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[BUG] Fix behavior of SARIMAXModel if simple_differencing=True is set #836

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Mr-Geekman opened this issue Aug 4, 2022 · 0 comments · Fixed by #837
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[BUG] Fix behavior of SARIMAXModel if simple_differencing=True is set #836

Mr-Geekman opened this issue Aug 4, 2022 · 0 comments · Fixed by #837
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@Mr-Geekman
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Mr-Geekman commented Aug 4, 2022

🐛 Bug Report

According to documentation there is a problem with simple_differencing=True option:
Снимок экрана 2022-08-04 в 11 00 23

It means that if we use this option then our results aren't correct and should be undifferenced back. We should make a fix that make this undifferencing.

We can use pmdarima solution as a reference or import this function.

We should also add tests that solution with simple_differencing=True and without it are close.

Expected behavior

Simple differencing works fine.

How To Reproduce

Look at problem above.

Environment

No response

Additional context

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Checklist

  • Bug appears at the latest library version
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