AutoTS¶
+AutoTS¶
autots is an automated time series forecasting package for Python.
Installation¶
+Installation¶
pip install autots
Installation
-Getting Started¶
+Getting Started¶
- Intro
@@ -71,7 +79,7 @@ Getting Started
-Modules API¶
+Modules API¶
- autots
@@ -82,7 +90,7 @@ Modules API
-Indices and tables¶
+Indices and tables¶
@@ -172,21 +180,5 @@ Quick search
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diff --git a/docs/build/html/py-modindex.html b/docs/build/html/py-modindex.html
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@@ -1,16 +1,24 @@
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Python Module Index — AutoTS 0.6.10 documentation
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@@ -384,21 +392,5 @@ Quick search
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diff --git a/docs/build/html/search.html b/docs/build/html/search.html
index 3df5ee7b..5174fc8f 100644
--- a/docs/build/html/search.html
+++ b/docs/build/html/search.html
@@ -1,17 +1,25 @@
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Search — AutoTS 0.6.10 documentation
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@@ -133,21 +141,5 @@ Related Topics
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diff --git a/docs/build/html/searchindex.js b/docs/build/html/searchindex.js
index 1dde861e..f5e5d72c 100644
--- a/docs/build/html/searchindex.js
+++ b/docs/build/html/searchindex.js
@@ -1 +1 @@
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autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.random_model"]], "regression_check (autots.evaluator.auto_ts.autots attribute)": [[3, "autots.evaluator.auto_ts.AutoTS.regression_check"]], "remove_leading_zeros() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.remove_leading_zeros"]], "results() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.results"]], "retrieve_validation_forecasts() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.retrieve_validation_forecasts"]], "rmse() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.rmse"]], "root_mean_square_error() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.root_mean_square_error"]], "rps() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.rps"]], "run() (autots.evaluator.benchmark.benchmark method)": [[3, "autots.evaluator.benchmark.Benchmark.run"]], "save() (autots.evaluator.auto_model.templateevalobject method)": [[3, "autots.evaluator.auto_model.TemplateEvalObject.save"]], "save_template() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.save_template"]], "scaled_pinball_loss() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.scaled_pinball_loss"]], "score_per_series (autots.evaluator.auto_ts.autots attribute)": [[3, "autots.evaluator.auto_ts.AutoTS.score_per_series"]], "score_to_anomaly() (autots.evaluator.anomaly_detector.anomalydetector method)": [[3, "autots.evaluator.anomaly_detector.AnomalyDetector.score_to_anomaly"]], "set_limit() (autots.evaluator.event_forecasting.eventriskforecast method)": [[3, "autots.evaluator.event_forecasting.EventRiskForecast.set_limit"]], "set_limit() (autots.evaluator.event_forecasting.eventriskforecast static method)": [[3, "id13"]], "set_limit_forecast() (in module autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.set_limit_forecast"]], "set_limit_forecast_historic() (in module autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.set_limit_forecast_historic"]], "smape() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.smape"]], "smoothness() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.smoothness"]], "spl() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.spl"]], "symmetric_mean_absolute_percentage_error() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.symmetric_mean_absolute_percentage_error"]], "threshold_loss() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.threshold_loss"]], "trans_dict_recomb() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.trans_dict_recomb"]], "unpack_ensemble_models() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.unpack_ensemble_models"]], "unsorted_wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.unsorted_wasserstein"]], "validate_num_validations() (in module autots.evaluator.validation)": [[3, "autots.evaluator.validation.validate_num_validations"]], "validation_agg() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.validation_agg"]], "validation_aggregation() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.validation_aggregation"]], "wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.wasserstein"]], "arch (class in autots.models.arch)": [[4, "autots.models.arch.ARCH"]], "ardl (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARDL"]], "arima (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARIMA"]], "averagevaluenaive (class in autots.models.basics)": [[4, "autots.models.basics.AverageValueNaive"]], "balltreemultivariatemotif (class in autots.models.basics)": [[4, "autots.models.basics.BallTreeMultivariateMotif"]], "bayesianmultioutputregression (class in autots.models.cassandra)": [[4, "autots.models.cassandra.BayesianMultiOutputRegression"]], "bestnensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.BestNEnsemble"]], "cassandra (class in autots.models.cassandra)": [[4, "autots.models.cassandra.Cassandra"]], "componentanalysis (class in autots.models.sklearn)": [[4, "autots.models.sklearn.ComponentAnalysis"]], "constantnaive (class in autots.models.basics)": [[4, "autots.models.basics.ConstantNaive"]], "datepartregression (class in autots.models.sklearn)": [[4, "autots.models.sklearn.DatepartRegression"]], "distensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.DistEnsemble"]], "dynamicfactor (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.DynamicFactor"]], "dynamicfactormq (class in autots.models.statsmodels)": [[4, 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"module-autots.tools.fft"]], "autots.tools.hierarchial module": [[6, "module-autots.tools.hierarchial"]], "autots.tools.holiday module": [[6, "module-autots.tools.holiday"]], "autots.tools.impute module": [[6, "module-autots.tools.impute"]], "autots.tools.lunar module": [[6, "module-autots.tools.lunar"]], "autots.tools.percentile module": [[6, "module-autots.tools.percentile"]], "autots.tools.probabilistic module": [[6, "module-autots.tools.probabilistic"]], "autots.tools.profile module": [[6, "module-autots.tools.profile"]], "autots.tools.regressor module": [[6, "module-autots.tools.regressor"]], "autots.tools.seasonal module": [[6, "module-autots.tools.seasonal"]], "autots.tools.shaping module": [[6, "module-autots.tools.shaping"]], "autots.tools.thresholding module": [[6, "module-autots.tools.thresholding"]], "autots.tools.transform module": [[6, "module-autots.tools.transform"]], "autots.tools.window_functions module": [[6, "module-autots.tools.window_functions"]], "Intro": [[7, "intro"]], "Table of Contents": [[7, "table-of-contents"], [9, "table-of-contents"]], "Basic Use": [[7, "id2"]], "Tips for Speed and Large Data:": [[7, "id3"]], "How to Contribute:": [[7, "how-to-contribute"]], "autots": [[8, "autots"]], "Tutorial": [[9, "tutorial"]], "Extended Tutorial": [[9, "extended-tutorial"]], "A simple example": [[9, "id1"]], "Import of data": [[9, "import-of-data"]], "You can tailor the process in a few ways\u2026": [[9, "you-can-tailor-the-process-in-a-few-ways"]], "What to Worry About": [[9, "what-to-worry-about"]], "Validation and Cross Validation": [[9, "id2"]], "Another Example:": [[9, "id3"]], "Model Lists": [[9, "id4"]], "Deployment and Template Import/Export": [[9, "deployment-and-template-import-export"]], "Running Just One Model": [[9, "id5"]], "Metrics": [[9, "id6"]], "Hierarchial and Grouped Forecasts": [[9, "hierarchial-and-grouped-forecasts"]], "Ensembles": [[9, "id7"]], "Installation and Dependency Versioning": [[9, "installation-and-dependency-versioning"]], "Requirements:": [[9, "requirements"]], "Optional Packages": [[9, "optional-packages"]], "Safest bet for installation:": [[9, "safest-bet-for-installation"]], "Intel conda channel installation (sometime faster, also, more prone to bugs)": [[9, "intel-conda-channel-installation-sometime-faster-also-more-prone-to-bugs"]], "Speed Benchmark": [[9, "speed-benchmark"]], "Caveats and Advice": [[9, "caveats-and-advice"]], "Mysterious crashes": [[9, "mysterious-crashes"]], "Series IDs really need to be unique (or column names need to be all unique in wide data)": [[9, "series-ids-really-need-to-be-unique-or-column-names-need-to-be-all-unique-in-wide-data"]], "Short Training History": [[9, "short-training-history"]], "Adding regressors and other information": [[9, "adding-regressors-and-other-information"]], "Simulation Forecasting": [[9, "id8"]], "Event Risk Forecasting and Anomaly Detection": [[9, "event-risk-forecasting-and-anomaly-detection"]], "A Hack for Passing in Parameters (that aren\u2019t otherwise available)": [[9, "a-hack-for-passing-in-parameters-that-aren-t-otherwise-available"]], "Categorical Data": [[9, "categorical-data"]], "Custom and Unusual Frequencies": [[9, "custom-and-unusual-frequencies"]], "Using the Transformers independently": [[9, "using-the-transformers-independently"]], "Note on ~Regression Models": [[9, "note-on-regression-models"]], "Models": [[9, "id9"]]}, "indexentries": {"anomalydetector (class in autots)": [[1, "autots.AnomalyDetector"]], "autots (class in autots)": [[1, "autots.AutoTS"]], "cassandra (class in autots)": [[1, "autots.Cassandra"]], "eventriskforecast (class in autots)": [[1, "autots.EventRiskForecast"]], "generaltransformer (class in autots)": [[1, "autots.GeneralTransformer"]], "holidaydetector (class in autots)": [[1, "autots.HolidayDetector"]], "randomtransform() (in module autots)": [[1, "autots.RandomTransform"]], "transformts (in module autots)": [[1, "autots.TransformTS"]], "analyze_trend() (autots.cassandra method)": [[1, "autots.Cassandra.analyze_trend"]], "anomalies (autots.cassandra..anomaly_detector attribute)": [[1, "autots.Cassandra..anomaly_detector.anomalies"]], "auto_fit() (autots.cassandra method)": [[1, "autots.Cassandra.auto_fit"]], "autots": [[1, "module-autots"]], "back_forecast() (autots.autots method)": [[1, "autots.AutoTS.back_forecast"]], "base_scaler() (autots.cassandra method)": [[1, "autots.Cassandra.base_scaler"]], "best_model (autots.autots attribute)": [[1, "autots.AutoTS.best_model"]], "best_model_ensemble (autots.autots attribute)": [[1, "autots.AutoTS.best_model_ensemble"]], "best_model_name (autots.autots attribute)": [[1, "autots.AutoTS.best_model_name"]], "best_model_params (autots.autots attribute)": [[1, "autots.AutoTS.best_model_params"]], "best_model_per_series_mape() (autots.autots method)": [[1, "autots.AutoTS.best_model_per_series_mape"]], "best_model_per_series_score() (autots.autots method)": [[1, "autots.AutoTS.best_model_per_series_score"]], "best_model_transformation_params (autots.autots attribute)": [[1, "autots.AutoTS.best_model_transformation_params"]], "compare_actual_components() (autots.cassandra method)": [[1, "autots.Cassandra.compare_actual_components"]], "create_forecast_index() (autots.cassandra method)": [[1, "autots.Cassandra.create_forecast_index"]], "create_lagged_regressor() (in module autots)": [[1, "autots.create_lagged_regressor"]], "create_regressor() (in module autots)": [[1, "autots.create_regressor"]], "create_t() (autots.cassandra method)": [[1, "autots.Cassandra.create_t"]], "cross_validate() (autots.cassandra method)": [[1, "autots.Cassandra.cross_validate"]], "dates_to_holidays() (autots.cassandra.holiday_detector method)": [[1, "autots.Cassandra.holiday_detector.dates_to_holidays"]], "dates_to_holidays() (autots.holidaydetector method)": [[1, "autots.HolidayDetector.dates_to_holidays"]], "detect() (autots.anomalydetector method)": [[1, "autots.AnomalyDetector.detect"]], "detect() (autots.holidaydetector method)": [[1, "autots.HolidayDetector.detect"]], "df_wide_numeric (autots.autots attribute)": [[1, "autots.AutoTS.df_wide_numeric"]], "diagnose_params() (autots.autots method)": [[1, "autots.AutoTS.diagnose_params"]], "expand_horizontal() (autots.autots method)": [[1, "autots.AutoTS.expand_horizontal"]], "export_best_model() (autots.autots method)": [[1, "autots.AutoTS.export_best_model"]], "export_template() (autots.autots method)": [[1, "autots.AutoTS.export_template"]], "failure_rate() (autots.autots method)": [[1, "autots.AutoTS.failure_rate"]], "feature_importance() (autots.cassandra method)": [[1, "autots.Cassandra.feature_importance"]], "fill_na() (autots.generaltransformer method)": [[1, "autots.GeneralTransformer.fill_na"]], "fit() (autots.anomalydetector method)": [[1, "autots.AnomalyDetector.fit"]], "fit() (autots.autots method)": [[1, "autots.AutoTS.fit"]], "fit() (autots.cassandra method)": [[1, "autots.Cassandra.fit"], [1, "id0"]], "fit() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.fit"], [1, "id9"]], "fit() (autots.generaltransformer method)": [[1, "autots.GeneralTransformer.fit"]], "fit() (autots.holidaydetector method)": [[1, "autots.HolidayDetector.fit"]], "fit_anomaly_classifier() (autots.anomalydetector method)": [[1, "autots.AnomalyDetector.fit_anomaly_classifier"]], "fit_data() (autots.autots method)": [[1, "autots.AutoTS.fit_data"]], "fit_data() (autots.cassandra method)": [[1, "autots.Cassandra.fit_data"]], "fit_transform() (autots.generaltransformer method)": [[1, "autots.GeneralTransformer.fit_transform"]], "generate_historic_risk_array() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.generate_historic_risk_array"]], "generate_historic_risk_array() (autots.eventriskforecast static method)": [[1, "id10"]], "generate_result_windows() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.generate_result_windows"], [1, "id11"]], "generate_risk_array() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.generate_risk_array"]], "generate_risk_array() (autots.eventriskforecast static method)": [[1, "id12"]], "get_metric_corr() (autots.autots method)": [[1, "autots.AutoTS.get_metric_corr"]], "get_new_params() (autots.anomalydetector static method)": [[1, "autots.AnomalyDetector.get_new_params"]], "get_new_params() (autots.autots static method)": [[1, "autots.AutoTS.get_new_params"]], "get_new_params() (autots.cassandra method)": [[1, "autots.Cassandra.get_new_params"], [1, "id1"]], "get_new_params() (autots.generaltransformer static method)": [[1, "autots.GeneralTransformer.get_new_params"]], "get_new_params() (autots.holidaydetector static method)": [[1, "autots.HolidayDetector.get_new_params"]], "get_params() (autots.cassandra method)": [[1, "autots.Cassandra.get_params"]], "holiday_count (autots.cassandra. attribute)": [[1, "autots.Cassandra..holiday_count"]], "holidays (autots.cassandra. attribute)": [[1, "autots.Cassandra..holidays"]], "horizontal_per_generation() (autots.autots method)": [[1, "autots.AutoTS.horizontal_per_generation"]], "horizontal_to_df() (autots.autots method)": [[1, "autots.AutoTS.horizontal_to_df"]], "import_best_model() (autots.autots method)": [[1, "autots.AutoTS.import_best_model"]], "import_results() (autots.autots method)": [[1, "autots.AutoTS.import_results"]], "import_template() (autots.autots method)": [[1, "autots.AutoTS.import_template"]], "infer_frequency() (in module autots)": [[1, "autots.infer_frequency"]], "inverse_transform() (autots.generaltransformer method)": [[1, "autots.GeneralTransformer.inverse_transform"]], "list_failed_model_types() (autots.autots method)": [[1, "autots.AutoTS.list_failed_model_types"]], "load_artificial() (in module autots)": [[1, "autots.load_artificial"]], "load_daily() (in module autots)": [[1, "autots.load_daily"]], "load_hourly() (in module autots)": [[1, "autots.load_hourly"]], "load_linear() (in module autots)": [[1, "autots.load_linear"]], "load_live_daily() (in module autots)": [[1, "autots.load_live_daily"]], "load_monthly() (in module autots)": [[1, "autots.load_monthly"]], "load_sine() (in module autots)": [[1, "autots.load_sine"]], "load_template() (autots.autots method)": [[1, "autots.AutoTS.load_template"]], "load_weekdays() (in module autots)": [[1, "autots.load_weekdays"]], "load_weekly() (in module autots)": [[1, "autots.load_weekly"]], "load_yearly() (in module autots)": [[1, "autots.load_yearly"]], "long_to_wide() (in module autots)": [[1, "autots.long_to_wide"]], "model_forecast() (in module autots)": [[1, "autots.model_forecast"]], "model_results (autots.autots.initial_results attribute)": [[1, "autots.AutoTS.initial_results.model_results"]], "module": [[1, "module-autots"], [2, "module-autots.datasets"], [2, "module-autots.datasets.fred"], [3, "module-autots.evaluator"], [3, 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"module-autots.models.tide"], [5, "module-autots.templates"], [5, "module-autots.templates.general"], [6, "module-autots.tools"], [6, "module-autots.tools.anomaly_utils"], [6, "module-autots.tools.calendar"], [6, "module-autots.tools.cointegration"], [6, "module-autots.tools.cpu_count"], [6, "module-autots.tools.fast_kalman"], [6, "module-autots.tools.fft"], [6, "module-autots.tools.hierarchial"], [6, "module-autots.tools.holiday"], [6, "module-autots.tools.impute"], [6, "module-autots.tools.lunar"], [6, "module-autots.tools.percentile"], [6, "module-autots.tools.probabilistic"], [6, "module-autots.tools.profile"], [6, "module-autots.tools.regressor"], [6, "module-autots.tools.seasonal"], [6, "module-autots.tools.shaping"], [6, "module-autots.tools.thresholding"], [6, "module-autots.tools.transform"], [6, "module-autots.tools.window_functions"]], "mosaic_to_df() (autots.autots method)": [[1, "autots.AutoTS.mosaic_to_df"]], "next_fit() (autots.cassandra method)": [[1, "autots.Cassandra.next_fit"]], "params (autots.cassandra. attribute)": [[1, "autots.Cassandra..params"]], "parse_best_model() (autots.autots method)": [[1, "autots.AutoTS.parse_best_model"]], "plot() (autots.anomalydetector method)": [[1, "autots.AnomalyDetector.plot"]], "plot() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.plot"], [1, "id13"]], "plot() (autots.holidaydetector method)": [[1, "autots.HolidayDetector.plot"]], "plot_anomaly() (autots.holidaydetector method)": [[1, "autots.HolidayDetector.plot_anomaly"]], "plot_back_forecast() (autots.autots method)": [[1, "autots.AutoTS.plot_back_forecast"]], "plot_backforecast() (autots.autots method)": [[1, "autots.AutoTS.plot_backforecast"]], "plot_components() (autots.cassandra method)": [[1, "autots.Cassandra.plot_components"], [1, "id2"]], "plot_eval() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.plot_eval"]], "plot_forecast() (autots.cassandra method)": [[1, "autots.Cassandra.plot_forecast"], [1, "id3"]], "plot_generation_loss() (autots.autots method)": [[1, "autots.AutoTS.plot_generation_loss"]], "plot_horizontal() (autots.autots method)": [[1, "autots.AutoTS.plot_horizontal"]], "plot_horizontal_model_count() (autots.autots method)": [[1, "autots.AutoTS.plot_horizontal_model_count"]], "plot_horizontal_per_generation() (autots.autots method)": [[1, "autots.AutoTS.plot_horizontal_per_generation"]], "plot_horizontal_transformers() (autots.autots method)": [[1, "autots.AutoTS.plot_horizontal_transformers"]], "plot_metric_corr() (autots.autots method)": [[1, "autots.AutoTS.plot_metric_corr"]], "plot_per_series_error() (autots.autots method)": [[1, "autots.AutoTS.plot_per_series_error"]], "plot_per_series_mape() (autots.autots method)": [[1, "autots.AutoTS.plot_per_series_mape"]], "plot_per_series_smape() (autots.autots method)": [[1, "autots.AutoTS.plot_per_series_smape"]], "plot_things() (autots.cassandra method)": [[1, "autots.Cassandra.plot_things"]], "plot_transformer_failure_rate() (autots.autots method)": [[1, "autots.AutoTS.plot_transformer_failure_rate"]], "plot_trend() (autots.cassandra method)": [[1, "autots.Cassandra.plot_trend"], [1, "id4"]], "plot_validations() (autots.autots method)": [[1, "autots.AutoTS.plot_validations"]], "predict() (autots.autots method)": [[1, "autots.AutoTS.predict"]], "predict() (autots.cassandra method)": [[1, "autots.Cassandra.predict"], [1, "id5"]], "predict() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.predict"], [1, "id14"]], "predict_historic() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.predict_historic"], [1, "id15"]], "predict_new_product() (autots.cassandra method)": [[1, "autots.Cassandra.predict_new_product"]], "predict_x_array (autots.cassandra. attribute)": [[1, "autots.Cassandra..predict_x_array"]], "predicted_trend (autots.cassandra. attribute)": [[1, "autots.Cassandra..predicted_trend"]], "process_components() (autots.cassandra method)": [[1, "autots.Cassandra.process_components"]], "regression_check (autots.autots attribute)": [[1, "autots.AutoTS.regression_check"]], "results() (autots.autots method)": [[1, "autots.AutoTS.results"]], "retrieve_transformer() (autots.generaltransformer class method)": [[1, "autots.GeneralTransformer.retrieve_transformer"]], "retrieve_validation_forecasts() (autots.autots method)": [[1, "autots.AutoTS.retrieve_validation_forecasts"]], "return_components() (autots.cassandra method)": [[1, "autots.Cassandra.return_components"], [1, "id6"]], "rolling_trend() (autots.cassandra method)": [[1, "autots.Cassandra.rolling_trend"]], "save_template() (autots.autots method)": [[1, "autots.AutoTS.save_template"]], "scale_data() (autots.cassandra method)": [[1, "autots.Cassandra.scale_data"]], "score_per_series (autots.autots attribute)": [[1, "autots.AutoTS.score_per_series"]], "score_to_anomaly() (autots.anomalydetector method)": [[1, "autots.AnomalyDetector.score_to_anomaly"]], "scores (autots.cassandra..anomaly_detector attribute)": [[1, "autots.Cassandra..anomaly_detector.scores"]], "set_limit() (autots.eventriskforecast method)": [[1, "autots.EventRiskForecast.set_limit"]], "set_limit() (autots.eventriskforecast static method)": [[1, "id16"]], "to_origin_space() (autots.cassandra method)": [[1, "autots.Cassandra.to_origin_space"]], "transform() (autots.generaltransformer method)": [[1, "autots.GeneralTransformer.transform"]], "treatment_causal_impact() (autots.cassandra method)": [[1, "autots.Cassandra.treatment_causal_impact"]], "trend_train (autots.cassandra. attribute)": [[1, "autots.Cassandra..trend_train"]], "validation_agg() (autots.autots method)": [[1, "autots.AutoTS.validation_agg"]], "x_array (autots.cassandra. attribute)": [[1, "autots.Cassandra..x_array"]], "autots.datasets": [[2, "module-autots.datasets"]], "autots.datasets.fred": [[2, "module-autots.datasets.fred"]], "get_fred_data() (in module autots.datasets.fred)": [[2, "autots.datasets.fred.get_fred_data"]], "load_artificial() (in module autots.datasets)": [[2, "autots.datasets.load_artificial"]], "load_daily() (in module autots.datasets)": [[2, "autots.datasets.load_daily"]], "load_hourly() (in module autots.datasets)": [[2, "autots.datasets.load_hourly"]], "load_linear() (in module autots.datasets)": [[2, "autots.datasets.load_linear"]], "load_live_daily() (in module autots.datasets)": [[2, "autots.datasets.load_live_daily"]], "load_monthly() (in module autots.datasets)": [[2, "autots.datasets.load_monthly"]], "load_sine() (in module autots.datasets)": [[2, "autots.datasets.load_sine"]], "load_weekdays() (in module autots.datasets)": [[2, "autots.datasets.load_weekdays"]], "load_weekly() (in module autots.datasets)": [[2, "autots.datasets.load_weekly"]], "load_yearly() (in module autots.datasets)": [[2, "autots.datasets.load_yearly"]], "load_zeroes() (in module autots.datasets)": [[2, "autots.datasets.load_zeroes"]], "anomalydetector (class in autots.evaluator.anomaly_detector)": [[3, "autots.evaluator.anomaly_detector.AnomalyDetector"]], "autots (class in autots.evaluator.auto_ts)": [[3, "autots.evaluator.auto_ts.AutoTS"]], "benchmark (class in autots.evaluator.benchmark)": [[3, "autots.evaluator.benchmark.Benchmark"]], "eventriskforecast (class in autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.EventRiskForecast"]], "holidaydetector (class in autots.evaluator.anomaly_detector)": [[3, "autots.evaluator.anomaly_detector.HolidayDetector"]], "modelmonster() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.ModelMonster"]], "modelprediction (class in autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.ModelPrediction"]], "newgenetictemplate() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.NewGeneticTemplate"]], "randomtemplate() (in module autots.evaluator.auto_model)": [[3, 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"unsorted_wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.unsorted_wasserstein"]], "validate_num_validations() (in module autots.evaluator.validation)": [[3, "autots.evaluator.validation.validate_num_validations"]], "validation_agg() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.validation_agg"]], "validation_aggregation() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.validation_aggregation"]], "wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.wasserstein"]], "arch (class in autots.models.arch)": [[4, "autots.models.arch.ARCH"]], "ardl (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARDL"]], "arima (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARIMA"]], "averagevaluenaive (class in autots.models.basics)": [[4, "autots.models.basics.AverageValueNaive"]], "balltreemultivariatemotif (class in autots.models.basics)": [[4, "autots.models.basics.BallTreeMultivariateMotif"]], "bayesianmultioutputregression (class in autots.models.cassandra)": [[4, "autots.models.cassandra.BayesianMultiOutputRegression"]], "bestnensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.BestNEnsemble"]], "cassandra (class in autots.models.cassandra)": [[4, "autots.models.cassandra.Cassandra"]], "componentanalysis (class in autots.models.sklearn)": [[4, "autots.models.sklearn.ComponentAnalysis"]], "constantnaive (class in autots.models.basics)": [[4, "autots.models.basics.ConstantNaive"]], "datepartregression (class in autots.models.sklearn)": [[4, "autots.models.sklearn.DatepartRegression"]], "distensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.DistEnsemble"]], "dynamicfactor (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.DynamicFactor"]], "dynamicfactormq (class in autots.models.statsmodels)": [[4, 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autots.models.ensemble)": [[4, "autots.models.ensemble.HorizontalEnsemble"]], "horizontaltemplategenerator() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.HorizontalTemplateGenerator"]], "kalmanstatespace (class in autots.models.basics)": [[4, "autots.models.basics.KalmanStateSpace"]], "kerasrnn (class in autots.models.dnn)": [[4, "autots.models.dnn.KerasRNN"]], "latc (class in autots.models.matrix_var)": [[4, "autots.models.matrix_var.LATC"]], "lastvaluenaive (class in autots.models.basics)": [[4, "autots.models.basics.LastValueNaive"]], "mar (class in autots.models.matrix_var)": [[4, "autots.models.matrix_var.MAR"]], "mlensemble (class in autots.models.mlensemble)": [[4, "autots.models.mlensemble.MLEnsemble"]], "metricmotif (class in autots.models.basics)": [[4, "autots.models.basics.MetricMotif"]], "modelobject (class in autots.models.base)": [[4, "autots.models.base.ModelObject"]], "mosaicensemble() (in module autots.models.ensemble)": [[4, 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[[4, "autots.models.sklearn.DatepartRegression.fit_data"]], "fit_data() (autots.models.sklearn.multivariateregression