wpi_detrending.py

from sktime.forecasting.trend import PolynomialTrendForecaster
from sktime.transformations.series.detrend import Detrender

# linear detrending
forecaster = PolynomialTrendForecaster(degree=1)
transformer = Detrender(forecaster=forecaster)
yt = transformer.fit_transform(wpi_train)

forecaster = PolynomialTrendForecaster(degree=1)
fh_ins = -np.arange(len(wpi_train))  # in-sample forecasting horizon
y_pred = forecaster.fit(wpi_train).predict(fh=fh_ins)

plot_series(
    wpi_train, y_pred, yt, labels=["y_train", "fitted linear trend", "residuals"]
)