✨ Add OCSB test

WIP the code is using PyCall

Project.toml

@@ -18,6 +18,7 @@ LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
 OffsetArrays = "6fe1bfb0-de20-5000-8ca7-80f57d26f881"
 Optim = "429524aa-4258-5aef-a3af-852621145aeb"
+PyCall = "438e738f-606a-5dbb-bf0a-cddfbfd45ab0"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
 SCIP = "82193955-e24f-5292-bf16-6f2c5261a85f"
@@ -29,4 +30,4 @@ TimeSeries = "9e3dc215-6440-5c97-bce1-76c03772f85e"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["Test"]
+test = ["Test", "JSON"]

src/Sarimax.jl

@@ -20,6 +20,7 @@ using SCIP
 using StateSpaceModels
 using Statistics
 using TimeSeries
+using PyCall
 # using GLMNet
 # using Lasso
 

src/models/sarima.jl

@@ -982,7 +982,7 @@ function auto(
     @assert maxQ >= 0
     @assert informationCriteria ∈ ["aic","aicc","bic"]
     @assert integrationTest ∈ ["kpss"]
-    @assert seasonalIntegrationTest ∈ ["seas","ch"]
+    @assert seasonalIntegrationTest ∈ ["seas","ch","ocsb"]
     @assert objectiveFunction ∈ ["mae","mse","ml","bilevel"] 
 
     ModelFl = eltype(values(y))

src/utils.jl

@@ -156,6 +156,15 @@ function selectSeasonalIntegrationOrder(
         return StateSpaceModels.seasonal_strength_test(y, seasonality)
     elseif test == "ch"
         return StateSpaceModels.canova_hansen_test(y, seasonality)
+    elseif test == "ocsb"
+        py"""
+        import pmdarima as pm
+        import numpy as np
+        def seasonal_diffs(ts, seasonal_period):
+            ts_np = np.array(ts)
+            return pm.arima.nsdiffs(ts_np, m=seasonal_period)
+        """
+        return py"seasonal_diffs"(y, seasonality)
     end
 
     throw(ArgumentError("The test $test is not supported"))