method)": [[4, "autots.models.sklearn.MultivariateRegression.fit_data"]], "fit_data() (autots.models.sklearn.preprocessingregression method)": [[4, "autots.models.sklearn.PreprocessingRegression.fit_data"]], "fit_data() (autots.models.sklearn.windowregression method)": [[4, "autots.models.sklearn.WindowRegression.fit_data"]], "fit_linear_model() (in module autots.models.cassandra)": [[4, "autots.models.cassandra.fit_linear_model"]], "forecast (autots.models.base.predictionobject attribute)": [[4, "autots.models.base.PredictionObject.forecast"]], "generalize_horizontal() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.generalize_horizontal"]], "generate_psi() (in module autots.models.matrix_var)": [[4, "autots.models.matrix_var.generate_Psi"]], "generate_classifier_params() (in module autots.models.sklearn)": [[4, 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"predict() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.predict"]], "predict_next() (autots.tools.fast_kalman.kalmanfilter method)": [[6, "autots.tools.fast_kalman.KalmanFilter.predict_next"]], "predict_observation() (autots.tools.fast_kalman.kalmanfilter method)": [[6, "autots.tools.fast_kalman.KalmanFilter.predict_observation"]], "predict_observation() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.predict_observation"]], "priv_smooth() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.priv_smooth"]], "priv_update_with_nan_check() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.priv_update_with_nan_check"]], "prune_anoms() (autots.tools.thresholding.nonparametricthreshold method)": [[6, "autots.tools.thresholding.NonparametricThreshold.prune_anoms"]], "query_holidays() (in module autots.tools.holiday)": [[6, "autots.tools.holiday.query_holidays"]], "random_cleaners() (in module autots.tools.transform)": [[6, "autots.tools.transform.random_cleaners"]], "random_datepart() (in module autots.tools.seasonal)": [[6, "autots.tools.seasonal.random_datepart"]], "random_state_space() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.random_state_space"]], "reconcile() (autots.tools.hierarchial.hierarchial method)": [[6, "autots.tools.hierarchial.hierarchial.reconcile"]], "remove_outliers() (in module autots.tools.transform)": [[6, "autots.tools.transform.remove_outliers"]], "retrieve_closest_indices() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.retrieve_closest_indices"]], "retrieve_transformer() (autots.tools.transform.generaltransformer class method)": [[6, "autots.tools.transform.GeneralTransformer.retrieve_transformer"]], "rolling_mean() (in module autots.tools.impute)": [[6, "autots.tools.impute.rolling_mean"]], "rolling_window_view() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.rolling_window_view"]], "score_anomalies() (autots.tools.thresholding.nonparametricthreshold method)": [[6, "autots.tools.thresholding.NonparametricThreshold.score_anomalies"]], "score_to_anomaly() (autots.tools.transform.anomalyremoval method)": [[6, "autots.tools.transform.AnomalyRemoval.score_to_anomaly"]], "seasonal_independent_match() (in module autots.tools.seasonal)": [[6, "autots.tools.seasonal.seasonal_independent_match"]], "seasonal_int() (in module autots.tools.seasonal)": [[6, "autots.tools.seasonal.seasonal_int"]], "seasonal_window_match() (in module autots.tools.seasonal)": [[6, "autots.tools.seasonal.seasonal_window_match"]], "set_n_jobs() (in module autots.tools.cpu_count)": [[6, "autots.tools.cpu_count.set_n_jobs"]], "simple_context_slicer() (in module autots.tools.transform)": [[6, "autots.tools.transform.simple_context_slicer"]], "simple_train_test_split() (in module autots.tools.shaping)": [[6, "autots.tools.shaping.simple_train_test_split"]], "sk_outliers() (in module autots.tools.anomaly_utils)": [[6, "autots.tools.anomaly_utils.sk_outliers"]], "sliding_window_view() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.sliding_window_view"]], "smooth() (autots.tools.fast_kalman.kalmanfilter method)": [[6, "autots.tools.fast_kalman.KalmanFilter.smooth"]], "smooth() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.smooth"]], "smooth_current() (autots.tools.fast_kalman.kalmanfilter method)": [[6, "autots.tools.fast_kalman.KalmanFilter.smooth_current"]], "split_digits_and_non_digits() (in module autots.tools.shaping)": [[6, "autots.tools.shaping.split_digits_and_non_digits"]], "subset_series() (in module autots.tools.shaping)": [[6, "autots.tools.shaping.subset_series"]], "to_jd() (in module autots.tools.calendar)": [[6, "autots.tools.calendar.to_jd"]], "todeg() (in module autots.tools.lunar)": [[6, "autots.tools.lunar.todeg"]], "torad() (in module autots.tools.lunar)": [[6, "autots.tools.lunar.torad"]], "transform() (autots.tools.hierarchial.hierarchial method)": [[6, "autots.tools.hierarchial.hierarchial.transform"]], "transform() (autots.tools.shaping.numerictransformer method)": [[6, "autots.tools.shaping.NumericTransformer.transform"]], "transform() (autots.tools.transform.alignlastdiff method)": [[6, "autots.tools.transform.AlignLastDiff.transform"]], "transform() (autots.tools.transform.alignlastvalue method)": [[6, "autots.tools.transform.AlignLastValue.transform"]], "transform() (autots.tools.transform.anomalyremoval method)": [[6, "autots.tools.transform.AnomalyRemoval.transform"]], "transform() (autots.tools.transform.bkbandpassfilter method)": [[6, "autots.tools.transform.BKBandpassFilter.transform"]], "transform() (autots.tools.transform.btcd method)": [[6, "autots.tools.transform.BTCD.transform"]], "transform() (autots.tools.transform.centerlastvalue method)": [[6, "autots.tools.transform.CenterLastValue.transform"]], "transform() (autots.tools.transform.centersplit method)": [[6, "autots.tools.transform.CenterSplit.transform"]], "transform() (autots.tools.transform.clipoutliers method)": [[6, "autots.tools.transform.ClipOutliers.transform"]], "transform() (autots.tools.transform.cointegration method)": [[6, "autots.tools.transform.Cointegration.transform"]], "transform() (autots.tools.transform.cumsumtransformer method)": [[6, "autots.tools.transform.CumSumTransformer.transform"]], "transform() (autots.tools.transform.datepartregressiontransformer method)": [[6, "autots.tools.transform.DatepartRegressionTransformer.transform"]], "transform() (autots.tools.transform.detrend method)": [[6, "autots.tools.transform.Detrend.transform"]], "transform() (autots.tools.transform.diffsmoother method)": [[6, "autots.tools.transform.DiffSmoother.transform"]], "transform() (autots.tools.transform.differencedtransformer method)": [[6, "autots.tools.transform.DifferencedTransformer.transform"]], "transform() (autots.tools.transform.discretize method)": [[6, "autots.tools.transform.Discretize.transform"]], "transform() (autots.tools.transform.ewmafilter method)": [[6, "autots.tools.transform.EWMAFilter.transform"]], "transform() (autots.tools.transform.emptytransformer method)": [[6, "autots.tools.transform.EmptyTransformer.transform"]], "transform() (autots.tools.transform.fftdecomposition method)": [[6, "autots.tools.transform.FFTDecomposition.transform"]], "transform() (autots.tools.transform.fftfilter method)": [[6, "autots.tools.transform.FFTFilter.transform"]], "transform() (autots.tools.transform.fastica method)": [[6, "autots.tools.transform.FastICA.transform"]], "transform() (autots.tools.transform.generaltransformer method)": [[6, "autots.tools.transform.GeneralTransformer.transform"]], "transform() (autots.tools.transform.hpfilter method)": [[6, "autots.tools.transform.HPFilter.transform"]], "transform() (autots.tools.transform.historicvalues method)": [[6, "autots.tools.transform.HistoricValues.transform"]], "transform() (autots.tools.transform.holidaytransformer method)": [[6, "autots.tools.transform.HolidayTransformer.transform"]], "transform() (autots.tools.transform.intermittentoccurrence method)": [[6, "autots.tools.transform.IntermittentOccurrence.transform"]], "transform() (autots.tools.transform.kalmansmoothing method)": [[6, "autots.tools.transform.KalmanSmoothing.transform"]], "transform() (autots.tools.transform.levelshiftmagic method)": [[6, "autots.tools.transform.LevelShiftMagic.transform"]], "transform() (autots.tools.transform.locallineartrend method)": [[6, "autots.tools.transform.LocalLinearTrend.transform"]], "transform() (autots.tools.transform.meandifference method)": [[6, "autots.tools.transform.MeanDifference.transform"]], "transform() (autots.tools.transform.pca method)": [[6, "autots.tools.transform.PCA.transform"]], "transform() (autots.tools.transform.pctchangetransformer method)": [[6, "autots.tools.transform.PctChangeTransformer.transform"]], "transform() (autots.tools.transform.positiveshift method)": [[6, "autots.tools.transform.PositiveShift.transform"]], "transform() (autots.tools.transform.regressionfilter method)": [[6, "autots.tools.transform.RegressionFilter.transform"]], "transform() (autots.tools.transform.replaceconstant method)": [[6, "autots.tools.transform.ReplaceConstant.transform"]], "transform() (autots.tools.transform.rollingmeantransformer method)": [[6, "autots.tools.transform.RollingMeanTransformer.transform"]], "transform() (autots.tools.transform.round method)": [[6, "autots.tools.transform.Round.transform"]], "transform() (autots.tools.transform.stlfilter method)": [[6, "autots.tools.transform.STLFilter.transform"]], "transform() (autots.tools.transform.scipyfilter method)": [[6, "autots.tools.transform.ScipyFilter.transform"]], "transform() (autots.tools.transform.seasonaldifference method)": [[6, "autots.tools.transform.SeasonalDifference.transform"]], "transform() (autots.tools.transform.sintrend method)": [[6, "autots.tools.transform.SinTrend.transform"]], "transform() (autots.tools.transform.slice method)": [[6, "autots.tools.transform.Slice.transform"]], "transform() (autots.tools.transform.statsmodelsfilter method)": [[6, "autots.tools.transform.StatsmodelsFilter.transform"]], "transformer_list_to_dict() (in module autots.tools.transform)": [[6, "autots.tools.transform.transformer_list_to_dict"]], "trimmed_mean() (in module autots.tools.percentile)": [[6, "autots.tools.percentile.trimmed_mean"]], "unvectorize_state() (autots.tools.fast_kalman.gaussian method)": [[6, "autots.tools.fast_kalman.Gaussian.unvectorize_state"]], "unvectorize_vars() (autots.tools.fast_kalman.gaussian method)": [[6, "autots.tools.fast_kalman.Gaussian.unvectorize_vars"]], "update() (autots.tools.fast_kalman.kalmanfilter method)": [[6, "autots.tools.fast_kalman.KalmanFilter.update"]], "update() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.update"]], "update_with_nan_check() (in module autots.tools.fast_kalman)": [[6, "autots.tools.fast_kalman.update_with_nan_check"]], "values_to_anomalies() (in module autots.tools.anomaly_utils)": [[6, "autots.tools.anomaly_utils.values_to_anomalies"]], "wide_to_3d() (in module autots.tools.shaping)": [[6, "autots.tools.shaping.wide_to_3d"]], "window_id_maker() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_id_maker"]], "window_lin_reg() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_lin_reg"]], "window_lin_reg_mean() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_lin_reg_mean"]], "window_lin_reg_mean_no_nan() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_lin_reg_mean_no_nan"]], "window_maker() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_maker"]], "window_maker_2() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_maker_2"]], "window_maker_3() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_maker_3"]], "window_sum_mean() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_sum_mean"]], "window_sum_mean_nan_tail() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_sum_mean_nan_tail"]], "window_sum_nan_mean() (in module autots.tools.window_functions)": [[6, "autots.tools.window_functions.window_sum_nan_mean"]], "zscore_survival_function() (in module autots.tools.anomaly_utils)": [[6, "autots.tools.anomaly_utils.zscore_survival_function"]]}})
\ No newline at end of file
diff --git a/docs/build/html/source/autots.datasets.html b/docs/build/html/source/autots.datasets.html
index f19983ca..baf4f2bd 100644
--- a/docs/build/html/source/autots.datasets.html
+++ b/docs/build/html/source/autots.datasets.html
@@ -1,17 +1,25 @@
-
-
+
+
+
+
+
autots.datasets package — AutoTS 0.6.10 documentation
-
-
-
-
-
+
+
+
+
+
@@ -33,18 +41,18 @@
-autots.datasets package¶
+autots.datasets package¶
-Submodules¶
+Submodules¶
-autots.datasets.fred module¶
+autots.datasets.fred module¶
FRED (Federal Reserve Economic Data) Data Import
requires API key from FRED
and pip install fredapi
-
-autots.datasets.fred.get_fred_data(fredkey: str, SeriesNameDict: dict | None = None, long=True, observation_start=None, sleep_seconds: int = 1, **kwargs)¶
+autots.datasets.fred.get_fred_data(fredkey: str, SeriesNameDict: dict | None = None, long=True, observation_start=None, sleep_seconds: int = 1, **kwargs)¶
Imports Data from Federal Reserve.
For simplest results, make sure requested series are all of the same frequency.
@@ -64,11 +72,11 @@ Submodules
-Module contents¶
+Module contents¶
Tools for Importing Sample Data
-
-autots.datasets.load_artificial(long=False, date_start=None, date_end=None)¶
+autots.datasets.load_artificial(long=False, date_start=None, date_end=None)¶
Load artifically generated series from random distributions.
- Parameters:
@@ -83,7 +91,7 @@ Submodules
-
-autots.datasets.load_daily(long: bool = True)¶
+autots.datasets.load_daily(long: bool = True)¶
Daily sample data.
- wiki = [
“Germany”, “Thanksgiving”, ‘all’, ‘Microsoft’,
@@ -106,13 +114,13 @@
Submodules
-
-autots.datasets.load_hourly(long: bool = True)¶
+autots.datasets.load_hourly(long: bool = True)¶
Traffic data from the MN DOT via the UCI data repository.
-
-autots.datasets.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶
+autots.datasets.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
- Parameters:
@@ -130,7 +138,7 @@ Submodules
-
-autots.datasets.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶
+autots.datasets.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶
Generates a dataframe of data up to the present day. Requires active internet connection.
Try to be respectful of these free data sources by not calling too much too heavily.
Pass None instead of specification lists to exclude a data source.
@@ -167,19 +175,19 @@ Submodules
-
-autots.datasets.load_monthly(long: bool = True)¶
+autots.datasets.load_monthly(long: bool = True)¶
Federal Reserve of St. Louis monthly economic indicators.
-
-autots.datasets.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶
+autots.datasets.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
-
-autots.datasets.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶
+autots.datasets.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶
Test edge cases by creating a Series with values as day of week.
- Parameters:
@@ -195,19 +203,19 @@ Submodules
-
-autots.datasets.load_weekly(long: bool = True)¶
+autots.datasets.load_weekly(long: bool = True)¶
Weekly petroleum industry data from the EIA.
-
-autots.datasets.load_yearly(long: bool = True)¶
+autots.datasets.load_yearly(long: bool = True)¶
Federal Reserve of St. Louis annual economic indicators.
-
-autots.datasets.load_zeroes(long=False, shape=None, start_date: str = '2021-01-01')¶
+autots.datasets.load_zeroes(long=False, shape=None, start_date: str = '2021-01-01')¶
Create a dataset of just zeroes for testing edge case.
@@ -304,21 +312,5 @@ Quick search
-
-
\ No newline at end of file
diff --git a/docs/build/html/source/autots.evaluator.html b/docs/build/html/source/autots.evaluator.html
index 4ff67144..9a19062a 100644
--- a/docs/build/html/source/autots.evaluator.html
+++ b/docs/build/html/source/autots.evaluator.html
@@ -1,17 +1,25 @@
-
-
+
+
+
+
+
autots.evaluator package — AutoTS 0.6.10 documentation
-
-
-
-
-
+
+
+
+
+
@@ -33,22 +41,22 @@
-autots.evaluator package¶
+autots.evaluator package¶
-Submodules¶
+Submodules¶
-autots.evaluator.anomaly_detector module¶
+autots.evaluator.anomaly_detector module¶
Anomaly Detector
Created on Mon Jul 18 14:19:55 2022
@author: Colin
-
-class autots.evaluator.anomaly_detector.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶
+class autots.evaluator.anomaly_detector.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶
Bases: object
-
-detect(df)¶
+detect(df)¶
All will return -1 for anomalies.
- Parameters:
@@ -62,18 +70,18 @@ Submodules
-
-fit(df)¶
+fit(df)¶
-
-fit_anomaly_classifier()¶
+fit_anomaly_classifier()¶
Fit a model to predict if a score is an anomaly.
-
-static get_new_params(method='random')¶
+static get_new_params(method='random')¶
Generate random new parameter combinations.
- Parameters:
@@ -84,12 +92,12 @@ Submodules
-
-plot(series_name=None, title=None, plot_kwargs={})¶
+plot(series_name=None, title=None, plot_kwargs={})¶
-
-score_to_anomaly(scores)¶
+score_to_anomaly(scores)¶
A DecisionTree model, used as models are nonstandard (and nonparametric).
@@ -97,11 +105,11 @@ Submodules
-
-class autots.evaluator.anomaly_detector.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶
+class autots.evaluator.anomaly_detector.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶
Bases: object
-
-dates_to_holidays(dates, style='flag', holiday_impacts=False)¶
+dates_to_holidays(dates, style='flag', holiday_impacts=False)¶
Populate date information for a given pd.DatetimeIndex.
- Parameters:
@@ -122,39 +130,39 @@ Submodules
-
-detect(df)¶
+detect(df)¶
Run holiday detection. Input wide-style pandas time series.
-autots.evaluator.auto_model module¶
+autots.evaluator.auto_model module¶
Mid-level helper functions for AutoTS.
-
-autots.evaluator.auto_model.ModelMonster(model: str, parameters: dict = {}, frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', startTimeStamps=None, forecast_length: int = 14, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶
+autots.evaluator.auto_model.ModelMonster(model: str, parameters: dict = {}, frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', startTimeStamps=None, forecast_length: int = 14, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶
Directs strings and parameters to appropriate model objects.
- Parameters:
@@ -168,7 +176,7 @@ Submodules
-
-class autots.evaluator.auto_model.ModelPrediction(forecast_length: int, transformation_dict: dict, model_str: str, parameter_dict: dict, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, return_model: bool = False, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False)¶
+class autots.evaluator.auto_model.ModelPrediction(forecast_length: int, transformation_dict: dict, model_str: str, parameter_dict: dict, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, return_model: bool = False, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False)¶
Bases: ModelObject
Feed parameters into modeling pipeline. A class object, does NOT work with ensembles.
@@ -201,24 +209,24 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
-
-autots.evaluator.auto_model.NewGeneticTemplate(model_results, submitted_parameters, sort_column: str = 'Score', sort_ascending: bool = True, max_results: int = 50, max_per_model_class: int = 5, top_n: int = 50, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], transformer_list: dict = {}, transformer_max_depth: int = 8, models_mode: str = 'default', score_per_series=None, recursive_count=0, model_list=None)¶
+autots.evaluator.auto_model.NewGeneticTemplate(model_results, submitted_parameters, sort_column: str = 'Score', sort_ascending: bool = True, max_results: int = 50, max_per_model_class: int = 5, top_n: int = 50, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], transformer_list: dict = {}, transformer_max_depth: int = 8, models_mode: str = 'default', score_per_series=None, recursive_count=0, model_list=None)¶
Return new template given old template with model accuracies.
“No mating!” - Pattern, Sanderson
@@ -233,7 +241,7 @@ Submodules
-
-autots.evaluator.auto_model.RandomTemplate(n: int = 10, model_list: list = ['ZeroesNaive', 'LastValueNaive', 'AverageValueNaive', 'GLS', 'GLM', 'ETS'], transformer_list: dict = 'fast', transformer_max_depth: int = 8, models_mode: str = 'default')¶
+autots.evaluator.auto_model.RandomTemplate(n: int = 10, model_list: list = ['ZeroesNaive', 'LastValueNaive', 'AverageValueNaive', 'GLS', 'GLM', 'ETS'], transformer_list: dict = 'fast', transformer_max_depth: int = 8, models_mode: str = 'default')¶
Returns a template dataframe of randomly generated transformations, models, and hyperparameters.
- Parameters:
@@ -244,12 +252,12 @@ Submodules
-
-class autots.evaluator.auto_model.TemplateEvalObject(model_results=Empty DataFrame Columns: [] Index: [], per_timestamp_smape=Empty DataFrame Columns: [] Index: [], per_series_metrics=Empty DataFrame Columns: [] Index: [], per_series_mae=None, per_series_rmse=None, per_series_made=None, per_series_contour=None, per_series_spl=None, per_series_mle=None, per_series_imle=None, per_series_maxe=None, per_series_oda=None, per_series_mqae=None, per_series_dwae=None, per_series_ewmae=None, per_series_uwmse=None, per_series_smoothness=None, per_series_mate=None, per_series_matse=None, per_series_wasserstein=None, per_series_dwd=None, model_count: int = 0)¶
+class autots.evaluator.auto_model.TemplateEvalObject(model_results=Empty DataFrame Columns: [] Index: [], per_timestamp_smape=Empty DataFrame Columns: [] Index: [], per_series_metrics=Empty DataFrame Columns: [] Index: [], per_series_mae=None, per_series_rmse=None, per_series_made=None, per_series_contour=None, per_series_spl=None, per_series_mle=None, per_series_imle=None, per_series_maxe=None, per_series_oda=None, per_series_mqae=None, per_series_dwae=None, per_series_ewmae=None, per_series_uwmse=None, per_series_smoothness=None, per_series_mate=None, per_series_matse=None, per_series_wasserstein=None, per_series_dwd=None, model_count: int = 0)¶
Bases: object
Object to contain all the failures!.
-
-full_mae_ids¶
+full_mae_ids¶
list of model_ids corresponding to full_mae_errors
- Type:
@@ -260,7 +268,7 @@ Submodules
-
-full_mae_errors¶
+full_mae_errors¶
list of numpy arrays of shape (rows, columns) appended in order of validation
only provided for ‘mosaic’ ensembling
@@ -272,18 +280,18 @@ Submodules
-
-concat(another_eval)¶
+concat(another_eval)¶
Merge another TemplateEvalObject onto this one.
-
-save(filename='initial_results.pickle')¶
+save(filename='initial_results.pickle')¶
Save results to a file.
- Parameters:
@@ -296,7 +304,7 @@ Submodules
-
-autots.evaluator.auto_model.TemplateWizard(template, df_train, df_test, weights, model_count: int = 0, ensemble: list = ['mosaic', 'distance'], forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, validation_round: int = 0, current_generation: int = 0, max_generations: str = '0', model_interrupt: bool = False, grouping_ids=None, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], traceback: bool = False, current_model_file: str | None = None, mosaic_used=None, force_gc: bool = False, additional_msg: str = '')¶
+autots.evaluator.auto_model.TemplateWizard(template, df_train, df_test, weights, model_count: int = 0, ensemble: list = ['mosaic', 'distance'], forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, validation_round: int = 0, current_generation: int = 0, max_generations: str = '0', model_interrupt: bool = False, grouping_ids=None, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], traceback: bool = False, current_model_file: str | None = None, mosaic_used=None, force_gc: bool = False, additional_msg: str = '')¶
Take Template, returns Results.
There are some who call me… Tim. - Python
@@ -336,7 +344,7 @@ Submodules
-
-autots.evaluator.auto_model.UniqueTemplates(existing_templates, new_possibilities, selection_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶
+autots.evaluator.auto_model.UniqueTemplates(existing_templates, new_possibilities, selection_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶
Returns unique dataframe rows from new_possiblities not in existing_templates.
- Parameters:
@@ -347,7 +355,7 @@ Submodules
-
-autots.evaluator.auto_model.back_forecast(df, model_name, model_param_dict, model_transform_dict, future_regressor_train=None, n_splits: int = 'auto', forecast_length=7, frequency='infer', prediction_interval=0.9, no_negatives=False, constraint=None, holiday_country='US', random_seed=123, n_jobs='auto', verbose=0, eval_periods: int | None = None, current_model_file: str | None = None, force_gc: bool = False, **kwargs)¶
+autots.evaluator.auto_model.back_forecast(df, model_name, model_param_dict, model_transform_dict, future_regressor_train=None, n_splits: int = 'auto', forecast_length=7, frequency='infer', prediction_interval=0.9, no_negatives=False, constraint=None, holiday_country='US', random_seed=123, n_jobs='auto', verbose=0, eval_periods: int | None = None, current_model_file: str | None = None, force_gc: bool = False, **kwargs)¶
Create forecasts for the historical training data, ie. backcast or back forecast.
This actually forecasts on historical data, these are not fit model values as are often returned by other packages.
As such, this will be slower, but more representative of real world model performance.
@@ -364,19 +372,19 @@
Submodules
-
-autots.evaluator.auto_model.create_model_id(model_str: str, parameter_dict: dict = {}, transformation_dict: dict = {})¶
+autots.evaluator.auto_model.create_model_id(model_str: str, parameter_dict: dict = {}, transformation_dict: dict = {})¶
Create a hash ID which should be unique to the model parameters.
-
-autots.evaluator.auto_model.dict_recombination(a: dict, b: dict)¶
+autots.evaluator.auto_model.dict_recombination(a: dict, b: dict)¶
Recombine two dictionaries with identical keys. Return new dict.
-
-autots.evaluator.auto_model.generate_score(model_results, metric_weighting: dict = {}, prediction_interval: float = 0.9)¶
+autots.evaluator.auto_model.generate_score(model_results, metric_weighting: dict = {}, prediction_interval: float = 0.9)¶
Generate score based on relative accuracies.
SMAPE - smaller is better
MAE - smaller is better
@@ -394,19 +402,19 @@
Submodules
-
-autots.evaluator.auto_model.generate_score_per_series(results_object, metric_weighting, total_validations=1, models_to_use=None)¶
+autots.evaluator.auto_model.generate_score_per_series(results_object, metric_weighting, total_validations=1, models_to_use=None)¶
Score generation on per_series_metrics for ensembles.
-
-autots.evaluator.auto_model.horizontal_template_to_model_list(template)¶
+autots.evaluator.auto_model.horizontal_template_to_model_list(template)¶
helper function to take template dataframe of ensembles to a single list of models.
-
-autots.evaluator.auto_model.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶
+autots.evaluator.auto_model.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶
Takes numeric data, returns numeric forecasts.
Only one model (albeit potentially an ensemble)!
Horizontal ensembles can not be nested, other ensemble types can be.
@@ -449,25 +457,25 @@ Submodules
-
-autots.evaluator.auto_model.random_model(model_list, model_prob, transformer_list='fast', transformer_max_depth=2, models_mode='random', counter=15, n_models=5, keyword_format=False)¶
+autots.evaluator.auto_model.random_model(model_list, model_prob, transformer_list='fast', transformer_max_depth=2, models_mode='random', counter=15, n_models=5, keyword_format=False)¶
Generate a random model from a given list of models and probabilities.
