REF: deprecate ARMA/ARIMA in favor of SARIMAX ?

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Assessment

Difficulty
5/5
Estimated time
Over a week
Newbie friendliness
25/100
Issue type
Refactor
Clarity
Needs clarification
Activity status
Stale
Tech stack
python
Domain
data

Research direction

Start by comparing the ARMA and ARIMA model APIs with SARIMAX, focusing on model.predict and prediction on new datasets without reestimation. Review the roadmap for tsa (#3115), the ARIMA/SARIMAX comparison (#2542), and the discussion in #3882; done means documenting missing functionality and establishing whether deprecation can proceed.

Written by the indexing model from the issue text.

Description

comp-tsa type-refactor

related:
roadmap for tsa #3115
old issue to compare of ARIMA and SARIMAX #2542

The long term plan is to deprecate ARMA and ARIMA to avoid code duplication and because those models are barely maintained. We will not be able to remove them fast after deprecation, but we need to start directing users to SARIMAX. There might be or is some functionality that does not have a close substitute yet, and we need to get a better overview of the different usecases.

Can we deprecate ARMA/ARIMA in favor of SARIMAX? What's missing?

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