RFC: exogenous -> X

This RFC proposes the renaming of the exogenous arg to X. While this would impact the public API, we would allow the current exogenous argument to persist for several minor release cycles with a deprecation warning before completely removing it in the next major release (2.0).

Why?

• It’s typo-prone. We’ve received several issues lately with people asking why the exogenous argument was not doing anything. Upon close inspection, it was evident they were misspelling the arg as “exogeneous”, and the presence of **kwargs in the function signature allowed the argument through without raising a TypeError.
• It’s clunky. Typing exogenous when other APIs have simplified this to the ubiquitous X used in other scikit-style packages (scikit-learn, scikit-image, sktime) seems like a slightly annoying, arbitrary difference in signature definitions that keeps us from matching the signatures of other similar packages.
• It can be confusing. Not all of our user base is familiar with the classical statistics terminology and may not realize what this argument permits them. Conversely, nearly all users are familiar with the idea of what X allows them.

How?

For a while, we’d allow the exogenous argument to be passed in **kwargs, and would simply warn if it were present. For example:

def fit(self, y, X=None, **kwargs):
    if X is None:
        X = kwargs.pop("exogenous", None)
        if X is not None:
            warnings.warn("`exogenous` is deprecated and will raise an error "
                          "in version 2.0 - Use the `X` arg instead",
                          DeprecationWarning)

This would ensure backwards compatibility for several minor release cycles before the change was made, and would give sufficient time to users to switch over to the new naming scheme.

Precedent

Scikit-learn has made similar package naming decisions in the name of package consistency and ubiquity, notably in migrating the cross_validation namespace to the model_selection namespace in version 0.18. This was preceded by several minor releases that warned on imports.