-
-autots.evaluator.auto_model.remove_leading_zeros(df)¶
+autots.evaluator.auto_model.remove_leading_zeros(df)¶
Accepts wide dataframe, returns dataframe with zeroes preceeding any non-zero value as NaN.
-
-autots.evaluator.auto_model.trans_dict_recomb(dict_array)¶
+autots.evaluator.auto_model.trans_dict_recomb(dict_array)¶
Recombine two transformation param dictionaries from array of dicts.
-
-autots.evaluator.auto_model.unpack_ensemble_models(template, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], keep_ensemble: bool = True, recursive: bool = False)¶
+autots.evaluator.auto_model.unpack_ensemble_models(template, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], keep_ensemble: bool = True, recursive: bool = False)¶
Take ensemble models from template and add as new rows.
Some confusion may exist as Ensembles require both ‘Ensemble’ column > 0 and model name ‘Ensemble’
@@ -483,17 +491,17 @@ Submodules
-
-autots.evaluator.auto_model.validation_aggregation(validation_results, df_train=None, groupby_cols=['ID', 'Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶
+autots.evaluator.auto_model.validation_aggregation(validation_results, df_train=None, groupby_cols=['ID', 'Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶
Aggregate a TemplateEvalObject.
-autots.evaluator.auto_ts module¶
+autots.evaluator.auto_ts module¶
Higher-level functions of automated time series modeling.
-
-class autots.evaluator.auto_ts.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶
+class autots.evaluator.auto_ts.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶
Bases: object
Automate time series modeling using a genetic algorithm.
@@ -588,7 +596,7 @@ Submodules
-
-best_model¶
+best_model¶
DataFrame containing template for the best ranked model
- Type:
@@ -599,7 +607,7 @@ Submodules
-
-best_model_name¶
+best_model_name¶
model name
- Type:
@@ -610,7 +618,7 @@ Submodules
-
-best_model_params¶
+best_model_params¶
model params
- Type:
@@ -621,7 +629,7 @@ Submodules
-
-best_model_transformation_params¶
+best_model_transformation_params¶
transformation parameters
- Type:
@@ -632,7 +640,7 @@ Submodules
-
-best_model_ensemble¶
+best_model_ensemble¶
Ensemble type int id
- Type:
@@ -643,7 +651,7 @@ Submodules
-
-regression_check¶
+regression_check¶
If True, the best_model uses an input ‘User’ future_regressor
- Type:
@@ -654,7 +662,7 @@ Submodules
-
-df_wide_numeric¶
+df_wide_numeric¶
dataframe containing shaped final data, will include preclean
- Type:
@@ -665,7 +673,7 @@ Submodules
-
-initial_results.model_results¶
+initial_results.model_results¶
contains a collection of result metrics
- Type:
@@ -676,7 +684,7 @@ Submodules
-
-score_per_series¶
+score_per_series¶
generated score of metrics given per input series, if horizontal ensembles
- Type:
@@ -712,7 +720,7 @@ Submodules
-
-back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶
+back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶
Create forecasts for the historical training data, ie. backcast or back forecast. OUT OF SAMPLE
This actually forecasts on historical data, these are not fit model values as are often returned by other packages.
As such, this will be slower, but more representative of real world model performance.
@@ -729,18 +737,18 @@
Submodules
-
-best_model_per_series_mape()¶
+best_model_per_series_mape()¶
This isn’t quite classic mape but is a percentage mean error intended for quick visuals not final statistics (see model.results()).
-
-diagnose_params(target='runtime', waterfall_plots=True)¶
+diagnose_params(target='runtime', waterfall_plots=True)¶
Attempt to explain params causing measured outcomes using shap and linear regression coefficients.
- Parameters:
@@ -754,20 +762,20 @@ Submodules
-
-expand_horizontal()¶
+expand_horizontal()¶
Enables expanding horizontal models trained on a subset to full data.
Reruns template models and generates new template.
-
-export_best_model(filename, **kwargs)¶
+export_best_model(filename, **kwargs)¶
Basically the same as export_template but only ever the one best model.
-
-export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶
+export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶
Export top results as a reusable template.
- Parameters:
@@ -789,7 +797,7 @@ Submodules
-
-failure_rate(result_set: str = 'initial')¶
+failure_rate(result_set: str = 'initial')¶
Return fraction of models passing with exceptions.
- Parameters:
@@ -803,7 +811,7 @@ Submodules
-
-fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶
+fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶
Train algorithm given data supplied.
- Parameters:
@@ -828,13 +836,13 @@ Submodules
-
-fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶
+fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶
Part of the setup that involves fitting the initial data but not running any models.
-
-get_metric_corr(percent_best=0.1)¶
+get_metric_corr(percent_best=0.1)¶
Returns a dataframe of correlation among evaluation metrics across evaluations.
- Parameters:
@@ -845,24 +853,24 @@ Submodules
-
-static get_new_params(method='random')¶
+static get_new_params(method='random')¶
Randomly generate new parameters for the class.
-
-import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶
+import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶
Load a best model, overriding any existing setting.
- Parameters:
@@ -873,7 +881,7 @@ Submodules
-
-import_results(filename)¶
+import_results(filename)¶
Add results from another run on the same data.
Input can be filename with .csv or .pickle.
or can be a DataFrame of model results or a full TemplateEvalObject
@@ -881,7 +889,7 @@ Submodules
-
-import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶
+import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶
Import a previously exported template of model parameters.
Must be done before the AutoTS object is .fit().
@@ -901,36 +909,36 @@ Submodules
-
-list_failed_model_types()¶
+list_failed_model_types()¶
Return a list of model types (ie ETS, LastValueNaive) that failed.
If all had at least one success, then return an empty list.
-
-load_template(filename)¶
+load_template(filename)¶
Helper funciton for just loading the file part of import_template.
-
-plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶
+plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶
Plot the historical data and fit forecast on historic. Out of sample in chunks = forecast_length by default.
- Parameters:
@@ -947,7 +955,7 @@ Submodules
-
-plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶
+plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶
Plot improvement in accuracy over generations.
Note: this is only “one size fits all” accuracy and
doesn’t account for the benefits seen for ensembling.
@@ -960,7 +968,7 @@ Submodules
-
-plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶
+plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶
Simple plot to visualize assigned series: models.
Note that for ‘mosaic’ ensembles, it only plots the type of the most common model_id for that series, or the first if all are mode.
@@ -975,19 +983,19 @@ Submodules
-
-plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶
+plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶
Plots most common models. Does not factor in nested in non-horizontal Ensembles.
-
-plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶
+plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶
Plot how well the horizontal ensembles would do after each new generation. Slow.
-
-plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶
+plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶
Simple plot to visualize transformers used.
Note this doesn’t capture transformers nested in simple ensembles.
@@ -1003,7 +1011,7 @@ Submodules
-
-plot_metric_corr(cols=None, percent_best=0.1)¶
+plot_metric_corr(cols=None, percent_best=0.1)¶
Plot correlation in results among metrics.
The metrics that are highly correlated are those that mostly the unscaled ones
@@ -1018,7 +1026,7 @@ Submodules
-
-plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶
+plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶
Plot which series are contributing most to error (Score) of final model. Avg of validations for best_model
- Parameters:
@@ -1038,7 +1046,7 @@ Submodules
-
-plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
+plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
Plot which series are contributing most to SMAPE of final model. Avg of validations for best_model
- Parameters:
@@ -1057,19 +1065,19 @@ Submodules
-
-plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
+plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
To be backwards compatible, not necessarily maintained, plot_per_series_mape is to be preferred.
-
-plot_transformer_failure_rate()¶
+plot_transformer_failure_rate()¶
Failure Rate per Transformer type (ignoring ensembles), failure may be due to other model or transformer.
-
-plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶
+plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶
Similar to plot_backforecast but using the model’s validation segments specifically. Must reforecast.
Saves results to self.validation_forecasts and caches. Set that to None to force rerun otherwise it uses stored (when models is the same).
‘chosen’ refers to best_model_id, the model chosen to run for predict
@@ -1094,7 +1102,7 @@
Submodules
-
-predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶
+predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶
Generate forecast data immediately following dates of index supplied to .fit().
If using a model from update_fit list, with no ensembling, underlying model will not be retrained when used as below, with a single prediction interval:
This designed for high speed forecasting. Full retraining is best when there is sufficient time.
@@ -1137,7 +1145,7 @@
Submodules
-
-results(result_set: str = 'initial')¶
+results(result_set: str = 'initial')¶
Convenience function to return tested models table.
- Parameters:
@@ -1148,25 +1156,25 @@ Submodules
-
-retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶
+retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶
-
-autots.evaluator.auto_ts.error_correlations(all_result, result: str = 'corr')¶
+autots.evaluator.auto_ts.error_correlations(all_result, result: str = 'corr')¶
Onehot encode AutoTS result df and return df or correlation with errors.
- Parameters:
@@ -1180,22 +1188,22 @@ Submodules
-
-autots.evaluator.auto_ts.fake_regressor(df, forecast_length: int = 14, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, frequency: str = 'infer', aggfunc: str = 'first', drop_most_recent: int = 0, na_tolerance: float = 0.95, drop_data_older_than_periods: int = 100000, dimensions: int = 1, verbose: int = 0)¶
+autots.evaluator.auto_ts.fake_regressor(df, forecast_length: int = 14, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, frequency: str = 'infer', aggfunc: str = 'first', drop_most_recent: int = 0, na_tolerance: float = 0.95, drop_data_older_than_periods: int = 100000, dimensions: int = 1, verbose: int = 0)¶
Create a fake regressor of random numbers for testing purposes.
-autots.evaluator.benchmark module¶
+autots.evaluator.benchmark module¶
Created on Fri Nov 5 13:45:01 2021
@author: Colin
-
-class autots.evaluator.benchmark.Benchmark¶
+class autots.evaluator.benchmark.Benchmark¶
Bases: object
-
-run(n_jobs: int = 'auto', times: int = 3, random_seed: int = 123, base_models_only=False, verbose: int = 0)¶
+run(n_jobs: int = 'auto', times: int = 3, random_seed: int = 123, base_models_only=False, verbose: int = 0)¶
Run benchmark.
- Parameters:
@@ -1213,12 +1221,12 @@ Submodules
-autots.evaluator.event_forecasting module¶
+autots.evaluator.event_forecasting module¶
Generate probabilities of forecastings crossing limit thresholds.
Created on Thu Jan 27 13:36:18 2022
-
-class autots.evaluator.event_forecasting.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
+class autots.evaluator.event_forecasting.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
Bases: object
Generate a risk score (0 to 1, but usually close to 0) for a future event exceeding user specified upper or lower bounds.
Upper and lower limits can be one of four types, and may each be different.
@@ -1260,42 +1268,42 @@
Submodules
-
-fit()¶
+fit()¶
@@ -1310,7 +1318,7 @@ Submodules
-
-fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶
+fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶
Shortcut for generating model params.
args specified are those suggested for an otherwise normal AutoTS run
@@ -1329,13 +1337,13 @@ Submodules
-
-static generate_historic_risk_array(df, limit, direction='upper')¶
+static generate_historic_risk_array(df, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
-
-generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶
+generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶
For event risk forecasting. Params default to class init but can be overridden here.
- Returns:
@@ -1349,13 +1357,13 @@ Submodules
-
-static generate_risk_array(result_windows, limit, direction='upper')¶
+static generate_risk_array(result_windows, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
-
-plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
+plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast outcomes.
- Parameters:
@@ -1373,7 +1381,7 @@ Submodules
-
-plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
+plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast with known value vs risk score.
- Parameters:
@@ -1392,13 +1400,13 @@ Submodules
-
-predict()¶
+predict()¶
Returns forecast upper, lower risk probability arrays for input limits.
-
-predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶
+predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶
Returns upper, lower risk probability arrays for input limits for the historic data.
If manual numpy array limits are used, the limits will need to be appropriate shape (for df_train and eval_periods if used)
@@ -1414,7 +1422,7 @@ Submodules
-
-static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶
+static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶
Handles all limit input styles and returns numpy array.
- Parameters:
@@ -1435,30 +1443,30 @@ Submodules
-
-autots.evaluator.event_forecasting.extract_result_windows(forecasts, model_name=None)¶
+autots.evaluator.event_forecasting.extract_result_windows(forecasts, model_name=None)¶
standardize result windows from different models.
-
-autots.evaluator.event_forecasting.extract_window_index(forecasts)¶
+autots.evaluator.event_forecasting.extract_window_index(forecasts)¶
-
-autots.evaluator.event_forecasting.set_limit_forecast(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
+autots.evaluator.event_forecasting.set_limit_forecast(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
Helper function for forecast limits set by forecast algorithms.
-
-autots.evaluator.event_forecasting.set_limit_forecast_historic(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 2}, future_regressor_train=None, future_regressor_forecast=None, eval_periods=None)¶
+autots.evaluator.event_forecasting.set_limit_forecast_historic(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 2}, future_regressor_train=None, future_regressor_forecast=None, eval_periods=None)¶
Helper function for forecast limits set by forecast algorithms.
-autots.evaluator.metrics module¶
+autots.evaluator.metrics module¶
Tools for calculating forecast errors.
- Some common args:
A or actual (np.array): actuals ndim 2 (timesteps, series)
@@ -1468,18 +1476,18 @@
Submodules
-
-autots.evaluator.metrics.array_last_val(arr)¶
+autots.evaluator.metrics.array_last_val(arr)¶
-
-autots.evaluator.metrics.chi_squared_hist_distribution_loss(F, A, bins='auto', plot=False)¶
+autots.evaluator.metrics.chi_squared_hist_distribution_loss(F, A, bins='auto', plot=False)¶
Distribution loss, chi-squared distance from histograms.
-
-autots.evaluator.metrics.containment(lower_forecast, upper_forecast, actual)¶
+autots.evaluator.metrics.containment(lower_forecast, upper_forecast, actual)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
@@ -1494,7 +1502,7 @@ Submodules
-
-autots.evaluator.metrics.contour(A, F)¶
+autots.evaluator.metrics.contour(A, F)¶
A measure of how well the actual and forecast follow the same pattern of change.
Note: If actual values are unchanging, will match positive changing forecasts.
This is faster, and because if actuals are a flat line, contour probably isn’t a concern regardless.
@@ -1515,18 +1523,18 @@ Submodules
-
-autots.evaluator.metrics.default_scaler(df_train)¶
+autots.evaluator.metrics.default_scaler(df_train)¶
-
-autots.evaluator.metrics.dwae(A, F, last_of_array)¶
+autots.evaluator.metrics.dwae(A, F, last_of_array)¶
Direcitonal Weighted Absolute Error, the accuracy of growth or decline relative to most recent data.
-
-autots.evaluator.metrics.full_metric_evaluation(A, F, upper_forecast, lower_forecast, df_train, prediction_interval, columns=None, scaler=None, return_components=False, cumsum_A=None, diff_A=None, last_of_array=None, **kwargs)¶
+autots.evaluator.metrics.full_metric_evaluation(A, F, upper_forecast, lower_forecast, df_train, prediction_interval, columns=None, scaler=None, return_components=False, cumsum_A=None, diff_A=None, last_of_array=None, **kwargs)¶
Create a pd.DataFrame of metrics per series given actuals, forecast, and precalculated errors.
There are some extra args which are precomputed metrics for efficiency in loops, don’t worry about them.
@@ -1542,36 +1550,36 @@ Submodules
-
-autots.evaluator.metrics.kde(actuals, forecasts, bandwidth, x)¶
+autots.evaluator.metrics.kde(actuals, forecasts, bandwidth, x)¶
-
-autots.evaluator.metrics.kde_kl_distance(F, A, bandwidth=0.5, x=None)¶
+autots.evaluator.metrics.kde_kl_distance(F, A, bandwidth=0.5, x=None)¶
Distribution loss by means of KDE and KL Divergence.
-
-autots.evaluator.metrics.kl_divergence(p, q, epsilon=1e-10)¶
+autots.evaluator.metrics.kl_divergence(p, q, epsilon=1e-10)¶
Compute KL Divergence between two distributions.
-
-autots.evaluator.metrics.linearity(arr)¶
+autots.evaluator.metrics.linearity(arr)¶
Score perecentage of a np.array with linear progression, along the index (0) axis.
-
-autots.evaluator.metrics.mae(ae)¶
+autots.evaluator.metrics.mae(ae)¶
Accepting abs error already calculated
-
-autots.evaluator.metrics.mda(A, F)¶
+autots.evaluator.metrics.mda(A, F)¶
A measure of how well the actual and forecast follow the same pattern of change.
Expects two, 2-D numpy arrays of forecast_length * n series
Returns a 1-D array of results in len n series
@@ -1589,7 +1597,7 @@ Submodules
-
-autots.evaluator.metrics.mean_absolute_differential_error(A, F, order: int = 1, df_train=None, scaler=None)¶
+autots.evaluator.metrics.mean_absolute_differential_error(A, F, order: int = 1, df_train=None, scaler=None)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
@@ -1612,7 +1620,7 @@ Submodules
-
-autots.evaluator.metrics.mean_absolute_error(A, F)¶
+autots.evaluator.metrics.mean_absolute_error(A, F)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
@@ -1627,13 +1635,13 @@ Submodules
-
-autots.evaluator.metrics.medae(ae, nan_flag=True)¶
+autots.evaluator.metrics.medae(ae, nan_flag=True)¶
Accepting abs error already calculated
-
-autots.evaluator.metrics.median_absolute_error(A, F)¶
+autots.evaluator.metrics.median_absolute_error(A, F)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
@@ -1648,7 +1656,7 @@ Submodules
-
-autots.evaluator.metrics.mlvb(A, F, last_of_array)¶
+autots.evaluator.metrics.mlvb(A, F, last_of_array)¶
Mean last value baseline, the % difference of forecast vs last value naive forecast.
Does poorly with near-zero values.
@@ -1664,14 +1672,14 @@ Submodules
-
-autots.evaluator.metrics.mqae(ae, q=0.85, nan_flag=True)¶
+autots.evaluator.metrics.mqae(ae, q=0.85, nan_flag=True)¶
Return the mean of errors less than q quantile of the errors per series.
np.nans count as largest values, and so are removed as part of the > q group.
-
-autots.evaluator.metrics.msle(full_errors, ae, le, nan_flag=True)¶
+autots.evaluator.metrics.msle(full_errors, ae, le, nan_flag=True)¶
input is array of y_pred - y_true to over-penalize underestimate.
Use instead y_true - y_pred to over-penalize overestimate.
AE used here for the log just to avoid divide by zero warnings (values aren’t used either way)
@@ -1679,43 +1687,43 @@ Submodules
-
-autots.evaluator.metrics.numpy_ffill(arr)¶
+autots.evaluator.metrics.numpy_ffill(arr)¶
Fill np.nan forward down the zero axis.
-
-autots.evaluator.metrics.oda(A, F, last_of_array)¶
+autots.evaluator.metrics.oda(A, F, last_of_array)¶
Origin Directional Accuracy, the accuracy of growth or decline relative to most recent data.
-
-autots.evaluator.metrics.pinball_loss(A, F, quantile)¶
+autots.evaluator.metrics.pinball_loss(A, F, quantile)¶
Bigger is bad-er.
-
-autots.evaluator.metrics.precomp_wasserstein(F, cumsum_A)¶
+autots.evaluator.metrics.precomp_wasserstein(F, cumsum_A)¶
-
-autots.evaluator.metrics.qae(ae, q=0.9, nan_flag=True)¶
+autots.evaluator.metrics.qae(ae, q=0.9, nan_flag=True)¶
Return the q quantile of the errors per series.
np.nans count as smallest values and will push more values into the exclusion group.
-
-autots.evaluator.metrics.rmse(sqe)¶
+autots.evaluator.metrics.rmse(sqe)¶
Accepting squared error already calculated
-
-autots.evaluator.metrics.root_mean_square_error(actual, forecast)¶
+autots.evaluator.metrics.root_mean_square_error(actual, forecast)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
@@ -1730,7 +1738,7 @@ Submodules
-
-autots.evaluator.metrics.rps(predictions, observed)¶
+autots.evaluator.metrics.rps(predictions, observed)¶
Vectorized version of Ranked Probability Score.
A lower value is a better score.
From: Colin Catlin, https://syllepsis.live/2022/01/22/ranked-probability-score-in-python/
@@ -1746,7 +1754,7 @@ Submodules
-
-autots.evaluator.metrics.scaled_pinball_loss(A, F, df_train, quantile)¶
+autots.evaluator.metrics.scaled_pinball_loss(A, F, df_train, quantile)¶
Scaled pinball loss.
- Parameters:
@@ -1762,25 +1770,25 @@ Submodules
-
-autots.evaluator.metrics.smape(actual, forecast, ae, nan_flag=True)¶
+autots.evaluator.metrics.smape(actual, forecast, ae, nan_flag=True)¶
Accepting abs error already calculated
-
-autots.evaluator.metrics.smoothness(arr)¶
+autots.evaluator.metrics.smoothness(arr)¶
A gradient measure of linearity, where 0 is linear and larger values are more volatile.
-
-autots.evaluator.metrics.spl(precomputed_spl, scaler)¶
+autots.evaluator.metrics.spl(precomputed_spl, scaler)¶
Accepting most of it already calculated
-
-autots.evaluator.metrics.symmetric_mean_absolute_percentage_error(actual, forecast)¶
+autots.evaluator.metrics.symmetric_mean_absolute_percentage_error(actual, forecast)¶
Expect two, 2-D numpy arrays of forecast_length * n series.
Allows NaN in actuals, and corresponding NaN in forecast, but not unmatched NaN in forecast
Also doesn’t like zeroes in either forecast or actual - results in poor error value even if forecast is accurate
@@ -1799,7 +1807,7 @@ Submodules
-
-autots.evaluator.metrics.threshold_loss(actual, forecast, threshold, penalty_threshold=None)¶
+autots.evaluator.metrics.threshold_loss(actual, forecast, threshold, penalty_threshold=None)¶
Run once for overestimate then again for underestimate. Add both for combined view.
- Parameters:
@@ -1814,31 +1822,31 @@ Submodules
-
-autots.evaluator.metrics.unsorted_wasserstein(F, A)¶
+autots.evaluator.metrics.unsorted_wasserstein(F, A)¶
Also known as earth moving distance.
-autots.evaluator.validation module¶
+autots.evaluator.validation module¶
Extracted from auto_ts.py, the functions to create validation segments.
Warning, these are used in AMFM, possibly other places. Avoid modification of function structures, if possible.
Created on Mon Jan 16 11:36:01 2023
@author: Colin
-
-autots.evaluator.validation.extract_seasonal_val_periods(validation_method)¶
+autots.evaluator.validation.extract_seasonal_val_periods(validation_method)¶
-
-autots.evaluator.validation.generate_validation_indices(validation_method, forecast_length, num_validations, df_wide_numeric, validation_params={}, preclean=None, verbose=0)¶
+autots.evaluator.validation.generate_validation_indices(validation_method, forecast_length, num_validations, df_wide_numeric, validation_params={}, preclean=None, verbose=0)¶
generate validation indices (equals num_validations + 1 as includes initial eval).
- Parameters:
@@ -1856,13 +1864,13 @@ Submodules
-
-autots.evaluator.validation.validate_num_validations(validation_method, num_validations, df_wide_numeric, forecast_length, min_allowed_train_percent=0.5, verbose=0)¶
+autots.evaluator.validation.validate_num_validations(validation_method, num_validations, df_wide_numeric, forecast_length, min_allowed_train_percent=0.5, verbose=0)¶
Check how many validations are possible given the length of the data. Beyond initial eval split which is always assumed.
-Module contents¶
+Module contents¶
Model Evaluators
@@ -1957,21 +1965,5 @@ Quick search
-
-
\ No newline at end of file
diff --git a/docs/build/html/source/autots.html b/docs/build/html/source/autots.html
index 3b33f7fc..03027ce0 100644
--- a/docs/build/html/source/autots.html
+++ b/docs/build/html/source/autots.html
@@ -1,17 +1,25 @@
-
-
+
+
+
+
+
autots package — AutoTS 0.6.10 documentation
-
-
-
-
-
+
+
+
+
+
@@ -33,9 +41,9 @@
-autots package¶
+autots package¶
-Subpackages¶
+Subpackages¶
- autots.datasets package
@@ -1442,16 +1450,16 @@ Subpackages
-Module contents¶
+Module contents¶
Automated Time Series Model Selection for Python
https://github.com/winedarksea/AutoTS
-
-class autots.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶
+class autots.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶
Bases: object
-
-detect(df)¶
+detect(df)¶
All will return -1 for anomalies.
- Parameters:
@@ -1465,18 +1473,18 @@ Subpackages
-
-fit(df)¶
+fit(df)¶
-
-fit_anomaly_classifier()¶
+fit_anomaly_classifier()¶
Fit a model to predict if a score is an anomaly.
-
-static get_new_params(method='random')¶
+static get_new_params(method='random')¶
Generate random new parameter combinations.
- Parameters:
@@ -1487,12 +1495,12 @@ Subpackages
-
-plot(series_name=None, title=None, plot_kwargs={})¶
+plot(series_name=None, title=None, plot_kwargs={})¶
-
-score_to_anomaly(scores)¶
+score_to_anomaly(scores)¶
A DecisionTree model, used as models are nonstandard (and nonparametric).
@@ -1500,7 +1508,7 @@ Subpackages
-
-class autots.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶
+class autots.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶
Bases: object
Automate time series modeling using a genetic algorithm.
@@ -1595,7 +1603,7 @@ Subpackages
-
-best_model¶
+best_model¶
DataFrame containing template for the best ranked model
- Type:
@@ -1606,7 +1614,7 @@ Subpackages
-
-best_model_name¶
+best_model_name¶
model name
- Type:
@@ -1617,7 +1625,7 @@ Subpackages
-
-best_model_params¶
+best_model_params¶
model params
- Type:
@@ -1628,7 +1636,7 @@ Subpackages
-
-best_model_transformation_params¶
+best_model_transformation_params¶
transformation parameters
- Type:
@@ -1639,7 +1647,7 @@ Subpackages
-
-best_model_ensemble¶
+best_model_ensemble¶
Ensemble type int id
- Type:
@@ -1650,7 +1658,7 @@ Subpackages
-
-regression_check¶
+regression_check¶
If True, the best_model uses an input ‘User’ future_regressor
- Type:
@@ -1661,7 +1669,7 @@ Subpackages
-
-df_wide_numeric¶
+df_wide_numeric¶
dataframe containing shaped final data, will include preclean
- Type:
@@ -1672,7 +1680,7 @@ Subpackages
-
-initial_results.model_results¶
+initial_results.model_results¶
contains a collection of result metrics
- Type:
@@ -1683,7 +1691,7 @@ Subpackages
-
-score_per_series¶
+score_per_series¶
generated score of metrics given per input series, if horizontal ensembles
- Type:
@@ -1719,7 +1727,7 @@ Subpackages
-
-back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶
+back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶
Create forecasts for the historical training data, ie. backcast or back forecast. OUT OF SAMPLE
This actually forecasts on historical data, these are not fit model values as are often returned by other packages.
