After I run my app it turned out that ARIMA produces slightly better accuracy for raw data:
- Raw data MAE error: 4.83
- BOX-COX transformed data MAE error: 4.97
As I understand ARIMA should produce better results for stationary data. Base on that I should see better accuracy when I'm using BOX-COX transformed data right?
I'm wondering why in my case model gives worst results for stationary data and what can I do to improve my model?