos: http://www.flickr.com/photos/hemapani/ >> Phone: 0772360902 >> > > > > -- > *Supun Sethunga* > Software Engineer > WSO2, Inc. > http://wso2.com/ > lean | enterprise | middleware > Mobile : +94 716546324 > -- *Supun Sethunga* Software Engineer WSO2, Inc. http://wso2.com/ lean | enterprise | middleware Mobile : +94 716546324
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