As such, this will be slower, but more representative of real world model performance.
@@ -1736,18 +1744,18 @@
Subpackages
-
-best_model_per_series_mape()¶
+best_model_per_series_mape()¶
This isn’t quite classic mape but is a percentage mean error intended for quick visuals not final statistics (see model.results()).
-
-diagnose_params(target='runtime', waterfall_plots=True)¶
+diagnose_params(target='runtime', waterfall_plots=True)¶
Attempt to explain params causing measured outcomes using shap and linear regression coefficients.
- Parameters:
@@ -1761,20 +1769,20 @@ Subpackages
-
-expand_horizontal()¶
+expand_horizontal()¶
Enables expanding horizontal models trained on a subset to full data.
Reruns template models and generates new template.
-
-export_best_model(filename, **kwargs)¶
+export_best_model(filename, **kwargs)¶
Basically the same as export_template but only ever the one best model.
-
-export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶
+export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶
Export top results as a reusable template.
- Parameters:
@@ -1796,7 +1804,7 @@ Subpackages
-
-failure_rate(result_set: str = 'initial')¶
+failure_rate(result_set: str = 'initial')¶
Return fraction of models passing with exceptions.
- Parameters:
@@ -1810,7 +1818,7 @@ Subpackages
-
-fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶
+fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶
Train algorithm given data supplied.
- Parameters:
@@ -1835,13 +1843,13 @@ Subpackages
-
-fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶
+fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶
Part of the setup that involves fitting the initial data but not running any models.
-
-get_metric_corr(percent_best=0.1)¶
+get_metric_corr(percent_best=0.1)¶
Returns a dataframe of correlation among evaluation metrics across evaluations.
- Parameters:
@@ -1852,24 +1860,24 @@ Subpackages
-
-static get_new_params(method='random')¶
+static get_new_params(method='random')¶
Randomly generate new parameters for the class.
-
-import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶
+import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶
Load a best model, overriding any existing setting.
- Parameters:
@@ -1880,7 +1888,7 @@ Subpackages
-
-import_results(filename)¶
+import_results(filename)¶
Add results from another run on the same data.
Input can be filename with .csv or .pickle.
or can be a DataFrame of model results or a full TemplateEvalObject
@@ -1888,7 +1896,7 @@ Subpackages
-
-import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶
+import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶
Import a previously exported template of model parameters.
Must be done before the AutoTS object is .fit().
@@ -1908,36 +1916,36 @@ Subpackages
-
-list_failed_model_types()¶
+list_failed_model_types()¶
Return a list of model types (ie ETS, LastValueNaive) that failed.
If all had at least one success, then return an empty list.
-
-load_template(filename)¶
+load_template(filename)¶
Helper funciton for just loading the file part of import_template.
-
-plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶
+plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶
Plot the historical data and fit forecast on historic. Out of sample in chunks = forecast_length by default.
- Parameters:
@@ -1954,7 +1962,7 @@ Subpackages
-
-plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶
+plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶
Plot improvement in accuracy over generations.
Note: this is only “one size fits all” accuracy and
doesn’t account for the benefits seen for ensembling.
@@ -1967,7 +1975,7 @@ Subpackages
-
-plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶
+plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶
Simple plot to visualize assigned series: models.
Note that for ‘mosaic’ ensembles, it only plots the type of the most common model_id for that series, or the first if all are mode.
@@ -1982,19 +1990,19 @@ Subpackages
-
-plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶
+plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶
Plots most common models. Does not factor in nested in non-horizontal Ensembles.
-
-plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶
+plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶
Plot how well the horizontal ensembles would do after each new generation. Slow.
-
-plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶
+plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶
Simple plot to visualize transformers used.
Note this doesn’t capture transformers nested in simple ensembles.
@@ -2010,7 +2018,7 @@ Subpackages
-
-plot_metric_corr(cols=None, percent_best=0.1)¶
+plot_metric_corr(cols=None, percent_best=0.1)¶
Plot correlation in results among metrics.
The metrics that are highly correlated are those that mostly the unscaled ones
@@ -2025,7 +2033,7 @@ Subpackages
-
-plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶
+plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶
Plot which series are contributing most to error (Score) of final model. Avg of validations for best_model
- Parameters:
@@ -2045,7 +2053,7 @@ Subpackages
-
-plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
+plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
Plot which series are contributing most to SMAPE of final model. Avg of validations for best_model
- Parameters:
@@ -2064,19 +2072,19 @@ Subpackages
-
-plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
+plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
To be backwards compatible, not necessarily maintained, plot_per_series_mape is to be preferred.
-
-plot_transformer_failure_rate()¶
+plot_transformer_failure_rate()¶
Failure Rate per Transformer type (ignoring ensembles), failure may be due to other model or transformer.
-
-plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶
+plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶
Similar to plot_backforecast but using the model’s validation segments specifically. Must reforecast.
Saves results to self.validation_forecasts and caches. Set that to None to force rerun otherwise it uses stored (when models is the same).
‘chosen’ refers to best_model_id, the model chosen to run for predict
@@ -2101,7 +2109,7 @@
Subpackages
-
-predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶
+predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶
Generate forecast data immediately following dates of index supplied to .fit().
If using a model from update_fit list, with no ensembling, underlying model will not be retrained when used as below, with a single prediction interval:
This designed for high speed forecasting. Full retraining is best when there is sufficient time.
@@ -2144,7 +2152,7 @@
Subpackages
-
-results(result_set: str = 'initial')¶
+results(result_set: str = 'initial')¶
Convenience function to return tested models table.
- Parameters:
@@ -2155,25 +2163,25 @@ Subpackages
-
-retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶
+retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶
-
-class autots.Cassandra(preprocessing_transformation: dict | None = None, scaling: str = 'BaseScaler', past_impacts_intervention: str | None = None, seasonalities: dict = ['common_fourier'], ar_lags: list | None = None, ar_interaction_seasonality: dict | None = None, anomaly_detector_params: dict | None = None, anomaly_intervention: str | None = None, holiday_detector_params: dict | None = None, holiday_countries: dict | None = None, holiday_countries_used: bool = True, multivariate_feature: str | None = None, multivariate_transformation: str | None = None, regressor_transformation: dict | None = None, regressors_used: bool = True, linear_model: dict | None = None, randomwalk_n: int | None = None, trend_window: int = 30, trend_standin: str | None = None, trend_anomaly_detector_params: dict | None = None, trend_transformation: dict = {}, trend_model: dict = {'Model': 'LastValueNaive', 'ModelParameters': {}}, trend_phi: float | None = None, constraint: dict | None = None, max_colinearity: float = 0.998, max_multicolinearity: float = 0.001, frequency: str = 'infer', prediction_interval: float = 0.9, random_seed: int = 2022, verbose: int = 0, n_jobs: int = 'auto', **kwargs)¶
+class autots.Cassandra(preprocessing_transformation: dict | None = None, scaling: str = 'BaseScaler', past_impacts_intervention: str | None = None, seasonalities: dict = ['common_fourier'], ar_lags: list | None = None, ar_interaction_seasonality: dict | None = None, anomaly_detector_params: dict | None = None, anomaly_intervention: str | None = None, holiday_detector_params: dict | None = None, holiday_countries: dict | None = None, holiday_countries_used: bool = True, multivariate_feature: str | None = None, multivariate_transformation: str | None = None, regressor_transformation: dict | None = None, regressors_used: bool = True, linear_model: dict | None = None, randomwalk_n: int | None = None, trend_window: int = 30, trend_standin: str | None = None, trend_anomaly_detector_params: dict | None = None, trend_transformation: dict = {}, trend_model: dict = {'Model': 'LastValueNaive', 'ModelParameters': {}}, trend_phi: float | None = None, constraint: dict | None = None, max_colinearity: float = 0.998, max_multicolinearity: float = 0.001, frequency: str = 'infer', prediction_interval: float = 0.9, random_seed: int = 2022, verbose: int = 0, n_jobs: int = 'auto', **kwargs)¶
Bases: ModelObject
Explainable decomposition-based forecasting with advanced trend modeling and preprocessing.
Tunc etiam fatis aperit Cassandra futuris
@@ -2207,68 +2215,68 @@
Subpackages
-
-fit()¶
+fit()¶
-
-create_forecast_index()¶
+create_forecast_index()¶
after .fit, can be used to create index of prediction
-
-.holidays¶
+.holidays¶
- Type:
series flags, holiday detector only
@@ -2278,7 +2286,7 @@ Subpackages
-
-.params¶
+.params¶
@@ -2288,94 +2296,94 @@ Subpackages
-
-.x_array¶
+.x_array¶
-
-fit(df, future_regressor=None, regressor_per_series=None, flag_regressors=None, categorical_groups=None, past_impacts=None)¶
+fit(df, future_regressor=None, regressor_per_series=None, flag_regressors=None, categorical_groups=None, past_impacts=None)¶
-
-fit_data(df, forecast_length=None, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_history=False, past_impacts=None)¶
+fit_data(df, forecast_length=None, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_history=False, past_impacts=None)¶
-
-get_new_params(method='fast')¶
+get_new_params(method='fast')¶
Return dict of new parameters for parameter tuning.
-
-plot_components(prediction=None, series=None, figsize=(16, 9), to_origin_space=True, title=None, start_date=None)¶
+plot_components(prediction=None, series=None, figsize=(16, 9), to_origin_space=True, title=None, start_date=None)¶
-
-plot_forecast(prediction, actuals=None, series=None, start_date=None, anomaly_color='darkslateblue', holiday_color='darkgreen', trend_anomaly_color='slategray', point_size=12.0)¶
+plot_forecast(prediction, actuals=None, series=None, start_date=None, anomaly_color='darkslateblue', holiday_color='darkgreen', trend_anomaly_color='slategray', point_size=12.0)¶
Plot a forecast time series.
- Parameters:
@@ -2395,17 +2403,17 @@ Subpackages
-
-plot_things()¶
+plot_things()¶
-
-plot_trend(series=None, vline=None, colors=['#d4f74f', '#82ab5a', '#ff6c05', '#c12600'], title=None, start_date=None, **kwargs)¶
+plot_trend(series=None, vline=None, colors=['#d4f74f', '#82ab5a', '#ff6c05', '#c12600'], title=None, start_date=None, **kwargs)¶
-
-predict(forecast_length=None, include_history=False, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, new_df=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_organic=False, df=None, past_impacts=None)¶
+predict(forecast_length=None, include_history=False, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, new_df=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_organic=False, df=None, past_impacts=None)¶
Generate a forecast.
future_regressor and regressor_per_series should only include new future values, history is already stored
they should match on forecast_length and index of forecasts
@@ -2425,18 +2433,18 @@ Subpackages
-
-predict_new_product()¶
+predict_new_product()¶
-
-process_components(to_origin_space=True)¶
+process_components(to_origin_space=True)¶
Scale and standardize component outputs.
-
-return_components(to_origin_space=True, include_impacts=False)¶
+return_components(to_origin_space=True, include_impacts=False)¶
Return additive elements of forecast, linear and trend. If impacts included, it is a multiplicative term.
- Parameters:
@@ -2450,30 +2458,30 @@ Subpackages
-
-rolling_trend(trend_residuals, t)¶
+rolling_trend(trend_residuals, t)¶
-
-class autots.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
+class autots.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
Bases: object
Generate a risk score (0 to 1, but usually close to 0) for a future event exceeding user specified upper or lower bounds.
Upper and lower limits can be one of four types, and may each be different.
@@ -2515,42 +2523,42 @@
Subpackages
-
-fit()¶
+fit()¶
@@ -2565,7 +2573,7 @@ Subpackages
-
-fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶
+fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶
Shortcut for generating model params.
args specified are those suggested for an otherwise normal AutoTS run
@@ -2584,13 +2592,13 @@ Subpackages
-
-static generate_historic_risk_array(df, limit, direction='upper')¶
+static generate_historic_risk_array(df, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
-
-generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶
+generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶
For event risk forecasting. Params default to class init but can be overridden here.
- Returns:
@@ -2604,13 +2612,13 @@ Subpackages
-
-static generate_risk_array(result_windows, limit, direction='upper')¶
+static generate_risk_array(result_windows, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
-
-plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
+plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast outcomes.
- Parameters:
@@ -2628,7 +2636,7 @@ Subpackages
-
-plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
+plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast with known value vs risk score.
- Parameters:
@@ -2647,13 +2655,13 @@ Subpackages
-
-predict()¶
+predict()¶
Returns forecast upper, lower risk probability arrays for input limits.
-
-predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶
+predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶
Returns upper, lower risk probability arrays for input limits for the historic data.
If manual numpy array limits are used, the limits will need to be appropriate shape (for df_train and eval_periods if used)
@@ -2669,7 +2677,7 @@ Subpackages
-
-static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶
+static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶
Handles all limit input styles and returns numpy array.
- Parameters:
@@ -2690,7 +2698,7 @@ Subpackages
-
-class autots.GeneralTransformer(fillna: str | None = None, transformations: dict = {}, transformation_params: dict = {}, grouping: str | None = None, reconciliation: str | None = None, grouping_ids=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None, verbose: int = 0)¶
+class autots.GeneralTransformer(fillna: str | None = None, transformations: dict = {}, transformation_params: dict = {}, grouping: str | None = None, reconciliation: str | None = None, grouping_ids=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None, verbose: int = 0)¶
Bases: object
Remove fillNA and then mathematical transformations.
Expects a chronologically sorted pandas.DataFrame with a DatetimeIndex, only numeric data, and a ‘wide’ (one column per series) shape.
@@ -2795,7 +2803,7 @@ Subpackages
-
-fill_na(df, window: int = 10)¶
+fill_na(df, window: int = 10)¶
- Parameters:
@@ -2811,7 +2819,7 @@ Subpackages
-
-fit(df)¶
+fit(df)¶
Apply transformations and return transformer object.
- Parameters:
@@ -2822,18 +2830,18 @@ Subpackages
-
-fit_transform(df)¶
+fit_transform(df)¶
Directly fit and apply transformations to convert df.
-
-inverse_transform(df, trans_method: str = 'forecast', fillzero: bool = False, bounds: bool = False)¶
+inverse_transform(df, trans_method: str = 'forecast', fillzero: bool = False, bounds: bool = False)¶
Undo the madness.
- Parameters:
@@ -2849,7 +2857,7 @@ Subpackages
-
-classmethod retrieve_transformer(transformation: str | None = None, param: dict = {}, df=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None)¶
+classmethod retrieve_transformer(transformation: str | None = None, param: dict = {}, df=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None)¶
Retrieves a specific transformer object from a string.
- Parameters:
@@ -2867,7 +2875,7 @@ Subpackages
-
-transform(df)¶
+transform(df)¶
Apply transformations to convert df.
@@ -2875,11 +2883,11 @@ Subpackages
-
-class autots.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶
+class autots.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶
Bases: object
-
-dates_to_holidays(dates, style='flag', holiday_impacts=False)¶
+dates_to_holidays(dates, style='flag', holiday_impacts=False)¶
Populate date information for a given pd.DatetimeIndex.
- Parameters:
@@ -2900,48 +2908,48 @@ Subpackages
-
-detect(df)¶
+detect(df)¶
Run holiday detection. Input wide-style pandas time series.
-
-autots.RandomTransform(transformer_list: dict = {None: 0.0, 'MinMaxScaler': 0.03, 'PowerTransformer': 0.01, 'QuantileTransformer': 0.03, 'MaxAbsScaler': 0.03, 'StandardScaler': 0.04, 'RobustScaler': 0.03, 'PCA': 0.01, 'FastICA': 0.01, 'Detrend': 0.02, 'RollingMeanTransformer': 0.02, 'RollingMean100thN': 0.01, 'DifferencedTransformer': 0.05, 'SinTrend': 0.01, 'PctChangeTransformer': 0.01, 'CumSumTransformer': 0.02, 'PositiveShift': 0.02, 'Log': 0.01, 'IntermittentOccurrence': 0.01, 'SeasonalDifference': 0.06, 'cffilter': 0.01, 'bkfilter': 0.05, 'convolution_filter': 0.001, 'HPFilter': 0.01, 'DatepartRegression': 0.01, 'ClipOutliers': 0.03, 'Discretize': 0.01, 'CenterLastValue': 0.01, 'Round': 0.02, 'Slice': 0.02, 'ScipyFilter': 0.02, 'STLFilter': 0.01, 'EWMAFilter': 0.02, 'MeanDifference': 0.002, 'BTCD': 0.01, 'Cointegration': 0.01, 'AlignLastValue': 0.2, 'AnomalyRemoval': 0.03, 'HolidayTransformer': 0.01, 'LocalLinearTrend': 0.01, 'KalmanSmoothing': 0.02, 'RegressionFilter': 0.02, 'LevelShiftTransformer': 0.03, 'CenterSplit': 0.01, 'FFTFilter': 0.01, 'FFTDecomposition': 0.01, 'ReplaceConstant': 0.02, 'AlignLastDiff': 0.01, 'DiffSmoother': 0.005, 'HistoricValues': 0.01, 'BKBandpassFilter': 0.01}, transformer_max_depth: int = 4, na_prob_dict: dict = {'ffill': 0.4, 'fake_date': 0.1, 'rolling_mean': 0.1, 'rolling_mean_24': 0.1, 'IterativeImputer': 0.025, 'mean': 0.06, 'zero': 0.05, 'ffill_mean_biased': 0.1, 'median': 0.03, None: 0.001, 'interpolate': 0.4, 'KNNImputer': 0.05, 'IterativeImputerExtraTrees': 0.0001, 'SeasonalityMotifImputer': 0.1, 'SeasonalityMotifImputerLinMix': 0.01, 'SeasonalityMotifImputer1K': 0.01, 'DatepartRegressionImputer': 0.05}, fast_params: bool | None = None, superfast_params: bool | None = None, traditional_order: bool = False, transformer_min_depth: int = 1, allow_none: bool = True, no_nan_fill: bool = False)¶
+autots.RandomTransform(transformer_list: dict = {'AlignLastDiff': 0.01, 'AlignLastValue': 0.2, 'AnomalyRemoval': 0.03, 'BKBandpassFilter': 0.01, 'BTCD': 0.01, 'CenterLastValue': 0.01, 'CenterSplit': 0.01, 'ClipOutliers': 0.03, 'Cointegration': 0.01, 'CumSumTransformer': 0.02, 'DatepartRegression': 0.01, 'Detrend': 0.02, 'DiffSmoother': 0.005, 'DifferencedTransformer': 0.05, 'Discretize': 0.01, 'EWMAFilter': 0.02, 'FFTDecomposition': 0.01, 'FFTFilter': 0.01, 'FastICA': 0.01, 'HPFilter': 0.01, 'HistoricValues': 0.01, 'HolidayTransformer': 0.01, 'IntermittentOccurrence': 0.01, 'KalmanSmoothing': 0.02, 'LevelShiftTransformer': 0.03, 'LocalLinearTrend': 0.01, 'Log': 0.01, 'MaxAbsScaler': 0.03, 'MeanDifference': 0.002, 'MinMaxScaler': 0.03, 'PCA': 0.01, 'PctChangeTransformer': 0.01, 'PositiveShift': 0.02, 'PowerTransformer': 0.01, 'QuantileTransformer': 0.03, 'RegressionFilter': 0.02, 'ReplaceConstant': 0.02, 'RobustScaler': 0.03, 'RollingMean100thN': 0.01, 'RollingMeanTransformer': 0.02, 'Round': 0.02, 'STLFilter': 0.01, 'ScipyFilter': 0.02, 'SeasonalDifference': 0.06, 'SinTrend': 0.01, 'Slice': 0.02, 'StandardScaler': 0.04, 'bkfilter': 0.05, 'cffilter': 0.01, 'convolution_filter': 0.001, None: 0.0}, transformer_max_depth: int = 4, na_prob_dict: dict = {'DatepartRegressionImputer': 0.05, 'IterativeImputer': 0.025, 'IterativeImputerExtraTrees': 0.0001, 'KNNImputer': 0.05, 'SeasonalityMotifImputer': 0.1, 'SeasonalityMotifImputer1K': 0.01, 'SeasonalityMotifImputerLinMix': 0.01, 'fake_date': 0.1, 'ffill': 0.4, 'ffill_mean_biased': 0.1, 'interpolate': 0.4, 'mean': 0.06, 'median': 0.03, 'rolling_mean': 0.1, 'rolling_mean_24': 0.1, 'zero': 0.05, None: 0.001}, fast_params: bool | None = None, superfast_params: bool | None = None, traditional_order: bool = False, transformer_min_depth: int = 1, allow_none: bool = True, no_nan_fill: bool = False)¶
Return a dict of randomly choosen transformation selections.
BTCD is used as a signal that slow parameters are allowed.
-
-autots.TransformTS¶
+autots.TransformTS¶
alias of GeneralTransformer
-
-autots.create_lagged_regressor(df, forecast_length: int, frequency: str = 'infer', scale: bool = True, summarize: str | None = None, backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill')¶
+autots.create_lagged_regressor(df, forecast_length: int, frequency: str = 'infer', scale: bool = True, summarize: str | None = None, backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill')¶
Create a regressor of features lagged by forecast length.
Useful to some models that don’t otherwise use such information.
It is recommended that the .head(forecast_length) of both regressor_train and the df for training are dropped.
@@ -2970,7 +2978,7 @@
Subpackages
-
-autots.create_regressor(df, forecast_length, frequency: str = 'infer', holiday_countries: list = ['US'], datepart_method: str = 'simple_binarized', drop_most_recent: int = 0, scale: bool = True, summarize: str = 'auto', backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill', aggfunc: str = 'first', encode_holiday_type=False, holiday_detector_params={'anomaly_detector_params': {'forecast_params': None, 'method': 'mad', 'method_params': {'alpha': 0.05, 'distribution': 'gamma'}, 'transform_dict': {'fillna': None, 'transformation_params': {'0': {}}, 'transformations': {'0': 'DifferencedTransformer'}}}, 'output': 'univariate', 'splash_threshold': None, 'threshold': 0.8, 'use_dayofmonth_holidays': True, 'use_hebrew_holidays': False, 'use_islamic_holidays': False, 'use_lunar_holidays': False, 'use_lunar_weekday': False, 'use_wkdeom_holidays': False, 'use_wkdom_holidays': True}, holiday_regr_style: str = 'flag', preprocessing_params: dict | None = None)¶
+autots.create_regressor(df, forecast_length, frequency: str = 'infer', holiday_countries: list = ['US'], datepart_method: str = 'simple_binarized', drop_most_recent: int = 0, scale: bool = True, summarize: str = 'auto', backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill', aggfunc: str = 'first', encode_holiday_type=False, holiday_detector_params={'anomaly_detector_params': {'forecast_params': None, 'method': 'mad', 'method_params': {'alpha': 0.05, 'distribution': 'gamma'}, 'transform_dict': {'fillna': None, 'transformation_params': {'0': {}}, 'transformations': {'0': 'DifferencedTransformer'}}}, 'output': 'univariate', 'splash_threshold': None, 'threshold': 0.8, 'use_dayofmonth_holidays': True, 'use_hebrew_holidays': False, 'use_islamic_holidays': False, 'use_lunar_holidays': False, 'use_lunar_weekday': False, 'use_wkdeom_holidays': False, 'use_wkdom_holidays': True}, holiday_regr_style: str = 'flag', preprocessing_params: dict | None = None)¶
Create a regressor from information available in the existing dataset.
Components: are lagged data, datepart information, and holiday.
This function has been confusing people. This is NOT necessary for machine learning models, in AutoTS they internally create more elaborate feature sets separately.
@@ -3012,7 +3020,7 @@
Subpackages
-
-autots.infer_frequency(df_wide, warn=True, **kwargs)¶
+autots.infer_frequency(df_wide, warn=True, **kwargs)¶
Infer the frequency in a slightly more robust way.
- Parameters:
@@ -3026,7 +3034,7 @@ Subpackages
-
-autots.load_artificial(long=False, date_start=None, date_end=None)¶
+autots.load_artificial(long=False, date_start=None, date_end=None)¶
Load artifically generated series from random distributions.
- Parameters:
@@ -3041,7 +3049,7 @@ Subpackages
-
-autots.load_daily(long: bool = True)¶
+autots.load_daily(long: bool = True)¶
Daily sample data.
- wiki = [
“Germany”, “Thanksgiving”, ‘all’, ‘Microsoft’,
@@ -3064,13 +3072,13 @@
Subpackages
-
-autots.load_hourly(long: bool = True)¶
+autots.load_hourly(long: bool = True)¶
Traffic data from the MN DOT via the UCI data repository.
-
-autots.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶
+autots.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
- Parameters:
@@ -3088,7 +3096,7 @@ Subpackages
-
-autots.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶
+autots.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶
Generates a dataframe of data up to the present day. Requires active internet connection.
Try to be respectful of these free data sources by not calling too much too heavily.
Pass None instead of specification lists to exclude a data source.
@@ -3125,19 +3133,19 @@ Subpackages
-
-autots.load_monthly(long: bool = True)¶
+autots.load_monthly(long: bool = True)¶
Federal Reserve of St. Louis monthly economic indicators.
-
-autots.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶
+autots.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
-
-autots.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶
+autots.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶
Test edge cases by creating a Series with values as day of week.
- Parameters:
@@ -3153,19 +3161,19 @@ Subpackages
-
-autots.load_weekly(long: bool = True)¶
+autots.load_weekly(long: bool = True)¶
Weekly petroleum industry data from the EIA.
-
-autots.load_yearly(long: bool = True)¶
+autots.load_yearly(long: bool = True)¶
Federal Reserve of St. Louis annual economic indicators.
-
-autots.long_to_wide(df, date_col: str = 'datetime', value_col: str = 'value', id_col: str = 'series_id', aggfunc: str = 'first')¶
+autots.long_to_wide(df, date_col: str = 'datetime', value_col: str = 'value', id_col: str = 'series_id', aggfunc: str = 'first')¶
Take long data and convert into wide, cleaner data.
- Parameters:
@@ -3193,7 +3201,7 @@ Subpackages
-
-autots.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶
+autots.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶
Takes numeric data, returns numeric forecasts.
Only one model (albeit potentially an ensemble)!
Horizontal ensembles can not be nested, other ensemble types can be.
@@ -3325,21 +3333,5 @@ Quick search
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diff --git a/docs/build/html/source/autots.models.html b/docs/build/html/source/autots.models.html
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--- a/docs/build/html/source/autots.models.html
+++ b/docs/build/html/source/autots.models.html
@@ -1,17 +1,25 @@
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autots.models package — AutoTS 0.6.10 documentation
-
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@@ -33,16 +41,16 @@
-autots.models package¶
+autots.models package¶
-Submodules¶
+Submodules¶
-autots.models.arch module¶
+autots.models.arch module¶
Arch Models from arch package.
-
-class autots.models.arch.ARCH(name: str = 'ARCH', frequency: str = 'infer', prediction_interval: float = 0.9, mean: str = 'Constant', lags: int = 2, vol: str = 'GARCH', p: int = 1, o: int = 0, q: int = 1, power: float = 2.0, dist: str = 'normal', rescale: bool = False, maxiter: int = 200, simulations: int = 1000, regression_type: str | None = None, return_result_windows: bool = False, holiday_country: str = 'US', random_seed: int = 2022, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶
+class autots.models.arch.ARCH(name: str = 'ARCH', frequency: str = 'infer', prediction_interval: float = 0.9, mean: str = 'Constant', lags: int = 2, vol: str = 'GARCH', p: int = 1, o: int = 0, q: int = 1, power: float = 2.0, dist: str = 'normal', rescale: bool = False, maxiter: int = 200, simulations: int = 1000, regression_type: str | None = None, return_result_windows: bool = False, holiday_country: str = 'US', random_seed: int = 2022, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶
Bases: ModelObject
ARCH model family from arch package. See arch package for arg details.
Not to be confused with a linux distro.
@@ -59,7 +67,7 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied .
- Parameters:
@@ -70,19 +78,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Return dict of new parameters for parameter tuning.
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generate forecast data immediately following dates of index supplied to .fit().
- Parameters:
@@ -103,12 +111,12 @@ Submodules
-autots.models.base module¶
+autots.models.base module¶
Base model information
@author: Colin
-
-class autots.models.base.ModelObject(name: str = 'Uninitiated Model Name', frequency: str = 'infer', prediction_interval: float = 0.9, regression_type: str | None = None, fit_runtime=datetime.timedelta(0), holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = -1)¶
+class autots.models.base.ModelObject(name: str = 'Uninitiated Model Name', frequency: str = 'infer', prediction_interval: float = 0.9, regression_type: str | None = None, fit_runtime=datetime.timedelta(0), holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = -1)¶
Bases: object
Generic class for holding forecasting models.
@@ -129,13 +137,13 @@ Submodules
-
-basic_profile(df)¶
+basic_profile(df)¶
Capture basic training details.
-
-create_forecast_index(forecast_length: int, last_date=None)¶
+create_forecast_index(forecast_length: int, last_date=None)¶
Generate a pd.DatetimeIndex appropriate for a new forecast.
Warning
@@ -145,93 +153,93 @@ Submodules
-
-fit_data(df, future_regressor=None)¶
+fit_data(df, future_regressor=None)¶
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Return dict of new parameters for parameter tuning.
-
-class autots.models.base.PredictionObject(model_name: str = 'Uninitiated', forecast_length: int = 0, forecast_index=nan, forecast_columns=nan, lower_forecast=nan, forecast=nan, upper_forecast=nan, prediction_interval: float = 0.9, predict_runtime=datetime.timedelta(0), fit_runtime=datetime.timedelta(0), model_parameters={}, transformation_parameters={}, transformation_runtime=datetime.timedelta(0), per_series_metrics=nan, per_timestamp=nan, avg_metrics=nan, avg_metrics_weighted=nan, full_mae_error=None, model=None, transformer=None)¶
+class autots.models.base.PredictionObject(model_name: str = 'Uninitiated', forecast_length: int = 0, forecast_index=nan, forecast_columns=nan, lower_forecast=nan, forecast=nan, upper_forecast=nan, prediction_interval: float = 0.9, predict_runtime=datetime.timedelta(0), fit_runtime=datetime.timedelta(0), model_parameters={}, transformation_parameters={}, transformation_runtime=datetime.timedelta(0), per_series_metrics=nan, per_timestamp=nan, avg_metrics=nan, avg_metrics_weighted=nan, full_mae_error=None, model=None, transformer=None)¶
Bases: object
Generic class for holding forecast information.
-
-apply_constraints(constraint_method='quantile', constraint_regularization=0.5, upper_constraint=1.0, lower_constraint=0.0, bounds=True, df_train=None)¶
+apply_constraints(constraint_method='quantile', constraint_regularization=0.5, upper_constraint=1.0, lower_constraint=0.0, bounds=True, df_train=None)¶
Use constraint thresholds to adjust outputs by limit.
Note that only one method of constraint can be used here, but if different methods are desired,
this can be run twice, with None passed to the upper or lower constraint not being used.
@@ -259,7 +267,7 @@ Submodules
-
-evaluate(actual, series_weights: dict | None = None, df_train=None, per_timestamp_errors: bool = False, full_mae_error: bool = True, scaler=None, cumsum_A=None, diff_A=None, last_of_array=None)¶
+evaluate(actual, series_weights: dict | None = None, df_train=None, per_timestamp_errors: bool = False, full_mae_error: bool = True, scaler=None, cumsum_A=None, diff_A=None, last_of_array=None)¶
Evalute prediction against test actual. Fills out attributes of base object.
This fails with pd.NA values supplied.
@@ -290,13 +298,13 @@ Submodules
-
-extract_ensemble_runtimes()¶
+extract_ensemble_runtimes()¶
Return a dataframe of final runtimes per model for standard ensembles.
-
-long_form_results(id_name='SeriesID', value_name='Value', interval_name='PredictionInterval', update_datetime_name=None, datetime_column=None)¶
+long_form_results(id_name='SeriesID', value_name='Value', interval_name='PredictionInterval', update_datetime_name=None, datetime_column=None)¶
Export forecasts (including upper and lower) as single ‘long’ format output
- Parameters:
@@ -316,7 +324,7 @@ Submodules
-
-plot(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str = 'auto', alpha=0.3, facecolor='black', loc='upper right', title=None, title_substring=None, vline=None, colors=None, include_bounds=True, **kwargs)¶
+plot(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str = 'auto', alpha=0.3, facecolor='black', loc='upper right', title=None, title_substring=None, vline=None, colors=None, include_bounds=True, **kwargs)¶
Generate an example plot of one series. Does not handle non-numeric forecasts.
- Parameters:
@@ -341,24 +349,24 @@ Submodules
-
-plot_df(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str | None = None)¶
+plot_df(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str | None = None)¶
-
-plot_ensemble_runtimes(xlim_right=None)¶
+plot_ensemble_runtimes(xlim_right=None)¶
Plot ensemble runtimes by model type.
-
-plot_grid(df_wide=None, start_date='auto', interpolate=None, remove_zeroes=False, figsize=(24, 18), title='AutoTS Forecasts', cols=None, colors=None, include_bounds=True)¶
+plot_grid(df_wide=None, start_date='auto', interpolate=None, remove_zeroes=False, figsize=(24, 18), title='AutoTS Forecasts', cols=None, colors=None, include_bounds=True)¶
Plots multiple series in a grid, if present. Mostly identical args to the single plot function.
@@ -366,7 +374,7 @@ Submodules
-
-autots.models.base.apply_constraints(forecast, lower_forecast, upper_forecast, constraint_method, constraint_regularization, upper_constraint, lower_constraint, bounds, df_train=None)¶
+autots.models.base.apply_constraints(forecast, lower_forecast, upper_forecast, constraint_method, constraint_regularization, upper_constraint, lower_constraint, bounds, df_train=None)¶
Use constraint thresholds to adjust outputs by limit.
Note that only one method of constraint can be used here, but if different methods are desired,
this can be run twice, with None passed to the upper or lower constraint not being used.
@@ -398,41 +406,41 @@ Submodules
-
-autots.models.base.calculate_peak_density(model, data, group_col='Model', y_col='TotalRuntimeSeconds')¶
+autots.models.base.calculate_peak_density(model, data, group_col='Model', y_col='TotalRuntimeSeconds')¶
-
-autots.models.base.create_forecast_index(frequency, forecast_length, train_last_date, last_date=None)¶
+autots.models.base.create_forecast_index(frequency, forecast_length, train_last_date, last_date=None)¶
-
-autots.models.base.create_seaborn_palette_from_cmap(cmap_name='gist_rainbow', n=10)¶
+autots.models.base.create_seaborn_palette_from_cmap(cmap_name='gist_rainbow', n=10)¶
-
-autots.models.base.extract_single_series_from_horz(series, model_name, model_parameters)¶
+autots.models.base.extract_single_series_from_horz(series, model_name, model_parameters)¶
-
-autots.models.base.extract_single_transformer(series, model_name, model_parameters, transformation_params)¶
+autots.models.base.extract_single_transformer(series, model_name, model_parameters, transformation_params)¶
-
-autots.models.base.plot_distributions(runtimes_data, group_col='Model', y_col='TotalRuntimeSeconds', xlim=None, xlim_right=None, title_suffix='')¶
+autots.models.base.plot_distributions(runtimes_data, group_col='Model', y_col='TotalRuntimeSeconds', xlim=None, xlim_right=None, title_suffix='')¶
-autots.models.basics module¶
+autots.models.basics module¶
Naives and Others Requiring No Additional Packages Beyond Numpy and Pandas
-
-class autots.models.basics.AverageValueNaive(name: str = 'AverageValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, method: str = 'median', window: int | None = None, **kwargs)¶
+class autots.models.basics.AverageValueNaive(name: str = 'AverageValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, method: str = 'median', window: int | None = None, **kwargs)¶
Bases: ModelObject
Naive forecasting predicting a dataframe of the series’ median values
@@ -446,7 +454,7 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters:
@@ -457,19 +465,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -490,7 +498,7 @@ Submodules
-
-class autots.models.basics.BallTreeMultivariateMotif(frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'mean', distance_metric: str = 'canberra', k: int = 10, sample_fraction=None, **kwargs)¶
+class autots.models.basics.BallTreeMultivariateMotif(frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'mean', distance_metric: str = 'canberra', k: int = 10, sample_fraction=None, **kwargs)¶
Bases: ModelObject
Forecasts using a nearest neighbors type model adapted for probabilistic time series.
Many of these motifs will struggle when the forecast_length is large and history is short.
@@ -511,7 +519,7 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters:
@@ -522,19 +530,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -555,7 +563,7 @@ Submodules
-
-class autots.models.basics.ConstantNaive(name: str = 'ConstantNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, constant: float = 0, **kwargs)¶
+class autots.models.basics.ConstantNaive(name: str = 'ConstantNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, constant: float = 0, **kwargs)¶
Bases: ModelObject
Naive forecasting predicting a dataframe of zeroes (0’s)
@@ -570,7 +578,7 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied
- Parameters:
@@ -581,19 +589,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -614,11 +622,11 @@ Submodules
-
-class autots.models.basics.FFT(name: str = 'FFT', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2023, verbose: int = 0, n_harmonics: int = 10, detrend: str = 'linear', **kwargs)¶
+class autots.models.basics.FFT(name: str = 'FFT', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2023, verbose: int = 0, n_harmonics: int = 10, detrend: str = 'linear', **kwargs)¶
Bases: ModelObject
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters:
@@ -632,19 +640,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -665,7 +673,7 @@ Submodules
-
-class autots.models.basics.KalmanStateSpace(name: str = 'KalmanStateSpace', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, state_transition=[[1, 1], [0, 1]], process_noise=[[0.1, 0.0], [0.0, 0.01]], observation_model=[[1, 0]], observation_noise: float = 1.0, em_iter: int = 10, model_name: str = 'undefined', forecast_length: int | None = None, **kwargs)¶
+class autots.models.basics.KalmanStateSpace(name: str = 'KalmanStateSpace', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, state_transition=[[1, 1], [0, 1]], process_noise=[[0.1, 0.0], [0.0, 0.01]], observation_model=[[1, 0]], observation_noise: float = 1.0, em_iter: int = 10, model_name: str = 'undefined', forecast_length: int | None = None, **kwargs)¶
Bases: ModelObject
Forecast using a state space model solved by a Kalman Filter.
@@ -679,12 +687,12 @@ Submodules
-
-cost_function(param, df)¶
+cost_function(param, df)¶
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters:
@@ -695,24 +703,24 @@ Submodules
-
-fit_data(df, future_regressor=None)¶
+fit_data(df, future_regressor=None)¶
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Return dict of new parameters for parameter tuning.
-
-predict(forecast_length: int | None = None, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int | None = None, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -731,14 +739,14 @@ Submodules
-
-tune_observational_noise(df)¶
+tune_observational_noise(df)¶
-
-class autots.models.basics.LastValueNaive(name: str = 'LastValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, **kwargs)¶
+class autots.models.basics.LastValueNaive(name: str = 'LastValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, **kwargs)¶
Bases: ModelObject
Naive forecasting predicting a dataframe of the last series value
@@ -752,7 +760,7 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied
- Parameters:
@@ -763,19 +771,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -796,7 +804,7 @@ Submodules
-
-class autots.models.basics.MetricMotif(name: str = 'MetricMotif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, regression_type: str | None = None, comparison_transformation: dict | None = None, combination_transformation: dict | None = None, window: int = 5, point_method: str = 'mean', distance_metric: str = 'mae', k: int = 10, **kwargs)¶
+class autots.models.basics.MetricMotif(name: str = 'MetricMotif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, regression_type: str | None = None, comparison_transformation: dict | None = None, combination_transformation: dict | None = None, window: int = 5, point_method: str = 'mean', distance_metric: str = 'mae', k: int = 10, **kwargs)¶
Bases: ModelObject
Forecasts using a nearest neighbors type model adapted for probabilistic time series.
This version is fully vectorized, using basic metrics for distance comparison.
@@ -816,7 +824,7 @@ Submodules
-
-fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters:
@@ -830,19 +838,19 @@ Submodules
-
-get_new_params(method: str = 'random')¶
+get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
-
-predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
+predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters:
@@ -863,7 +871,7 @@ Submodules
-
-class autots.models.basics.Motif(name: str = 'Motif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'weighted_mean', distance_metric: str = 'minkowski', k: int = 10, max_windows: int = 5000, multivariate: bool = False, return_result_windows: bool = False, **kwargs)¶
+class autots.models.basics.Motif(name: str = 'Motif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'weighted_mean', distance_metric: str = 'minkowski', k: int = 10, max_windows: int = 5000, multivariate: bool = False, return_result_windows: bool = False, **kwargs)¶
Bases: ModelObject
Forecasts using a nearest neighbors type model adapted for probabilistic time series.
@@ -887,7 +895,7 @@ Submodules
-
-
- Intro @@ -71,7 +79,7 @@
- autots
-
@@ -82,7 +90,7 @@
- @@ -172,21 +180,5 @@
- -autots.datasets.fred.get_fred_data(fredkey: str, SeriesNameDict: dict | None = None, long=True, observation_start=None, sleep_seconds: int = 1, **kwargs)¶ +autots.datasets.fred.get_fred_data(fredkey: str, SeriesNameDict: dict | None = None, long=True, observation_start=None, sleep_seconds: int = 1, **kwargs)¶
Imports Data from Federal Reserve. For simplest results, make sure requested series are all of the same frequency.
-
@@ -64,11 +72,11 @@
- -autots.datasets.load_artificial(long=False, date_start=None, date_end=None)¶ +autots.datasets.load_artificial(long=False, date_start=None, date_end=None)¶
Load artifically generated series from random distributions.
- Parameters: @@ -83,7 +91,7 @@
- -autots.datasets.load_daily(long: bool = True)¶ +autots.datasets.load_daily(long: bool = True)¶
Daily sample data.
- wiki = [
“Germany”, “Thanksgiving”, ‘all’, ‘Microsoft’, @@ -106,13 +114,13 @@
Submodules
- -autots.datasets.load_hourly(long: bool = True)¶
+autots.datasets.load_hourly(long: bool = True)¶Traffic data from the MN DOT via the UCI data repository.
- -autots.datasets.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶ +autots.datasets.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
- Parameters: @@ -130,7 +138,7 @@
- -autots.datasets.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶ +autots.datasets.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶
Generates a dataframe of data up to the present day. Requires active internet connection. Try to be respectful of these free data sources by not calling too much too heavily. Pass None instead of specification lists to exclude a data source.
@@ -167,19 +175,19 @@Submodules
- -autots.datasets.load_monthly(long: bool = True)¶
+autots.datasets.load_monthly(long: bool = True)¶Federal Reserve of St. Louis monthly economic indicators.
Submodules
- -autots.datasets.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶ +autots.datasets.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
- -autots.datasets.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶ +autots.datasets.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶
Test edge cases by creating a Series with values as day of week.
- Parameters: @@ -195,19 +203,19 @@
- -autots.datasets.load_weekly(long: bool = True)¶ +autots.datasets.load_weekly(long: bool = True)¶
Weekly petroleum industry data from the EIA.
Submodules
- -autots.datasets.load_yearly(long: bool = True)¶ +autots.datasets.load_yearly(long: bool = True)¶
Federal Reserve of St. Louis annual economic indicators.
- -autots.datasets.load_zeroes(long=False, shape=None, start_date: str = '2021-01-01')¶ +autots.datasets.load_zeroes(long=False, shape=None, start_date: str = '2021-01-01')¶
Create a dataset of just zeroes for testing edge case.
Quick search
- - \ No newline at end of file diff --git a/docs/build/html/source/autots.evaluator.html b/docs/build/html/source/autots.evaluator.html index 4ff67144..9a19062a 100644 --- a/docs/build/html/source/autots.evaluator.html +++ b/docs/build/html/source/autots.evaluator.html @@ -1,17 +1,25 @@ - - + + + + +autots.evaluator package — AutoTS 0.6.10 documentation - - - - - + + + + + @@ -33,22 +41,22 @@- @@ -1957,21 +1965,5 @@autots.evaluator package¶
+autots.evaluator package¶
- Submodules¶
+Submodules¶
- autots.evaluator.anomaly_detector module¶
+autots.evaluator.anomaly_detector module¶
Anomaly Detector Created on Mon Jul 18 14:19:55 2022
@author: Colin
- -class autots.evaluator.anomaly_detector.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶ +class autots.evaluator.anomaly_detector.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶
Bases:
object
- -detect(df)¶ +detect(df)¶
All will return -1 for anomalies.
- Parameters: @@ -62,18 +70,18 @@
- -fit(df)¶ +fit(df)¶
Submodules
- -fit_anomaly_classifier()¶ +fit_anomaly_classifier()¶
Fit a model to predict if a score is an anomaly.
- -static get_new_params(method='random')¶ +static get_new_params(method='random')¶
Generate random new parameter combinations.
- Parameters: @@ -84,12 +92,12 @@
- -plot(series_name=None, title=None, plot_kwargs={})¶ +plot(series_name=None, title=None, plot_kwargs={})¶
Submodules
- -score_to_anomaly(scores)¶ +score_to_anomaly(scores)¶
A DecisionTree model, used as models are nonstandard (and nonparametric).
Submodules
- -class autots.evaluator.anomaly_detector.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶
+class autots.evaluator.anomaly_detector.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶Bases:
object
- -dates_to_holidays(dates, style='flag', holiday_impacts=False)¶ +dates_to_holidays(dates, style='flag', holiday_impacts=False)¶
Populate date information for a given pd.DatetimeIndex.
- Parameters: @@ -122,39 +130,39 @@
- -detect(df)¶ +detect(df)¶
Run holiday detection. Input wide-style pandas time series.
Submodules
- autots.evaluator.auto_model module¶
+autots.evaluator.auto_model module¶
Mid-level helper functions for AutoTS.
- -autots.evaluator.auto_model.ModelMonster(model: str, parameters: dict = {}, frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', startTimeStamps=None, forecast_length: int = 14, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶ +autots.evaluator.auto_model.ModelMonster(model: str, parameters: dict = {}, frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', startTimeStamps=None, forecast_length: int = 14, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶
Directs strings and parameters to appropriate model objects.
- Parameters: @@ -168,7 +176,7 @@
- -class autots.evaluator.auto_model.ModelPrediction(forecast_length: int, transformation_dict: dict, model_str: str, parameter_dict: dict, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, return_model: bool = False, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False)¶ +class autots.evaluator.auto_model.ModelPrediction(forecast_length: int, transformation_dict: dict, model_str: str, parameter_dict: dict, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, return_model: bool = False, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False)¶
Bases:
ModelObject
Feed parameters into modeling pipeline. A class object, does NOT work with ensembles.
-
@@ -201,24 +209,24 @@
- -fit(df, future_regressor=None)¶ +fit(df, future_regressor=None)¶
Submodules
Submodules
- -autots.evaluator.auto_model.NewGeneticTemplate(model_results, submitted_parameters, sort_column: str = 'Score', sort_ascending: bool = True, max_results: int = 50, max_per_model_class: int = 5, top_n: int = 50, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], transformer_list: dict = {}, transformer_max_depth: int = 8, models_mode: str = 'default', score_per_series=None, recursive_count=0, model_list=None)¶ +autots.evaluator.auto_model.NewGeneticTemplate(model_results, submitted_parameters, sort_column: str = 'Score', sort_ascending: bool = True, max_results: int = 50, max_per_model_class: int = 5, top_n: int = 50, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], transformer_list: dict = {}, transformer_max_depth: int = 8, models_mode: str = 'default', score_per_series=None, recursive_count=0, model_list=None)¶
Return new template given old template with model accuracies.
“No mating!” - Pattern, Sanderson
-
@@ -233,7 +241,7 @@
- -autots.evaluator.auto_model.RandomTemplate(n: int = 10, model_list: list = ['ZeroesNaive', 'LastValueNaive', 'AverageValueNaive', 'GLS', 'GLM', 'ETS'], transformer_list: dict = 'fast', transformer_max_depth: int = 8, models_mode: str = 'default')¶ +autots.evaluator.auto_model.RandomTemplate(n: int = 10, model_list: list = ['ZeroesNaive', 'LastValueNaive', 'AverageValueNaive', 'GLS', 'GLM', 'ETS'], transformer_list: dict = 'fast', transformer_max_depth: int = 8, models_mode: str = 'default')¶
Returns a template dataframe of randomly generated transformations, models, and hyperparameters.
- Parameters: @@ -244,12 +252,12 @@
- -class autots.evaluator.auto_model.TemplateEvalObject(model_results=Empty DataFrame Columns: [] Index: [], per_timestamp_smape=Empty DataFrame Columns: [] Index: [], per_series_metrics=Empty DataFrame Columns: [] Index: [], per_series_mae=None, per_series_rmse=None, per_series_made=None, per_series_contour=None, per_series_spl=None, per_series_mle=None, per_series_imle=None, per_series_maxe=None, per_series_oda=None, per_series_mqae=None, per_series_dwae=None, per_series_ewmae=None, per_series_uwmse=None, per_series_smoothness=None, per_series_mate=None, per_series_matse=None, per_series_wasserstein=None, per_series_dwd=None, model_count: int = 0)¶ +class autots.evaluator.auto_model.TemplateEvalObject(model_results=Empty DataFrame Columns: [] Index: [], per_timestamp_smape=Empty DataFrame Columns: [] Index: [], per_series_metrics=Empty DataFrame Columns: [] Index: [], per_series_mae=None, per_series_rmse=None, per_series_made=None, per_series_contour=None, per_series_spl=None, per_series_mle=None, per_series_imle=None, per_series_maxe=None, per_series_oda=None, per_series_mqae=None, per_series_dwae=None, per_series_ewmae=None, per_series_uwmse=None, per_series_smoothness=None, per_series_mate=None, per_series_matse=None, per_series_wasserstein=None, per_series_dwd=None, model_count: int = 0)¶
Bases:
object
Object to contain all the failures!.
- -full_mae_ids¶ +full_mae_ids¶
list of model_ids corresponding to full_mae_errors
- Type: @@ -260,7 +268,7 @@
- -full_mae_errors¶ +full_mae_errors¶
list of numpy arrays of shape (rows, columns) appended in order of validation only provided for ‘mosaic’ ensembling
-
@@ -272,18 +280,18 @@
- -concat(another_eval)¶ +concat(another_eval)¶
Merge another TemplateEvalObject onto this one.
Submodules
- -save(filename='initial_results.pickle')¶ +save(filename='initial_results.pickle')¶
Save results to a file.
- Parameters: @@ -296,7 +304,7 @@
- -autots.evaluator.auto_model.TemplateWizard(template, df_train, df_test, weights, model_count: int = 0, ensemble: list = ['mosaic', 'distance'], forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, validation_round: int = 0, current_generation: int = 0, max_generations: str = '0', model_interrupt: bool = False, grouping_ids=None, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], traceback: bool = False, current_model_file: str | None = None, mosaic_used=None, force_gc: bool = False, additional_msg: str = '')¶ +autots.evaluator.auto_model.TemplateWizard(template, df_train, df_test, weights, model_count: int = 0, ensemble: list = ['mosaic', 'distance'], forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, random_seed: int = 2020, verbose: int = 0, n_jobs: int | None = None, validation_round: int = 0, current_generation: int = 0, max_generations: str = '0', model_interrupt: bool = False, grouping_ids=None, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], traceback: bool = False, current_model_file: str | None = None, mosaic_used=None, force_gc: bool = False, additional_msg: str = '')¶
Take Template, returns Results.
There are some who call me… Tim. - Python
-
@@ -336,7 +344,7 @@
- -autots.evaluator.auto_model.UniqueTemplates(existing_templates, new_possibilities, selection_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶ +autots.evaluator.auto_model.UniqueTemplates(existing_templates, new_possibilities, selection_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶
Returns unique dataframe rows from new_possiblities not in existing_templates.
- Parameters: @@ -347,7 +355,7 @@
- -autots.evaluator.auto_model.back_forecast(df, model_name, model_param_dict, model_transform_dict, future_regressor_train=None, n_splits: int = 'auto', forecast_length=7, frequency='infer', prediction_interval=0.9, no_negatives=False, constraint=None, holiday_country='US', random_seed=123, n_jobs='auto', verbose=0, eval_periods: int | None = None, current_model_file: str | None = None, force_gc: bool = False, **kwargs)¶ +autots.evaluator.auto_model.back_forecast(df, model_name, model_param_dict, model_transform_dict, future_regressor_train=None, n_splits: int = 'auto', forecast_length=7, frequency='infer', prediction_interval=0.9, no_negatives=False, constraint=None, holiday_country='US', random_seed=123, n_jobs='auto', verbose=0, eval_periods: int | None = None, current_model_file: str | None = None, force_gc: bool = False, **kwargs)¶
Create forecasts for the historical training data, ie. backcast or back forecast.
This actually forecasts on historical data, these are not fit model values as are often returned by other packages. As such, this will be slower, but more representative of real world model performance. @@ -364,19 +372,19 @@
Submodules
- -autots.evaluator.auto_model.create_model_id(model_str: str, parameter_dict: dict = {}, transformation_dict: dict = {})¶
+autots.evaluator.auto_model.create_model_id(model_str: str, parameter_dict: dict = {}, transformation_dict: dict = {})¶Create a hash ID which should be unique to the model parameters.
Submodules
- -autots.evaluator.auto_model.dict_recombination(a: dict, b: dict)¶ +autots.evaluator.auto_model.dict_recombination(a: dict, b: dict)¶
Recombine two dictionaries with identical keys. Return new dict.
- -autots.evaluator.auto_model.generate_score(model_results, metric_weighting: dict = {}, prediction_interval: float = 0.9)¶ +autots.evaluator.auto_model.generate_score(model_results, metric_weighting: dict = {}, prediction_interval: float = 0.9)¶
Generate score based on relative accuracies.
SMAPE - smaller is better MAE - smaller is better @@ -394,19 +402,19 @@
Submodules
- -autots.evaluator.auto_model.generate_score_per_series(results_object, metric_weighting, total_validations=1, models_to_use=None)¶
+autots.evaluator.auto_model.generate_score_per_series(results_object, metric_weighting, total_validations=1, models_to_use=None)¶Score generation on per_series_metrics for ensembles.
- -autots.evaluator.auto_model.horizontal_template_to_model_list(template)¶ +autots.evaluator.auto_model.horizontal_template_to_model_list(template)¶
helper function to take template dataframe of ensembles to a single list of models.
- -autots.evaluator.auto_model.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶ +autots.evaluator.auto_model.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶
Takes numeric data, returns numeric forecasts.
Only one model (albeit potentially an ensemble)! Horizontal ensembles can not be nested, other ensemble types can be.
@@ -449,25 +457,25 @@Submodules
- -autots.evaluator.auto_model.random_model(model_list, model_prob, transformer_list='fast', transformer_max_depth=2, models_mode='random', counter=15, n_models=5, keyword_format=False)¶
+autots.evaluator.auto_model.random_model(model_list, model_prob, transformer_list='fast', transformer_max_depth=2, models_mode='random', counter=15, n_models=5, keyword_format=False)¶Generate a random model from a given list of models and probabilities.
- -autots.evaluator.auto_model.remove_leading_zeros(df)¶ +autots.evaluator.auto_model.remove_leading_zeros(df)¶
Accepts wide dataframe, returns dataframe with zeroes preceeding any non-zero value as NaN.
- -autots.evaluator.auto_model.trans_dict_recomb(dict_array)¶ +autots.evaluator.auto_model.trans_dict_recomb(dict_array)¶
Recombine two transformation param dictionaries from array of dicts.
- -autots.evaluator.auto_model.unpack_ensemble_models(template, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], keep_ensemble: bool = True, recursive: bool = False)¶ +autots.evaluator.auto_model.unpack_ensemble_models(template, template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], keep_ensemble: bool = True, recursive: bool = False)¶
Take ensemble models from template and add as new rows. Some confusion may exist as Ensembles require both ‘Ensemble’ column > 0 and model name ‘Ensemble’
-
@@ -483,17 +491,17 @@
- -autots.evaluator.auto_model.validation_aggregation(validation_results, df_train=None, groupby_cols=['ID', 'Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶ +autots.evaluator.auto_model.validation_aggregation(validation_results, df_train=None, groupby_cols=['ID', 'Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'])¶
Aggregate a TemplateEvalObject.
Submodules
Submodules
Submodules
Submodules
Submodules
Submodules
- autots.evaluator.auto_ts module¶
+autots.evaluator.auto_ts module¶
Higher-level functions of automated time series modeling.
- -class autots.evaluator.auto_ts.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶ +class autots.evaluator.auto_ts.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶
Bases:
object
Automate time series modeling using a genetic algorithm.
-
@@ -588,7 +596,7 @@
- -best_model¶ +best_model¶
DataFrame containing template for the best ranked model
- Type: @@ -599,7 +607,7 @@
- -best_model_name¶ +best_model_name¶
model name
- Type: @@ -610,7 +618,7 @@
- -best_model_params¶ +best_model_params¶
model params
- Type: @@ -621,7 +629,7 @@
- -best_model_transformation_params¶ +best_model_transformation_params¶
transformation parameters
- Type: @@ -632,7 +640,7 @@
- -best_model_ensemble¶ +best_model_ensemble¶
Ensemble type int id
- Type: @@ -643,7 +651,7 @@
- -regression_check¶ +regression_check¶
If True, the best_model uses an input ‘User’ future_regressor
- Type: @@ -654,7 +662,7 @@
- -df_wide_numeric¶ +df_wide_numeric¶
dataframe containing shaped final data, will include preclean
- Type: @@ -665,7 +673,7 @@
- -initial_results.model_results¶ +initial_results.model_results¶
contains a collection of result metrics
- Type: @@ -676,7 +684,7 @@
- -score_per_series¶ +score_per_series¶
generated score of metrics given per input series, if horizontal ensembles
- Type: @@ -712,7 +720,7 @@
- -back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶ +back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶
Create forecasts for the historical training data, ie. backcast or back forecast. OUT OF SAMPLE
This actually forecasts on historical data, these are not fit model values as are often returned by other packages. As such, this will be slower, but more representative of real world model performance. @@ -729,18 +737,18 @@
Submodules
- -best_model_per_series_mape()¶
+best_model_per_series_mape()¶This isn’t quite classic mape but is a percentage mean error intended for quick visuals not final statistics (see model.results()).
Submodules
- -diagnose_params(target='runtime', waterfall_plots=True)¶ +diagnose_params(target='runtime', waterfall_plots=True)¶
Attempt to explain params causing measured outcomes using shap and linear regression coefficients.
- Parameters: @@ -754,20 +762,20 @@
- -expand_horizontal()¶ +expand_horizontal()¶
Enables expanding horizontal models trained on a subset to full data. Reruns template models and generates new template.
Submodules
- -export_best_model(filename, **kwargs)¶ +export_best_model(filename, **kwargs)¶
Basically the same as export_template but only ever the one best model.
- -export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶ +export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶
Export top results as a reusable template.
- Parameters: @@ -789,7 +797,7 @@
- -failure_rate(result_set: str = 'initial')¶ +failure_rate(result_set: str = 'initial')¶
Return fraction of models passing with exceptions.
- Parameters: @@ -803,7 +811,7 @@
- -fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶ +fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶
Train algorithm given data supplied.
- Parameters: @@ -828,13 +836,13 @@
- -fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶ +fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶
Part of the setup that involves fitting the initial data but not running any models.
Submodules
- -get_metric_corr(percent_best=0.1)¶ +get_metric_corr(percent_best=0.1)¶
Returns a dataframe of correlation among evaluation metrics across evaluations.
- Parameters: @@ -845,24 +853,24 @@
- -static get_new_params(method='random')¶ +static get_new_params(method='random')¶
Randomly generate new parameters for the class.
Submodules
- -import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶ +import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶
Load a best model, overriding any existing setting.
- Parameters: @@ -873,7 +881,7 @@
- -import_results(filename)¶ +import_results(filename)¶
Add results from another run on the same data.
Input can be filename with .csv or .pickle. or can be a DataFrame of model results or a full TemplateEvalObject
@@ -881,7 +889,7 @@Submodules
- -import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶
+import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶Import a previously exported template of model parameters. Must be done before the AutoTS object is .fit().
-
@@ -901,36 +909,36 @@
- -list_failed_model_types()¶ +list_failed_model_types()¶
Return a list of model types (ie ETS, LastValueNaive) that failed. If all had at least one success, then return an empty list.
Submodules
- -load_template(filename)¶ +load_template(filename)¶
Helper funciton for just loading the file part of import_template.
- -plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶ +plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶
Plot the historical data and fit forecast on historic. Out of sample in chunks = forecast_length by default.
- Parameters: @@ -947,7 +955,7 @@
- -plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶ +plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶
Plot improvement in accuracy over generations. Note: this is only “one size fits all” accuracy and doesn’t account for the benefits seen for ensembling.
@@ -960,7 +968,7 @@Submodules
- -plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶
+plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶Simple plot to visualize assigned series: models.
Note that for ‘mosaic’ ensembles, it only plots the type of the most common model_id for that series, or the first if all are mode.
-
@@ -975,19 +983,19 @@
- -plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶ +plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶
Plots most common models. Does not factor in nested in non-horizontal Ensembles.
Submodules
- -plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶ +plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶
Plot how well the horizontal ensembles would do after each new generation. Slow.
- -plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶ +plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶
Simple plot to visualize transformers used. Note this doesn’t capture transformers nested in simple ensembles.
-
@@ -1003,7 +1011,7 @@
- -plot_metric_corr(cols=None, percent_best=0.1)¶ +plot_metric_corr(cols=None, percent_best=0.1)¶
Plot correlation in results among metrics. The metrics that are highly correlated are those that mostly the unscaled ones
-
@@ -1018,7 +1026,7 @@
- -plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶ +plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶
Plot which series are contributing most to error (Score) of final model. Avg of validations for best_model
- Parameters: @@ -1038,7 +1046,7 @@
- -plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶ +plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
Plot which series are contributing most to SMAPE of final model. Avg of validations for best_model
- Parameters: @@ -1057,19 +1065,19 @@
- -plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶ +plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
To be backwards compatible, not necessarily maintained, plot_per_series_mape is to be preferred.
Submodules
- -plot_transformer_failure_rate()¶ +plot_transformer_failure_rate()¶
Failure Rate per Transformer type (ignoring ensembles), failure may be due to other model or transformer.
- -plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶ +plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶
Similar to plot_backforecast but using the model’s validation segments specifically. Must reforecast. Saves results to self.validation_forecasts and caches. Set that to None to force rerun otherwise it uses stored (when models is the same). ‘chosen’ refers to best_model_id, the model chosen to run for predict @@ -1094,7 +1102,7 @@
Submodules
- -predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶
+predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶Generate forecast data immediately following dates of index supplied to .fit().
If using a model from update_fit list, with no ensembling, underlying model will not be retrained when used as below, with a single prediction interval: This designed for high speed forecasting. Full retraining is best when there is sufficient time. @@ -1137,7 +1145,7 @@
Submodules
- -results(result_set: str = 'initial')¶
+results(result_set: str = 'initial')¶Convenience function to return tested models table.
- Parameters: @@ -1148,25 +1156,25 @@
- -retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶ +retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶
Submodules
- -autots.evaluator.auto_ts.error_correlations(all_result, result: str = 'corr')¶ +autots.evaluator.auto_ts.error_correlations(all_result, result: str = 'corr')¶
Onehot encode AutoTS result df and return df or correlation with errors.
- Parameters: @@ -1180,22 +1188,22 @@
- -autots.evaluator.auto_ts.fake_regressor(df, forecast_length: int = 14, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, frequency: str = 'infer', aggfunc: str = 'first', drop_most_recent: int = 0, na_tolerance: float = 0.95, drop_data_older_than_periods: int = 100000, dimensions: int = 1, verbose: int = 0)¶ +autots.evaluator.auto_ts.fake_regressor(df, forecast_length: int = 14, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, frequency: str = 'infer', aggfunc: str = 'first', drop_most_recent: int = 0, na_tolerance: float = 0.95, drop_data_older_than_periods: int = 100000, dimensions: int = 1, verbose: int = 0)¶
Create a fake regressor of random numbers for testing purposes.
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- autots.evaluator.benchmark module¶
+autots.evaluator.benchmark module¶
Created on Fri Nov 5 13:45:01 2021
@author: Colin
- -class autots.evaluator.benchmark.Benchmark¶ +class autots.evaluator.benchmark.Benchmark¶
Bases:
object
- -run(n_jobs: int = 'auto', times: int = 3, random_seed: int = 123, base_models_only=False, verbose: int = 0)¶ +run(n_jobs: int = 'auto', times: int = 3, random_seed: int = 123, base_models_only=False, verbose: int = 0)¶
Run benchmark.
- Parameters: @@ -1213,12 +1221,12 @@
- -class autots.evaluator.event_forecasting.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶ +class autots.evaluator.event_forecasting.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
Bases:
object
Generate a risk score (0 to 1, but usually close to 0) for a future event exceeding user specified upper or lower bounds.
Upper and lower limits can be one of four types, and may each be different. @@ -1260,42 +1268,42 @@
Submodules
- -fit()¶
+fit()¶- -fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶ +fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶
Shortcut for generating model params.
args specified are those suggested for an otherwise normal AutoTS run
-
@@ -1329,13 +1337,13 @@
- -static generate_historic_risk_array(df, limit, direction='upper')¶ +static generate_historic_risk_array(df, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
Submodules
- -generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶ +generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶
For event risk forecasting. Params default to class init but can be overridden here.
- Returns: @@ -1349,13 +1357,13 @@
- -static generate_risk_array(result_windows, limit, direction='upper')¶ +static generate_risk_array(result_windows, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
Submodules
- -plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶ +plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast outcomes.
- Parameters: @@ -1373,7 +1381,7 @@
- -plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶ +plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast with known value vs risk score.
- Parameters: @@ -1392,13 +1400,13 @@
- -predict()¶ +predict()¶
Returns forecast upper, lower risk probability arrays for input limits.
Submodules
- -predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶ +predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶
Returns upper, lower risk probability arrays for input limits for the historic data. If manual numpy array limits are used, the limits will need to be appropriate shape (for df_train and eval_periods if used)
-
@@ -1414,7 +1422,7 @@
- -static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶ +static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶
Handles all limit input styles and returns numpy array.
- Parameters: @@ -1435,30 +1443,30 @@
- -autots.evaluator.event_forecasting.extract_result_windows(forecasts, model_name=None)¶ +autots.evaluator.event_forecasting.extract_result_windows(forecasts, model_name=None)¶
standardize result windows from different models.
Submodules
- -autots.evaluator.event_forecasting.extract_window_index(forecasts)¶ +autots.evaluator.event_forecasting.extract_window_index(forecasts)¶
- -autots.evaluator.event_forecasting.set_limit_forecast(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶ +autots.evaluator.event_forecasting.set_limit_forecast(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
Helper function for forecast limits set by forecast algorithms.
- -autots.evaluator.event_forecasting.set_limit_forecast_historic(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 2}, future_regressor_train=None, future_regressor_forecast=None, eval_periods=None)¶ +autots.evaluator.event_forecasting.set_limit_forecast_historic(df_train, forecast_length, model_name='SeasonalNaive', model_param_dict={'lag_1': 28, 'lag_2': None, 'method': 'median'}, model_transform_dict={'fillna': 'nearest', 'transformation_params': {}, 'transformations': {}}, prediction_interval=0.9, frequency='infer', model_forecast_kwargs={'n_jobs': 'auto', 'random_seed': 321, 'verbose': 2}, future_regressor_train=None, future_regressor_forecast=None, eval_periods=None)¶
Helper function for forecast limits set by forecast algorithms.
Submodules
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Submodules -
autots.evaluator.event_forecasting module¶
+autots.evaluator.event_forecasting module¶
Generate probabilities of forecastings crossing limit thresholds. Created on Thu Jan 27 13:36:18 2022
-
@@ -1310,7 +1318,7 @@
Submodules
- autots.evaluator.metrics module¶
+autots.evaluator.metrics module¶
Tools for calculating forecast errors.
- Some common args:
A or actual (np.array): actuals ndim 2 (timesteps, series) @@ -1468,18 +1476,18 @@
Submodules
- -autots.evaluator.metrics.array_last_val(arr)¶
+autots.evaluator.metrics.array_last_val(arr)¶
- -autots.evaluator.metrics.chi_squared_hist_distribution_loss(F, A, bins='auto', plot=False)¶ +autots.evaluator.metrics.chi_squared_hist_distribution_loss(F, A, bins='auto', plot=False)¶
Distribution loss, chi-squared distance from histograms.
- -autots.evaluator.metrics.containment(lower_forecast, upper_forecast, actual)¶ +autots.evaluator.metrics.containment(lower_forecast, upper_forecast, actual)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
-
@@ -1494,7 +1502,7 @@
- -autots.evaluator.metrics.contour(A, F)¶ +autots.evaluator.metrics.contour(A, F)¶
A measure of how well the actual and forecast follow the same pattern of change. Note: If actual values are unchanging, will match positive changing forecasts. This is faster, and because if actuals are a flat line, contour probably isn’t a concern regardless.
@@ -1515,18 +1523,18 @@Submodules
- -autots.evaluator.metrics.default_scaler(df_train)¶
+autots.evaluator.metrics.default_scaler(df_train)¶
Submodules
- -autots.evaluator.metrics.dwae(A, F, last_of_array)¶ +autots.evaluator.metrics.dwae(A, F, last_of_array)¶
Direcitonal Weighted Absolute Error, the accuracy of growth or decline relative to most recent data.
- -autots.evaluator.metrics.full_metric_evaluation(A, F, upper_forecast, lower_forecast, df_train, prediction_interval, columns=None, scaler=None, return_components=False, cumsum_A=None, diff_A=None, last_of_array=None, **kwargs)¶ +autots.evaluator.metrics.full_metric_evaluation(A, F, upper_forecast, lower_forecast, df_train, prediction_interval, columns=None, scaler=None, return_components=False, cumsum_A=None, diff_A=None, last_of_array=None, **kwargs)¶
Create a pd.DataFrame of metrics per series given actuals, forecast, and precalculated errors. There are some extra args which are precomputed metrics for efficiency in loops, don’t worry about them.
-
@@ -1542,36 +1550,36 @@
- -autots.evaluator.metrics.kde(actuals, forecasts, bandwidth, x)¶ +autots.evaluator.metrics.kde(actuals, forecasts, bandwidth, x)¶
Submodules
- -autots.evaluator.metrics.kde_kl_distance(F, A, bandwidth=0.5, x=None)¶ +autots.evaluator.metrics.kde_kl_distance(F, A, bandwidth=0.5, x=None)¶
Distribution loss by means of KDE and KL Divergence.
- -autots.evaluator.metrics.kl_divergence(p, q, epsilon=1e-10)¶ +autots.evaluator.metrics.kl_divergence(p, q, epsilon=1e-10)¶
Compute KL Divergence between two distributions.
- -autots.evaluator.metrics.linearity(arr)¶ +autots.evaluator.metrics.linearity(arr)¶
Score perecentage of a np.array with linear progression, along the index (0) axis.
- -autots.evaluator.metrics.mae(ae)¶ +autots.evaluator.metrics.mae(ae)¶
Accepting abs error already calculated
- -autots.evaluator.metrics.mda(A, F)¶ +autots.evaluator.metrics.mda(A, F)¶
A measure of how well the actual and forecast follow the same pattern of change. Expects two, 2-D numpy arrays of forecast_length * n series Returns a 1-D array of results in len n series
@@ -1589,7 +1597,7 @@Submodules
- -autots.evaluator.metrics.mean_absolute_differential_error(A, F, order: int = 1, df_train=None, scaler=None)¶
+autots.evaluator.metrics.mean_absolute_differential_error(A, F, order: int = 1, df_train=None, scaler=None)¶Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
-
@@ -1612,7 +1620,7 @@
- -autots.evaluator.metrics.mean_absolute_error(A, F)¶ +autots.evaluator.metrics.mean_absolute_error(A, F)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
-
@@ -1627,13 +1635,13 @@
- -autots.evaluator.metrics.medae(ae, nan_flag=True)¶ +autots.evaluator.metrics.medae(ae, nan_flag=True)¶
Accepting abs error already calculated
Submodules
- -autots.evaluator.metrics.median_absolute_error(A, F)¶ +autots.evaluator.metrics.median_absolute_error(A, F)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
-
@@ -1648,7 +1656,7 @@
- -autots.evaluator.metrics.mlvb(A, F, last_of_array)¶ +autots.evaluator.metrics.mlvb(A, F, last_of_array)¶
Mean last value baseline, the % difference of forecast vs last value naive forecast. Does poorly with near-zero values.
-
@@ -1664,14 +1672,14 @@
- -autots.evaluator.metrics.mqae(ae, q=0.85, nan_flag=True)¶ +autots.evaluator.metrics.mqae(ae, q=0.85, nan_flag=True)¶
Return the mean of errors less than q quantile of the errors per series. np.nans count as largest values, and so are removed as part of the > q group.
Submodules
- -autots.evaluator.metrics.msle(full_errors, ae, le, nan_flag=True)¶ +autots.evaluator.metrics.msle(full_errors, ae, le, nan_flag=True)¶
input is array of y_pred - y_true to over-penalize underestimate. Use instead y_true - y_pred to over-penalize overestimate. AE used here for the log just to avoid divide by zero warnings (values aren’t used either way)
@@ -1679,43 +1687,43 @@Submodules
- -autots.evaluator.metrics.numpy_ffill(arr)¶
+autots.evaluator.metrics.numpy_ffill(arr)¶Fill np.nan forward down the zero axis.
- -autots.evaluator.metrics.oda(A, F, last_of_array)¶ +autots.evaluator.metrics.oda(A, F, last_of_array)¶
Origin Directional Accuracy, the accuracy of growth or decline relative to most recent data.
- -autots.evaluator.metrics.pinball_loss(A, F, quantile)¶ +autots.evaluator.metrics.pinball_loss(A, F, quantile)¶
Bigger is bad-er.
- -autots.evaluator.metrics.precomp_wasserstein(F, cumsum_A)¶ +autots.evaluator.metrics.precomp_wasserstein(F, cumsum_A)¶
- -autots.evaluator.metrics.qae(ae, q=0.9, nan_flag=True)¶ +autots.evaluator.metrics.qae(ae, q=0.9, nan_flag=True)¶
Return the q quantile of the errors per series. np.nans count as smallest values and will push more values into the exclusion group.
- -autots.evaluator.metrics.rmse(sqe)¶ +autots.evaluator.metrics.rmse(sqe)¶
Accepting squared error already calculated
- -autots.evaluator.metrics.root_mean_square_error(actual, forecast)¶ +autots.evaluator.metrics.root_mean_square_error(actual, forecast)¶
Expects two, 2-D numpy arrays of forecast_length * n series.
Returns a 1-D array of results in len n series
-
@@ -1730,7 +1738,7 @@
- -autots.evaluator.metrics.rps(predictions, observed)¶ +autots.evaluator.metrics.rps(predictions, observed)¶
Vectorized version of Ranked Probability Score. A lower value is a better score. From: Colin Catlin, https://syllepsis.live/2022/01/22/ranked-probability-score-in-python/
@@ -1746,7 +1754,7 @@Submodules
- -autots.evaluator.metrics.scaled_pinball_loss(A, F, df_train, quantile)¶
+autots.evaluator.metrics.scaled_pinball_loss(A, F, df_train, quantile)¶Scaled pinball loss.
- Parameters: @@ -1762,25 +1770,25 @@
- -autots.evaluator.metrics.smape(actual, forecast, ae, nan_flag=True)¶ +autots.evaluator.metrics.smape(actual, forecast, ae, nan_flag=True)¶
Accepting abs error already calculated
Submodules
- -autots.evaluator.metrics.smoothness(arr)¶ +autots.evaluator.metrics.smoothness(arr)¶
A gradient measure of linearity, where 0 is linear and larger values are more volatile.
- -autots.evaluator.metrics.spl(precomputed_spl, scaler)¶ +autots.evaluator.metrics.spl(precomputed_spl, scaler)¶
Accepting most of it already calculated
- -autots.evaluator.metrics.symmetric_mean_absolute_percentage_error(actual, forecast)¶ +autots.evaluator.metrics.symmetric_mean_absolute_percentage_error(actual, forecast)¶
Expect two, 2-D numpy arrays of forecast_length * n series. Allows NaN in actuals, and corresponding NaN in forecast, but not unmatched NaN in forecast Also doesn’t like zeroes in either forecast or actual - results in poor error value even if forecast is accurate
@@ -1799,7 +1807,7 @@Submodules
- -autots.evaluator.metrics.threshold_loss(actual, forecast, threshold, penalty_threshold=None)¶
+autots.evaluator.metrics.threshold_loss(actual, forecast, threshold, penalty_threshold=None)¶Run once for overestimate then again for underestimate. Add both for combined view.
- Parameters: @@ -1814,31 +1822,31 @@
- -autots.evaluator.metrics.unsorted_wasserstein(F, A)¶ +autots.evaluator.metrics.unsorted_wasserstein(F, A)¶
Also known as earth moving distance.
Submodules
Submodules
Submodules
Submodules
- autots.evaluator.validation module¶
+autots.evaluator.validation module¶
Extracted from auto_ts.py, the functions to create validation segments.
Warning, these are used in AMFM, possibly other places. Avoid modification of function structures, if possible.
Created on Mon Jan 16 11:36:01 2023
@author: Colin
- -autots.evaluator.validation.extract_seasonal_val_periods(validation_method)¶ +autots.evaluator.validation.extract_seasonal_val_periods(validation_method)¶
- -autots.evaluator.validation.generate_validation_indices(validation_method, forecast_length, num_validations, df_wide_numeric, validation_params={}, preclean=None, verbose=0)¶ +autots.evaluator.validation.generate_validation_indices(validation_method, forecast_length, num_validations, df_wide_numeric, validation_params={}, preclean=None, verbose=0)¶
generate validation indices (equals num_validations + 1 as includes initial eval).
- Parameters: @@ -1856,13 +1864,13 @@
- -autots.evaluator.validation.validate_num_validations(validation_method, num_validations, df_wide_numeric, forecast_length, min_allowed_train_percent=0.5, verbose=0)¶ +autots.evaluator.validation.validate_num_validations(validation_method, num_validations, df_wide_numeric, forecast_length, min_allowed_train_percent=0.5, verbose=0)¶
Check how many validations are possible given the length of the data. Beyond initial eval split which is always assumed.
Submodules
- Module contents¶
+Module contents¶
Model Evaluators
Quick search
- - \ No newline at end of file diff --git a/docs/build/html/source/autots.html b/docs/build/html/source/autots.html index 3b33f7fc..03027ce0 100644 --- a/docs/build/html/source/autots.html +++ b/docs/build/html/source/autots.html @@ -1,17 +1,25 @@ - - + + + + +autots package — AutoTS 0.6.10 documentation - - - - - + + + + + @@ -33,9 +41,9 @@- autots package¶
+autots package¶
- Subpackages¶
+Subpackages¶
- autots.datasets package
-
@@ -1442,16 +1450,16 @@
- -class autots.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶ +class autots.AnomalyDetector(output='multivariate', method='zscore', transform_dict={'transformation_params': {0: {'datepart_method': 'simple_3', 'regression_model': {'model': 'ElasticNet', 'model_params': {}}}}, 'transformations': {0: 'DatepartRegression'}}, forecast_params=None, method_params={}, eval_period=None, isolated_only=False, n_jobs=1)¶
Bases:
object
- -detect(df)¶ +detect(df)¶
All will return -1 for anomalies.
- Parameters: @@ -1465,18 +1473,18 @@
- -fit(df)¶ +fit(df)¶
Subpackages
- -fit_anomaly_classifier()¶ +fit_anomaly_classifier()¶
Fit a model to predict if a score is an anomaly.
- -static get_new_params(method='random')¶ +static get_new_params(method='random')¶
Generate random new parameter combinations.
- Parameters: @@ -1487,12 +1495,12 @@
- -plot(series_name=None, title=None, plot_kwargs={})¶ +plot(series_name=None, title=None, plot_kwargs={})¶
Subpackages
- -score_to_anomaly(scores)¶ +score_to_anomaly(scores)¶
A DecisionTree model, used as models are nonstandard (and nonparametric).
Subpackages
- -class autots.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶
+class autots.AutoTS(forecast_length: int = 14, frequency: str = 'infer', prediction_interval: float = 0.9, max_generations: int = 20, no_negatives: bool = False, constraint: float | None = None, ensemble: str | None = None, initial_template: str = 'General+Random', random_seed: int = 2022, holiday_country: str = 'US', subset: int | None = None, aggfunc: str = 'first', na_tolerance: float = 1, metric_weighting: dict = {'containment_weighting': 0, 'contour_weighting': 0.01, 'imle_weighting': 0, 'made_weighting': 0.05, 'mae_weighting': 2, 'mage_weighting': 0, 'mle_weighting': 0, 'oda_weighting': 0.001, 'rmse_weighting': 2, 'runtime_weighting': 0.01, 'smape_weighting': 5, 'spl_weighting': 3, 'wasserstein_weighting': 0.01}, drop_most_recent: int = 0, drop_data_older_than_periods: int | None = None, model_list: str = 'default', transformer_list: dict = 'auto', transformer_max_depth: int = 6, models_mode: str = 'random', num_validations: int = 'auto', models_to_validate: float = 0.15, max_per_model_class: int | None = None, validation_method: str = 'backwards', min_allowed_train_percent: float = 0.5, remove_leading_zeroes: bool = False, prefill_na: str | None = None, introduce_na: bool | None = None, preclean: dict | None = None, model_interrupt: bool = True, generation_timeout: int | None = None, current_model_file: str | None = None, force_gc: bool = False, verbose: int = 1, n_jobs: int = 0.5)¶Bases:
object
Automate time series modeling using a genetic algorithm.
-
@@ -1595,7 +1603,7 @@
- -best_model¶ +best_model¶
DataFrame containing template for the best ranked model
- Type: @@ -1606,7 +1614,7 @@
- -best_model_name¶ +best_model_name¶
model name
- Type: @@ -1617,7 +1625,7 @@
- -best_model_params¶ +best_model_params¶
model params
- Type: @@ -1628,7 +1636,7 @@
- -best_model_transformation_params¶ +best_model_transformation_params¶
transformation parameters
- Type: @@ -1639,7 +1647,7 @@
- -best_model_ensemble¶ +best_model_ensemble¶
Ensemble type int id
- Type: @@ -1650,7 +1658,7 @@
- -regression_check¶ +regression_check¶
If True, the best_model uses an input ‘User’ future_regressor
- Type: @@ -1661,7 +1669,7 @@
- -df_wide_numeric¶ +df_wide_numeric¶
dataframe containing shaped final data, will include preclean
- Type: @@ -1672,7 +1680,7 @@
- -initial_results.model_results¶ +initial_results.model_results¶
contains a collection of result metrics
- Type: @@ -1683,7 +1691,7 @@
- -score_per_series¶ +score_per_series¶
generated score of metrics given per input series, if horizontal ensembles
- Type: @@ -1719,7 +1727,7 @@
- -back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶ +back_forecast(series=None, n_splits: int = 'auto', tail: int = 'auto', verbose: int = 0)¶
Create forecasts for the historical training data, ie. backcast or back forecast. OUT OF SAMPLE
This actually forecasts on historical data, these are not fit model values as are often returned by other packages. As such, this will be slower, but more representative of real world model performance. @@ -1736,18 +1744,18 @@
Subpackages
- -best_model_per_series_mape()¶
+best_model_per_series_mape()¶This isn’t quite classic mape but is a percentage mean error intended for quick visuals not final statistics (see model.results()).
Subpackages
- -diagnose_params(target='runtime', waterfall_plots=True)¶ +diagnose_params(target='runtime', waterfall_plots=True)¶
Attempt to explain params causing measured outcomes using shap and linear regression coefficients.
- Parameters: @@ -1761,20 +1769,20 @@
- -expand_horizontal()¶ +expand_horizontal()¶
Enables expanding horizontal models trained on a subset to full data. Reruns template models and generates new template.
Subpackages
- -export_best_model(filename, **kwargs)¶ +export_best_model(filename, **kwargs)¶
Basically the same as export_template but only ever the one best model.
- -export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶ +export_template(filename=None, models: str = 'best', n: int = 40, max_per_model_class: int | None = None, include_results: bool = False, unpack_ensembles: bool = False, min_metrics: list = ['smape', 'spl'], max_metrics: list | None = None)¶
Export top results as a reusable template.
- Parameters: @@ -1796,7 +1804,7 @@
- -failure_rate(result_set: str = 'initial')¶ +failure_rate(result_set: str = 'initial')¶
Return fraction of models passing with exceptions.
- Parameters: @@ -1810,7 +1818,7 @@
- -fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶ +fit(df, date_col: str | None = None, value_col: str | None = None, id_col: str | None = None, future_regressor=None, weights: dict = {}, result_file: str | None = None, grouping_ids=None, validation_indexes: list | None = None)¶
Train algorithm given data supplied.
- Parameters: @@ -1835,13 +1843,13 @@
- -fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶ +fit_data(df, date_col=None, value_col=None, id_col=None, future_regressor=None, weights={})¶
Part of the setup that involves fitting the initial data but not running any models.
Subpackages
- -get_metric_corr(percent_best=0.1)¶ +get_metric_corr(percent_best=0.1)¶
Returns a dataframe of correlation among evaluation metrics across evaluations.
- Parameters: @@ -1852,24 +1860,24 @@
- -static get_new_params(method='random')¶ +static get_new_params(method='random')¶
Randomly generate new parameters for the class.
Subpackages
- -import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶ +import_best_model(import_target, enforce_model_list: bool = True, include_ensemble: bool = True)¶
Load a best model, overriding any existing setting.
- Parameters: @@ -1880,7 +1888,7 @@
- -import_results(filename)¶ +import_results(filename)¶
Add results from another run on the same data.
Input can be filename with .csv or .pickle. or can be a DataFrame of model results or a full TemplateEvalObject
@@ -1888,7 +1896,7 @@Subpackages
- -import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶
+import_template(filename: str, method: str = 'add_on', enforce_model_list: bool = True, include_ensemble: bool = False, include_horizontal: bool = False, force_validation: bool = False)¶Import a previously exported template of model parameters. Must be done before the AutoTS object is .fit().
-
@@ -1908,36 +1916,36 @@
- -list_failed_model_types()¶ +list_failed_model_types()¶
Return a list of model types (ie ETS, LastValueNaive) that failed. If all had at least one success, then return an empty list.
Subpackages
- -load_template(filename)¶ +load_template(filename)¶
Helper funciton for just loading the file part of import_template.
- -plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶ +plot_backforecast(series=None, n_splits: int = 'auto', start_date='auto', title=None, alpha=0.25, facecolor='black', loc='upper left', **kwargs)¶
Plot the historical data and fit forecast on historic. Out of sample in chunks = forecast_length by default.
- Parameters: @@ -1954,7 +1962,7 @@
- -plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶ +plot_generation_loss(title='Single Model Accuracy Gain Over Generations', **kwargs)¶
Plot improvement in accuracy over generations. Note: this is only “one size fits all” accuracy and doesn’t account for the benefits seen for ensembling.
@@ -1967,7 +1975,7 @@Subpackages
- -plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶
+plot_horizontal(max_series: int = 20, title='Model Types Chosen by Series', **kwargs)¶Simple plot to visualize assigned series: models.
Note that for ‘mosaic’ ensembles, it only plots the type of the most common model_id for that series, or the first if all are mode.
-
@@ -1982,19 +1990,19 @@
- -plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶ +plot_horizontal_model_count(color_list=None, top_n: int = 20, title='Most Frequently Chosen Models', **kwargs)¶
Plots most common models. Does not factor in nested in non-horizontal Ensembles.
Subpackages
- -plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶ +plot_horizontal_per_generation(title='Horizontal Ensemble Accuracy Gain (first eval sample only)', **kwargs)¶
Plot how well the horizontal ensembles would do after each new generation. Slow.
- -plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶ +plot_horizontal_transformers(method='transformers', color_list=None, **kwargs)¶
Simple plot to visualize transformers used. Note this doesn’t capture transformers nested in simple ensembles.
-
@@ -2010,7 +2018,7 @@
- -plot_metric_corr(cols=None, percent_best=0.1)¶ +plot_metric_corr(cols=None, percent_best=0.1)¶
Plot correlation in results among metrics. The metrics that are highly correlated are those that mostly the unscaled ones
-
@@ -2025,7 +2033,7 @@
- -plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶ +plot_per_series_error(title: str = 'Top Series Contributing Score Error', max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', upper_clip: float = 1000, **kwargs)¶
Plot which series are contributing most to error (Score) of final model. Avg of validations for best_model
- Parameters: @@ -2045,7 +2053,7 @@
- -plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶ +plot_per_series_mape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
Plot which series are contributing most to SMAPE of final model. Avg of validations for best_model
- Parameters: @@ -2064,19 +2072,19 @@
- -plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶ +plot_per_series_smape(title: str | None = None, max_series: int = 10, max_name_chars: int = 25, color: str = '#ff9912', figsize=(12, 4), kind: str = 'bar', **kwargs)¶
To be backwards compatible, not necessarily maintained, plot_per_series_mape is to be preferred.
Subpackages
- -plot_transformer_failure_rate()¶ +plot_transformer_failure_rate()¶
Failure Rate per Transformer type (ignoring ensembles), failure may be due to other model or transformer.
- -plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶ +plot_validations(df_wide=None, models=None, series=None, title=None, start_date='auto', end_date='auto', subset=None, compare_horizontal=False, colors=None, include_bounds=True, alpha=0.35, start_color='darkred', end_color='#A2AD9C', **kwargs)¶
Similar to plot_backforecast but using the model’s validation segments specifically. Must reforecast. Saves results to self.validation_forecasts and caches. Set that to None to force rerun otherwise it uses stored (when models is the same). ‘chosen’ refers to best_model_id, the model chosen to run for predict @@ -2101,7 +2109,7 @@
Subpackages
- -predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶
+predict(forecast_length: int = 'self', prediction_interval: float = 'self', future_regressor=None, hierarchy=None, just_point_forecast: bool = False, fail_on_forecast_nan: bool = True, verbose: int = 'self', df=None)¶Generate forecast data immediately following dates of index supplied to .fit().
If using a model from update_fit list, with no ensembling, underlying model will not be retrained when used as below, with a single prediction interval: This designed for high speed forecasting. Full retraining is best when there is sufficient time. @@ -2144,7 +2152,7 @@
Subpackages
- -results(result_set: str = 'initial')¶
+results(result_set: str = 'initial')¶Convenience function to return tested models table.
- Parameters: @@ -2155,25 +2163,25 @@
- -retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶ +retrieve_validation_forecasts(models=None, compare_horizontal=False, id_name='SeriesID', value_name='Value', interval_name='PredictionInterval')¶
Subpackages
- -class autots.Cassandra(preprocessing_transformation: dict | None = None, scaling: str = 'BaseScaler', past_impacts_intervention: str | None = None, seasonalities: dict = ['common_fourier'], ar_lags: list | None = None, ar_interaction_seasonality: dict | None = None, anomaly_detector_params: dict | None = None, anomaly_intervention: str | None = None, holiday_detector_params: dict | None = None, holiday_countries: dict | None = None, holiday_countries_used: bool = True, multivariate_feature: str | None = None, multivariate_transformation: str | None = None, regressor_transformation: dict | None = None, regressors_used: bool = True, linear_model: dict | None = None, randomwalk_n: int | None = None, trend_window: int = 30, trend_standin: str | None = None, trend_anomaly_detector_params: dict | None = None, trend_transformation: dict = {}, trend_model: dict = {'Model': 'LastValueNaive', 'ModelParameters': {}}, trend_phi: float | None = None, constraint: dict | None = None, max_colinearity: float = 0.998, max_multicolinearity: float = 0.001, frequency: str = 'infer', prediction_interval: float = 0.9, random_seed: int = 2022, verbose: int = 0, n_jobs: int = 'auto', **kwargs)¶ +class autots.Cassandra(preprocessing_transformation: dict | None = None, scaling: str = 'BaseScaler', past_impacts_intervention: str | None = None, seasonalities: dict = ['common_fourier'], ar_lags: list | None = None, ar_interaction_seasonality: dict | None = None, anomaly_detector_params: dict | None = None, anomaly_intervention: str | None = None, holiday_detector_params: dict | None = None, holiday_countries: dict | None = None, holiday_countries_used: bool = True, multivariate_feature: str | None = None, multivariate_transformation: str | None = None, regressor_transformation: dict | None = None, regressors_used: bool = True, linear_model: dict | None = None, randomwalk_n: int | None = None, trend_window: int = 30, trend_standin: str | None = None, trend_anomaly_detector_params: dict | None = None, trend_transformation: dict = {}, trend_model: dict = {'Model': 'LastValueNaive', 'ModelParameters': {}}, trend_phi: float | None = None, constraint: dict | None = None, max_colinearity: float = 0.998, max_multicolinearity: float = 0.001, frequency: str = 'infer', prediction_interval: float = 0.9, random_seed: int = 2022, verbose: int = 0, n_jobs: int = 'auto', **kwargs)¶
Bases:
ModelObject
Explainable decomposition-based forecasting with advanced trend modeling and preprocessing.
Tunc etiam fatis aperit Cassandra futuris @@ -2207,68 +2215,68 @@
Subpackages
- -fit()¶
+fit()¶
- -create_forecast_index()¶ +create_forecast_index()¶
after .fit, can be used to create index of prediction
- -.holidays¶ +.holidays¶
- Type:
series flags, holiday detector only
@@ -2278,7 +2286,7 @@Subpackages
- -.params¶
+.params¶
-
@@ -2288,94 +2296,94 @@
- -.x_array¶ +.x_array¶
Subpackages
- -fit(df, future_regressor=None, regressor_per_series=None, flag_regressors=None, categorical_groups=None, past_impacts=None)¶ +fit(df, future_regressor=None, regressor_per_series=None, flag_regressors=None, categorical_groups=None, past_impacts=None)¶
- -fit_data(df, forecast_length=None, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_history=False, past_impacts=None)¶ +fit_data(df, forecast_length=None, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_history=False, past_impacts=None)¶
- -get_new_params(method='fast')¶ +get_new_params(method='fast')¶
Return dict of new parameters for parameter tuning.
- -plot_components(prediction=None, series=None, figsize=(16, 9), to_origin_space=True, title=None, start_date=None)¶ +plot_components(prediction=None, series=None, figsize=(16, 9), to_origin_space=True, title=None, start_date=None)¶
- -plot_forecast(prediction, actuals=None, series=None, start_date=None, anomaly_color='darkslateblue', holiday_color='darkgreen', trend_anomaly_color='slategray', point_size=12.0)¶ +plot_forecast(prediction, actuals=None, series=None, start_date=None, anomaly_color='darkslateblue', holiday_color='darkgreen', trend_anomaly_color='slategray', point_size=12.0)¶
Plot a forecast time series.
- Parameters: @@ -2395,17 +2403,17 @@
- -plot_things()¶ +plot_things()¶
Subpackages
- -plot_trend(series=None, vline=None, colors=['#d4f74f', '#82ab5a', '#ff6c05', '#c12600'], title=None, start_date=None, **kwargs)¶ +plot_trend(series=None, vline=None, colors=['#d4f74f', '#82ab5a', '#ff6c05', '#c12600'], title=None, start_date=None, **kwargs)¶
- -predict(forecast_length=None, include_history=False, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, new_df=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_organic=False, df=None, past_impacts=None)¶ +predict(forecast_length=None, include_history=False, future_regressor=None, regressor_per_series=None, flag_regressors=None, future_impacts=None, new_df=None, regressor_forecast_model=None, regressor_forecast_model_params=None, regressor_forecast_transformations=None, include_organic=False, df=None, past_impacts=None)¶
Generate a forecast.
future_regressor and regressor_per_series should only include new future values, history is already stored they should match on forecast_length and index of forecasts
@@ -2425,18 +2433,18 @@Subpackages
- -predict_new_product()¶
+predict_new_product()¶
- -process_components(to_origin_space=True)¶ +process_components(to_origin_space=True)¶
Scale and standardize component outputs.
- -return_components(to_origin_space=True, include_impacts=False)¶ +return_components(to_origin_space=True, include_impacts=False)¶
Return additive elements of forecast, linear and trend. If impacts included, it is a multiplicative term.
- Parameters: @@ -2450,30 +2458,30 @@
- -rolling_trend(trend_residuals, t)¶ +rolling_trend(trend_residuals, t)¶
Subpackages
- -class autots.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶ +class autots.EventRiskForecast(df_train, forecast_length, frequency: str = 'infer', prediction_interval=0.9, lower_limit=0.05, upper_limit=0.95, model_name='UnivariateMotif', model_param_dict={'distance_metric': 'euclidean', 'k': 10, 'pointed_method': 'median', 'return_result_windows': True, 'window': 14}, model_transform_dict={'fillna': 'pchip', 'transformation_params': {'0': {'method': 0.5}, '1': {}, '2': {'fixed': False, 'window': 7}, '3': {}}, 'transformations': {'0': 'Slice', '1': 'DifferencedTransformer', '2': 'RollingMeanTransformer', '3': 'MaxAbsScaler'}}, model_forecast_kwargs={'max_generations': 30, 'n_jobs': 'auto', 'random_seed': 321, 'verbose': 1}, future_regressor_train=None, future_regressor_forecast=None)¶
Bases:
object
Generate a risk score (0 to 1, but usually close to 0) for a future event exceeding user specified upper or lower bounds.
Upper and lower limits can be one of four types, and may each be different. @@ -2515,42 +2523,42 @@
Subpackages
- -fit()¶
+fit()¶
-
@@ -2565,7 +2573,7 @@
- -fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶ +fit(df_train=None, forecast_length=None, prediction_interval=None, models_mode='event_risk', model_list=['UnivariateMotif', 'MultivariateMotif', 'SectionalMotif', 'ARCH', 'MetricMotif', 'SeasonalityMotif'], ensemble=None, autots_kwargs=None, future_regressor_train=None)¶
Shortcut for generating model params.
args specified are those suggested for an otherwise normal AutoTS run
-
@@ -2584,13 +2592,13 @@
- -static generate_historic_risk_array(df, limit, direction='upper')¶ +static generate_historic_risk_array(df, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
Subpackages
- -generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶ +generate_result_windows(df_train=None, forecast_length=None, frequency=None, prediction_interval=None, model_name=None, model_param_dict=None, model_transform_dict=None, model_forecast_kwargs=None, future_regressor_train=None, future_regressor_forecast=None)¶
For event risk forecasting. Params default to class init but can be overridden here.
- Returns: @@ -2604,13 +2612,13 @@
- -static generate_risk_array(result_windows, limit, direction='upper')¶ +static generate_risk_array(result_windows, limit, direction='upper')¶
Given a df and a limit, returns a 0/1 array of whether limit was equaled or exceeded.
Subpackages
- -plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶ +plot(column_idx=0, grays=['#838996', '#c0c0c0', '#dcdcdc', '#a9a9a9', '#808080', '#989898', '#808080', '#757575', '#696969', '#c9c0bb', '#c8c8c8', '#323232', '#e5e4e2', '#778899', '#4f666a', '#848482', '#414a4c', '#8a7f80', '#c4c3d0', '#bebebe', '#dbd7d2'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), result_windows=None, lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast outcomes.
- Parameters: @@ -2628,7 +2636,7 @@
- -plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶ +plot_eval(df_test, column_idx=0, actuals_color=['#00BFFF'], up_low_color=['#ff4500', '#ff5349'], bar_color='#6495ED', bar_ylim=[0.0, 0.5], figsize=(14, 8), lower_limit_2d=None, upper_limit_2d=None, upper_risk_array=None, lower_risk_array=None)¶
Plot a sample of the risk forecast with known value vs risk score.
- Parameters: @@ -2647,13 +2655,13 @@
- -predict()¶ +predict()¶
Returns forecast upper, lower risk probability arrays for input limits.
Subpackages
- -predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶ +predict_historic(upper_limit=None, lower_limit=None, eval_periods=None)¶
Returns upper, lower risk probability arrays for input limits for the historic data. If manual numpy array limits are used, the limits will need to be appropriate shape (for df_train and eval_periods if used)
-
@@ -2669,7 +2677,7 @@
- -static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶ +static set_limit(limit, target_shape, df_train, direction='upper', period='forecast', forecast_length=None, eval_periods=None)¶
Handles all limit input styles and returns numpy array.
- Parameters: @@ -2690,7 +2698,7 @@
- -class autots.GeneralTransformer(fillna: str | None = None, transformations: dict = {}, transformation_params: dict = {}, grouping: str | None = None, reconciliation: str | None = None, grouping_ids=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None, verbose: int = 0)¶ +class autots.GeneralTransformer(fillna: str | None = None, transformations: dict = {}, transformation_params: dict = {}, grouping: str | None = None, reconciliation: str | None = None, grouping_ids=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None, verbose: int = 0)¶
Bases:
object
Remove fillNA and then mathematical transformations.
Expects a chronologically sorted pandas.DataFrame with a DatetimeIndex, only numeric data, and a ‘wide’ (one column per series) shape.
@@ -2795,7 +2803,7 @@Subpackages
- -fill_na(df, window: int = 10)¶
+fill_na(df, window: int = 10)¶- Parameters:
-
@@ -2811,7 +2819,7 @@
- -fit(df)¶ +fit(df)¶
Apply transformations and return transformer object.
- Parameters: @@ -2822,18 +2830,18 @@
- -fit_transform(df)¶ +fit_transform(df)¶
Directly fit and apply transformations to convert df.
Subpackages
- -inverse_transform(df, trans_method: str = 'forecast', fillzero: bool = False, bounds: bool = False)¶ +inverse_transform(df, trans_method: str = 'forecast', fillzero: bool = False, bounds: bool = False)¶
Undo the madness.
- Parameters: @@ -2849,7 +2857,7 @@
- -classmethod retrieve_transformer(transformation: str | None = None, param: dict = {}, df=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None)¶ +classmethod retrieve_transformer(transformation: str | None = None, param: dict = {}, df=None, random_seed: int = 2020, n_jobs: int = 1, holiday_country: list | None = None)¶
Retrieves a specific transformer object from a string.
- Parameters: @@ -2867,7 +2875,7 @@
- -transform(df)¶ +transform(df)¶
Apply transformations to convert df.
Subpackages
Subpackages
- -class autots.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶
+class autots.HolidayDetector(anomaly_detector_params={}, threshold=0.8, min_occurrences=2, splash_threshold=0.65, use_dayofmonth_holidays=True, use_wkdom_holidays=True, use_wkdeom_holidays=True, use_lunar_holidays=True, use_lunar_weekday=False, use_islamic_holidays=True, use_hebrew_holidays=True, output: str = 'multivariate', n_jobs: int = 1)¶Bases:
object
- -dates_to_holidays(dates, style='flag', holiday_impacts=False)¶ +dates_to_holidays(dates, style='flag', holiday_impacts=False)¶
Populate date information for a given pd.DatetimeIndex.
- Parameters: @@ -2900,48 +2908,48 @@
- -detect(df)¶ +detect(df)¶
Run holiday detection. Input wide-style pandas time series.
Subpackages
- -autots.RandomTransform(transformer_list: dict = {None: 0.0, 'MinMaxScaler': 0.03, 'PowerTransformer': 0.01, 'QuantileTransformer': 0.03, 'MaxAbsScaler': 0.03, 'StandardScaler': 0.04, 'RobustScaler': 0.03, 'PCA': 0.01, 'FastICA': 0.01, 'Detrend': 0.02, 'RollingMeanTransformer': 0.02, 'RollingMean100thN': 0.01, 'DifferencedTransformer': 0.05, 'SinTrend': 0.01, 'PctChangeTransformer': 0.01, 'CumSumTransformer': 0.02, 'PositiveShift': 0.02, 'Log': 0.01, 'IntermittentOccurrence': 0.01, 'SeasonalDifference': 0.06, 'cffilter': 0.01, 'bkfilter': 0.05, 'convolution_filter': 0.001, 'HPFilter': 0.01, 'DatepartRegression': 0.01, 'ClipOutliers': 0.03, 'Discretize': 0.01, 'CenterLastValue': 0.01, 'Round': 0.02, 'Slice': 0.02, 'ScipyFilter': 0.02, 'STLFilter': 0.01, 'EWMAFilter': 0.02, 'MeanDifference': 0.002, 'BTCD': 0.01, 'Cointegration': 0.01, 'AlignLastValue': 0.2, 'AnomalyRemoval': 0.03, 'HolidayTransformer': 0.01, 'LocalLinearTrend': 0.01, 'KalmanSmoothing': 0.02, 'RegressionFilter': 0.02, 'LevelShiftTransformer': 0.03, 'CenterSplit': 0.01, 'FFTFilter': 0.01, 'FFTDecomposition': 0.01, 'ReplaceConstant': 0.02, 'AlignLastDiff': 0.01, 'DiffSmoother': 0.005, 'HistoricValues': 0.01, 'BKBandpassFilter': 0.01}, transformer_max_depth: int = 4, na_prob_dict: dict = {'ffill': 0.4, 'fake_date': 0.1, 'rolling_mean': 0.1, 'rolling_mean_24': 0.1, 'IterativeImputer': 0.025, 'mean': 0.06, 'zero': 0.05, 'ffill_mean_biased': 0.1, 'median': 0.03, None: 0.001, 'interpolate': 0.4, 'KNNImputer': 0.05, 'IterativeImputerExtraTrees': 0.0001, 'SeasonalityMotifImputer': 0.1, 'SeasonalityMotifImputerLinMix': 0.01, 'SeasonalityMotifImputer1K': 0.01, 'DatepartRegressionImputer': 0.05}, fast_params: bool | None = None, superfast_params: bool | None = None, traditional_order: bool = False, transformer_min_depth: int = 1, allow_none: bool = True, no_nan_fill: bool = False)¶ +autots.RandomTransform(transformer_list: dict = {'AlignLastDiff': 0.01, 'AlignLastValue': 0.2, 'AnomalyRemoval': 0.03, 'BKBandpassFilter': 0.01, 'BTCD': 0.01, 'CenterLastValue': 0.01, 'CenterSplit': 0.01, 'ClipOutliers': 0.03, 'Cointegration': 0.01, 'CumSumTransformer': 0.02, 'DatepartRegression': 0.01, 'Detrend': 0.02, 'DiffSmoother': 0.005, 'DifferencedTransformer': 0.05, 'Discretize': 0.01, 'EWMAFilter': 0.02, 'FFTDecomposition': 0.01, 'FFTFilter': 0.01, 'FastICA': 0.01, 'HPFilter': 0.01, 'HistoricValues': 0.01, 'HolidayTransformer': 0.01, 'IntermittentOccurrence': 0.01, 'KalmanSmoothing': 0.02, 'LevelShiftTransformer': 0.03, 'LocalLinearTrend': 0.01, 'Log': 0.01, 'MaxAbsScaler': 0.03, 'MeanDifference': 0.002, 'MinMaxScaler': 0.03, 'PCA': 0.01, 'PctChangeTransformer': 0.01, 'PositiveShift': 0.02, 'PowerTransformer': 0.01, 'QuantileTransformer': 0.03, 'RegressionFilter': 0.02, 'ReplaceConstant': 0.02, 'RobustScaler': 0.03, 'RollingMean100thN': 0.01, 'RollingMeanTransformer': 0.02, 'Round': 0.02, 'STLFilter': 0.01, 'ScipyFilter': 0.02, 'SeasonalDifference': 0.06, 'SinTrend': 0.01, 'Slice': 0.02, 'StandardScaler': 0.04, 'bkfilter': 0.05, 'cffilter': 0.01, 'convolution_filter': 0.001, None: 0.0}, transformer_max_depth: int = 4, na_prob_dict: dict = {'DatepartRegressionImputer': 0.05, 'IterativeImputer': 0.025, 'IterativeImputerExtraTrees': 0.0001, 'KNNImputer': 0.05, 'SeasonalityMotifImputer': 0.1, 'SeasonalityMotifImputer1K': 0.01, 'SeasonalityMotifImputerLinMix': 0.01, 'fake_date': 0.1, 'ffill': 0.4, 'ffill_mean_biased': 0.1, 'interpolate': 0.4, 'mean': 0.06, 'median': 0.03, 'rolling_mean': 0.1, 'rolling_mean_24': 0.1, 'zero': 0.05, None: 0.001}, fast_params: bool | None = None, superfast_params: bool | None = None, traditional_order: bool = False, transformer_min_depth: int = 1, allow_none: bool = True, no_nan_fill: bool = False)¶
Return a dict of randomly choosen transformation selections.
BTCD is used as a signal that slow parameters are allowed.
- -autots.TransformTS¶ +autots.TransformTS¶
alias of
GeneralTransformer
- -autots.create_lagged_regressor(df, forecast_length: int, frequency: str = 'infer', scale: bool = True, summarize: str | None = None, backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill')¶ +autots.create_lagged_regressor(df, forecast_length: int, frequency: str = 'infer', scale: bool = True, summarize: str | None = None, backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill')¶
Create a regressor of features lagged by forecast length. Useful to some models that don’t otherwise use such information.
It is recommended that the .head(forecast_length) of both regressor_train and the df for training are dropped. @@ -2970,7 +2978,7 @@
Subpackages
- -autots.create_regressor(df, forecast_length, frequency: str = 'infer', holiday_countries: list = ['US'], datepart_method: str = 'simple_binarized', drop_most_recent: int = 0, scale: bool = True, summarize: str = 'auto', backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill', aggfunc: str = 'first', encode_holiday_type=False, holiday_detector_params={'anomaly_detector_params': {'forecast_params': None, 'method': 'mad', 'method_params': {'alpha': 0.05, 'distribution': 'gamma'}, 'transform_dict': {'fillna': None, 'transformation_params': {'0': {}}, 'transformations': {'0': 'DifferencedTransformer'}}}, 'output': 'univariate', 'splash_threshold': None, 'threshold': 0.8, 'use_dayofmonth_holidays': True, 'use_hebrew_holidays': False, 'use_islamic_holidays': False, 'use_lunar_holidays': False, 'use_lunar_weekday': False, 'use_wkdeom_holidays': False, 'use_wkdom_holidays': True}, holiday_regr_style: str = 'flag', preprocessing_params: dict | None = None)¶
+autots.create_regressor(df, forecast_length, frequency: str = 'infer', holiday_countries: list = ['US'], datepart_method: str = 'simple_binarized', drop_most_recent: int = 0, scale: bool = True, summarize: str = 'auto', backfill: str = 'bfill', n_jobs: str = 'auto', fill_na: str = 'ffill', aggfunc: str = 'first', encode_holiday_type=False, holiday_detector_params={'anomaly_detector_params': {'forecast_params': None, 'method': 'mad', 'method_params': {'alpha': 0.05, 'distribution': 'gamma'}, 'transform_dict': {'fillna': None, 'transformation_params': {'0': {}}, 'transformations': {'0': 'DifferencedTransformer'}}}, 'output': 'univariate', 'splash_threshold': None, 'threshold': 0.8, 'use_dayofmonth_holidays': True, 'use_hebrew_holidays': False, 'use_islamic_holidays': False, 'use_lunar_holidays': False, 'use_lunar_weekday': False, 'use_wkdeom_holidays': False, 'use_wkdom_holidays': True}, holiday_regr_style: str = 'flag', preprocessing_params: dict | None = None)¶Create a regressor from information available in the existing dataset. Components: are lagged data, datepart information, and holiday.
This function has been confusing people. This is NOT necessary for machine learning models, in AutoTS they internally create more elaborate feature sets separately. @@ -3012,7 +3020,7 @@
Subpackages
- -autots.infer_frequency(df_wide, warn=True, **kwargs)¶
+autots.infer_frequency(df_wide, warn=True, **kwargs)¶Infer the frequency in a slightly more robust way.
- Parameters: @@ -3026,7 +3034,7 @@
- -autots.load_artificial(long=False, date_start=None, date_end=None)¶ +autots.load_artificial(long=False, date_start=None, date_end=None)¶
Load artifically generated series from random distributions.
- Parameters: @@ -3041,7 +3049,7 @@
- -autots.load_daily(long: bool = True)¶ +autots.load_daily(long: bool = True)¶
Daily sample data.
- wiki = [
“Germany”, “Thanksgiving”, ‘all’, ‘Microsoft’, @@ -3064,13 +3072,13 @@
Subpackages
- -autots.load_hourly(long: bool = True)¶
+autots.load_hourly(long: bool = True)¶Traffic data from the MN DOT via the UCI data repository.
- -autots.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶ +autots.load_linear(long=False, shape=None, start_date: str = '2021-01-01', introduce_nan: float | None = None, introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
- Parameters: @@ -3088,7 +3096,7 @@
- -autots.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶ +autots.load_live_daily(long: bool = False, observation_start: str | None = None, observation_end: str | None = None, fred_key: str | None = None, fred_series=['DGS10', 'T5YIE', 'SP500', 'DCOILWTICO', 'DEXUSEU', 'WPU0911'], tickers: list = ['MSFT'], trends_list: list = ['forecasting', 'cycling', 'microsoft'], trends_geo: str = 'US', weather_data_types: list = ['AWND', 'WSF2', 'TAVG'], weather_stations: list = ['USW00094846', 'USW00014925'], weather_years: int = 5, london_air_stations: list = ['CT3', 'SK8'], london_air_species: str = 'PM25', london_air_days: int = 180, earthquake_days: int = 180, earthquake_min_magnitude: int = 5, gsa_key: str | None = None, gov_domain_list=['nasa.gov'], gov_domain_limit: int = 600, wikipedia_pages: list = ['Microsoft_Office', 'List_of_highest-grossing_films'], wiki_language: str = 'en', weather_event_types=['%28Z%29+Winter+Weather', '%28Z%29+Winter+Storm'], caiso_query: str = 'ENE_SLRS', timeout: float = 300.05, sleep_seconds: int = 2, **kwargs)¶
Generates a dataframe of data up to the present day. Requires active internet connection. Try to be respectful of these free data sources by not calling too much too heavily. Pass None instead of specification lists to exclude a data source.
@@ -3125,19 +3133,19 @@Subpackages
- -autots.load_monthly(long: bool = True)¶
+autots.load_monthly(long: bool = True)¶Federal Reserve of St. Louis monthly economic indicators.
Subpackages
- -autots.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶ +autots.load_sine(long=False, shape=None, start_date: str = '2021-01-01', introduce_random: float | None = None, random_seed: int = 123)¶
Create a dataset of just zeroes for testing edge case.
- -autots.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶ +autots.load_weekdays(long: bool = False, categorical: bool = True, periods: int = 180)¶
Test edge cases by creating a Series with values as day of week.
- Parameters: @@ -3153,19 +3161,19 @@
- -autots.load_weekly(long: bool = True)¶ +autots.load_weekly(long: bool = True)¶
Weekly petroleum industry data from the EIA.
Subpackages
- -autots.load_yearly(long: bool = True)¶ +autots.load_yearly(long: bool = True)¶
Federal Reserve of St. Louis annual economic indicators.
- -autots.long_to_wide(df, date_col: str = 'datetime', value_col: str = 'value', id_col: str = 'series_id', aggfunc: str = 'first')¶ +autots.long_to_wide(df, date_col: str = 'datetime', value_col: str = 'value', id_col: str = 'series_id', aggfunc: str = 'first')¶
Take long data and convert into wide, cleaner data.
- Parameters: @@ -3193,7 +3201,7 @@
- -autots.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶ +autots.model_forecast(model_name, model_param_dict, model_transform_dict, df_train, forecast_length: int, frequency: str = 'infer', prediction_interval: float = 0.9, no_negatives: bool = False, constraint: float | None = None, future_regressor_train=None, future_regressor_forecast=None, holiday_country: str = 'US', startTimeStamps=None, grouping_ids=None, fail_on_forecast_nan: bool = True, random_seed: int = 2020, verbose: int = 0, n_jobs: int = 'auto', template_cols: list = ['Model', 'ModelParameters', 'TransformationParameters', 'Ensemble'], horizontal_subset: list | None = None, return_model: bool = False, current_model_file: str | None = None, model_count: int = 0, force_gc: bool = False, **kwargs)¶
Takes numeric data, returns numeric forecasts.
Only one model (albeit potentially an ensemble)! Horizontal ensembles can not be nested, other ensemble types can be.
@@ -3325,21 +3333,5 @@Quick search
- - \ No newline at end of file diff --git a/docs/build/html/source/autots.models.html b/docs/build/html/source/autots.models.html index 5ef2e021..7c2f283a 100644 --- a/docs/build/html/source/autots.models.html +++ b/docs/build/html/source/autots.models.html @@ -1,17 +1,25 @@ - - + + + + +autots.models package — AutoTS 0.6.10 documentation - - - - - + + + + + @@ -33,16 +41,16 @@- autots.models package¶
+autots.models package¶
- Submodules¶
+Submodules¶
- autots.models.arch module¶
+autots.models.arch module¶
Arch Models from arch package.
- -class autots.models.arch.ARCH(name: str = 'ARCH', frequency: str = 'infer', prediction_interval: float = 0.9, mean: str = 'Constant', lags: int = 2, vol: str = 'GARCH', p: int = 1, o: int = 0, q: int = 1, power: float = 2.0, dist: str = 'normal', rescale: bool = False, maxiter: int = 200, simulations: int = 1000, regression_type: str | None = None, return_result_windows: bool = False, holiday_country: str = 'US', random_seed: int = 2022, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶ +class autots.models.arch.ARCH(name: str = 'ARCH', frequency: str = 'infer', prediction_interval: float = 0.9, mean: str = 'Constant', lags: int = 2, vol: str = 'GARCH', p: int = 1, o: int = 0, q: int = 1, power: float = 2.0, dist: str = 'normal', rescale: bool = False, maxiter: int = 200, simulations: int = 1000, regression_type: str | None = None, return_result_windows: bool = False, holiday_country: str = 'US', random_seed: int = 2022, verbose: int = 0, n_jobs: int | None = None, **kwargs)¶
Bases:
ModelObject
ARCH model family from arch package. See arch package for arg details. Not to be confused with a linux distro.
@@ -59,7 +67,7 @@Submodules
- -fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶Train algorithm given data supplied .
- Parameters: @@ -70,19 +78,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Return dict of new parameters for parameter tuning.
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generate forecast data immediately following dates of index supplied to .fit().
- Parameters: @@ -103,12 +111,12 @@
- -class autots.models.base.ModelObject(name: str = 'Uninitiated Model Name', frequency: str = 'infer', prediction_interval: float = 0.9, regression_type: str | None = None, fit_runtime=datetime.timedelta(0), holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = -1)¶ +class autots.models.base.ModelObject(name: str = 'Uninitiated Model Name', frequency: str = 'infer', prediction_interval: float = 0.9, regression_type: str | None = None, fit_runtime=datetime.timedelta(0), holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = -1)¶
Bases:
object
Generic class for holding forecasting models.
-
@@ -129,13 +137,13 @@
- -basic_profile(df)¶ +basic_profile(df)¶
Capture basic training details.
Submodules
- -create_forecast_index(forecast_length: int, last_date=None)¶ +create_forecast_index(forecast_length: int, last_date=None)¶
Generate a pd.DatetimeIndex appropriate for a new forecast.
Warning
@@ -145,93 +153,93 @@Submodules
- -fit_data(df, future_regressor=None)¶
+fit_data(df, future_regressor=None)¶- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Return dict of new parameters for parameter tuning.
- -class autots.models.base.PredictionObject(model_name: str = 'Uninitiated', forecast_length: int = 0, forecast_index=nan, forecast_columns=nan, lower_forecast=nan, forecast=nan, upper_forecast=nan, prediction_interval: float = 0.9, predict_runtime=datetime.timedelta(0), fit_runtime=datetime.timedelta(0), model_parameters={}, transformation_parameters={}, transformation_runtime=datetime.timedelta(0), per_series_metrics=nan, per_timestamp=nan, avg_metrics=nan, avg_metrics_weighted=nan, full_mae_error=None, model=None, transformer=None)¶ +class autots.models.base.PredictionObject(model_name: str = 'Uninitiated', forecast_length: int = 0, forecast_index=nan, forecast_columns=nan, lower_forecast=nan, forecast=nan, upper_forecast=nan, prediction_interval: float = 0.9, predict_runtime=datetime.timedelta(0), fit_runtime=datetime.timedelta(0), model_parameters={}, transformation_parameters={}, transformation_runtime=datetime.timedelta(0), per_series_metrics=nan, per_timestamp=nan, avg_metrics=nan, avg_metrics_weighted=nan, full_mae_error=None, model=None, transformer=None)¶
Bases:
object
Generic class for holding forecast information.
- -apply_constraints(constraint_method='quantile', constraint_regularization=0.5, upper_constraint=1.0, lower_constraint=0.0, bounds=True, df_train=None)¶ +apply_constraints(constraint_method='quantile', constraint_regularization=0.5, upper_constraint=1.0, lower_constraint=0.0, bounds=True, df_train=None)¶
Use constraint thresholds to adjust outputs by limit. Note that only one method of constraint can be used here, but if different methods are desired, this can be run twice, with None passed to the upper or lower constraint not being used.
@@ -259,7 +267,7 @@Submodules
- -evaluate(actual, series_weights: dict | None = None, df_train=None, per_timestamp_errors: bool = False, full_mae_error: bool = True, scaler=None, cumsum_A=None, diff_A=None, last_of_array=None)¶
+evaluate(actual, series_weights: dict | None = None, df_train=None, per_timestamp_errors: bool = False, full_mae_error: bool = True, scaler=None, cumsum_A=None, diff_A=None, last_of_array=None)¶Evalute prediction against test actual. Fills out attributes of base object.
This fails with pd.NA values supplied.
-
@@ -290,13 +298,13 @@
- -extract_ensemble_runtimes()¶ +extract_ensemble_runtimes()¶
Return a dataframe of final runtimes per model for standard ensembles.
Submodules
- -long_form_results(id_name='SeriesID', value_name='Value', interval_name='PredictionInterval', update_datetime_name=None, datetime_column=None)¶ +long_form_results(id_name='SeriesID', value_name='Value', interval_name='PredictionInterval', update_datetime_name=None, datetime_column=None)¶
Export forecasts (including upper and lower) as single ‘long’ format output
- Parameters: @@ -316,7 +324,7 @@
- -plot(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str = 'auto', alpha=0.3, facecolor='black', loc='upper right', title=None, title_substring=None, vline=None, colors=None, include_bounds=True, **kwargs)¶ +plot(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str = 'auto', alpha=0.3, facecolor='black', loc='upper right', title=None, title_substring=None, vline=None, colors=None, include_bounds=True, **kwargs)¶
Generate an example plot of one series. Does not handle non-numeric forecasts.
- Parameters: @@ -341,24 +349,24 @@
- -plot_df(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str | None = None)¶ +plot_df(df_wide=None, series: str | None = None, remove_zeroes: bool = False, interpolate: str | None = None, start_date: str | None = None)¶
Submodules
- -plot_ensemble_runtimes(xlim_right=None)¶ +plot_ensemble_runtimes(xlim_right=None)¶
Plot ensemble runtimes by model type.
- -plot_grid(df_wide=None, start_date='auto', interpolate=None, remove_zeroes=False, figsize=(24, 18), title='AutoTS Forecasts', cols=None, colors=None, include_bounds=True)¶ +plot_grid(df_wide=None, start_date='auto', interpolate=None, remove_zeroes=False, figsize=(24, 18), title='AutoTS Forecasts', cols=None, colors=None, include_bounds=True)¶
Plots multiple series in a grid, if present. Mostly identical args to the single plot function.
Submodules
- -autots.models.base.apply_constraints(forecast, lower_forecast, upper_forecast, constraint_method, constraint_regularization, upper_constraint, lower_constraint, bounds, df_train=None)¶
+autots.models.base.apply_constraints(forecast, lower_forecast, upper_forecast, constraint_method, constraint_regularization, upper_constraint, lower_constraint, bounds, df_train=None)¶Use constraint thresholds to adjust outputs by limit. Note that only one method of constraint can be used here, but if different methods are desired, this can be run twice, with None passed to the upper or lower constraint not being used.
@@ -398,41 +406,41 @@Submodules
- -autots.models.base.calculate_peak_density(model, data, group_col='Model', y_col='TotalRuntimeSeconds')¶
+autots.models.base.calculate_peak_density(model, data, group_col='Model', y_col='TotalRuntimeSeconds')¶
Submodules
- -autots.models.base.create_forecast_index(frequency, forecast_length, train_last_date, last_date=None)¶ +autots.models.base.create_forecast_index(frequency, forecast_length, train_last_date, last_date=None)¶
- -autots.models.base.create_seaborn_palette_from_cmap(cmap_name='gist_rainbow', n=10)¶ +autots.models.base.create_seaborn_palette_from_cmap(cmap_name='gist_rainbow', n=10)¶
- -autots.models.base.extract_single_series_from_horz(series, model_name, model_parameters)¶ +autots.models.base.extract_single_series_from_horz(series, model_name, model_parameters)¶
- -autots.models.base.extract_single_transformer(series, model_name, model_parameters, transformation_params)¶ +autots.models.base.extract_single_transformer(series, model_name, model_parameters, transformation_params)¶
- -autots.models.base.plot_distributions(runtimes_data, group_col='Model', y_col='TotalRuntimeSeconds', xlim=None, xlim_right=None, title_suffix='')¶ +autots.models.base.plot_distributions(runtimes_data, group_col='Model', y_col='TotalRuntimeSeconds', xlim=None, xlim_right=None, title_suffix='')¶
- autots.models.basics module¶
+autots.models.basics module¶
Naives and Others Requiring No Additional Packages Beyond Numpy and Pandas
- -class autots.models.basics.AverageValueNaive(name: str = 'AverageValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, method: str = 'median', window: int | None = None, **kwargs)¶ +class autots.models.basics.AverageValueNaive(name: str = 'AverageValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, method: str = 'median', window: int | None = None, **kwargs)¶
Bases:
ModelObject
Naive forecasting predicting a dataframe of the series’ median values
-
@@ -446,7 +454,7 @@
- -fit(df, future_regressor=None)¶ +fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters: @@ -457,19 +465,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -490,7 +498,7 @@
- -class autots.models.basics.BallTreeMultivariateMotif(frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'mean', distance_metric: str = 'canberra', k: int = 10, sample_fraction=None, **kwargs)¶ +class autots.models.basics.BallTreeMultivariateMotif(frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'mean', distance_metric: str = 'canberra', k: int = 10, sample_fraction=None, **kwargs)¶
Bases:
ModelObject
Forecasts using a nearest neighbors type model adapted for probabilistic time series. Many of these motifs will struggle when the forecast_length is large and history is short.
@@ -511,7 +519,7 @@Submodules
- -fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶Train algorithm given data supplied.
- Parameters: @@ -522,19 +530,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -555,7 +563,7 @@
- -class autots.models.basics.ConstantNaive(name: str = 'ConstantNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, constant: float = 0, **kwargs)¶ +class autots.models.basics.ConstantNaive(name: str = 'ConstantNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, constant: float = 0, **kwargs)¶
Bases:
ModelObject
Naive forecasting predicting a dataframe of zeroes (0’s)
-
@@ -570,7 +578,7 @@
- -fit(df, future_regressor=None)¶ +fit(df, future_regressor=None)¶
Train algorithm given data supplied
- Parameters: @@ -581,19 +589,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -614,11 +622,11 @@
- -class autots.models.basics.FFT(name: str = 'FFT', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2023, verbose: int = 0, n_harmonics: int = 10, detrend: str = 'linear', **kwargs)¶ +class autots.models.basics.FFT(name: str = 'FFT', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2023, verbose: int = 0, n_harmonics: int = 10, detrend: str = 'linear', **kwargs)¶
Bases:
ModelObject
- -fit(df, future_regressor=None)¶ +fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters: @@ -632,19 +640,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -665,7 +673,7 @@
- -class autots.models.basics.KalmanStateSpace(name: str = 'KalmanStateSpace', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, state_transition=[[1, 1], [0, 1]], process_noise=[[0.1, 0.0], [0.0, 0.01]], observation_model=[[1, 0]], observation_noise: float = 1.0, em_iter: int = 10, model_name: str = 'undefined', forecast_length: int | None = None, **kwargs)¶ +class autots.models.basics.KalmanStateSpace(name: str = 'KalmanStateSpace', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, state_transition=[[1, 1], [0, 1]], process_noise=[[0.1, 0.0], [0.0, 0.01]], observation_model=[[1, 0]], observation_noise: float = 1.0, em_iter: int = 10, model_name: str = 'undefined', forecast_length: int | None = None, **kwargs)¶
Bases:
ModelObject
Forecast using a state space model solved by a Kalman Filter.
-
@@ -679,12 +687,12 @@
- -cost_function(param, df)¶ +cost_function(param, df)¶
Submodules
- -fit(df, future_regressor=None)¶ +fit(df, future_regressor=None)¶
Train algorithm given data supplied.
- Parameters: @@ -695,24 +703,24 @@
- -fit_data(df, future_regressor=None)¶ +fit_data(df, future_regressor=None)¶
Submodules
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Return dict of new parameters for parameter tuning.
- -predict(forecast_length: int | None = None, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int | None = None, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -731,14 +739,14 @@
- -tune_observational_noise(df)¶ +tune_observational_noise(df)¶
Submodules
- -class autots.models.basics.LastValueNaive(name: str = 'LastValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, **kwargs)¶ +class autots.models.basics.LastValueNaive(name: str = 'LastValueNaive', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, **kwargs)¶
Bases:
ModelObject
Naive forecasting predicting a dataframe of the last series value
-
@@ -752,7 +760,7 @@
- -fit(df, future_regressor=None)¶ +fit(df, future_regressor=None)¶
Train algorithm given data supplied
- Parameters: @@ -763,19 +771,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -796,7 +804,7 @@
- -class autots.models.basics.MetricMotif(name: str = 'MetricMotif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, regression_type: str | None = None, comparison_transformation: dict | None = None, combination_transformation: dict | None = None, window: int = 5, point_method: str = 'mean', distance_metric: str = 'mae', k: int = 10, **kwargs)¶ +class autots.models.basics.MetricMotif(name: str = 'MetricMotif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, regression_type: str | None = None, comparison_transformation: dict | None = None, combination_transformation: dict | None = None, window: int = 5, point_method: str = 'mean', distance_metric: str = 'mae', k: int = 10, **kwargs)¶
Bases:
ModelObject
Forecasts using a nearest neighbors type model adapted for probabilistic time series. This version is fully vectorized, using basic metrics for distance comparison.
@@ -816,7 +824,7 @@Submodules
- -fit(df, future_regressor=None)¶
+fit(df, future_regressor=None)¶Train algorithm given data supplied.
- Parameters: @@ -830,19 +838,19 @@
- -get_new_params(method: str = 'random')¶ +get_new_params(method: str = 'random')¶
Returns dict of new parameters for parameter tuning
Submodules
- -predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶ +predict(forecast_length: int, future_regressor=None, just_point_forecast=False)¶
Generates forecast data immediately following dates of index supplied to .fit()
- Parameters: @@ -863,7 +871,7 @@
- -class autots.models.basics.Motif(name: str = 'Motif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'weighted_mean', distance_metric: str = 'minkowski', k: int = 10, max_windows: int = 5000, multivariate: bool = False, return_result_windows: bool = False, **kwargs)¶ +class autots.models.basics.Motif(name: str = 'Motif', frequency: str = 'infer', prediction_interval: float = 0.9, holiday_country: str = 'US', random_seed: int = 2020, verbose: int = 0, n_jobs: int = 1, window: int = 5, point_method: str = 'weighted_mean', distance_metric: str = 'minkowski', k: int = 10, max_windows: int = 5000, multivariate: bool = False, return_result_windows: bool = False, **kwargs)¶
Bases:
ModelObject
Forecasts using a nearest neighbors type model adapted for probabilistic time series.
-
@@ -887,7 +895,7 @@
- -
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autots.models.base module¶
+autots.models.base module¶
Base model information
@author: Colin
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Module contents¶
+Module contents¶
Automated Time Series Model Selection for Python
https://github.com/winedarksea/AutoTS
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Module contents¶
+Module contents¶
Tools for Importing Sample Data
Modules API -
Indices and tables¶
+Indices and tables¶
Quick search
- - \ No newline at end of file diff --git a/docs/build/html/py-modindex.html b/docs/build/html/py-modindex.html index b359b1fc..70621795 100644 --- a/docs/build/html/py-modindex.html +++ b/docs/build/html/py-modindex.html @@ -1,16 +1,24 @@ - - + + + + +Python Module Index — AutoTS 0.6.10 documentation - - - - - + + + + + @@ -384,21 +392,5 @@Quick search
- - \ No newline at end of file diff --git a/docs/build/html/search.html b/docs/build/html/search.html index 3df5ee7b..5174fc8f 100644 --- a/docs/build/html/search.html +++ b/docs/build/html/search.html @@ -1,17 +1,25 @@ - - + + + + +Search — AutoTS 0.6.10 documentation - - + + - - - + + + @@ -133,21 +141,5 @@Related Topics
- - \ No newline at end of file diff --git a/docs/build/html/searchindex.js b/docs/build/html/searchindex.js index 1dde861e..f5e5d72c 100644 --- a/docs/build/html/searchindex.js +++ b/docs/build/html/searchindex.js @@ -1 +1 @@ -Search.setIndex({"docnames": ["index", "source/autots", "source/autots.datasets", "source/autots.evaluator", "source/autots.models", "source/autots.templates", "source/autots.tools", "source/intro", "source/modules", "source/tutorial"], "filenames": ["index.rst", "source\\autots.rst", "source\\autots.datasets.rst", "source\\autots.evaluator.rst", "source\\autots.models.rst", "source\\autots.templates.rst", "source\\autots.tools.rst", "source\\intro.rst", "source\\modules.rst", "source\\tutorial.rst"], "titles": ["AutoTS", "autots package", "autots.datasets package", "autots.evaluator package", "autots.models package", "autots.templates package", "autots.tools package", "Intro", "autots", "Tutorial"], "terms": {"i": [0, 1, 2, 3, 4, 6, 7, 9], "an": [0, 1, 2, 3, 4, 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(autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_horizontal"]], "plot_horizontal_model_count() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_horizontal_model_count"]], "plot_horizontal_per_generation() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_horizontal_per_generation"]], "plot_horizontal_transformers() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_horizontal_transformers"]], "plot_metric_corr() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_metric_corr"]], "plot_per_series_error() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_per_series_error"]], "plot_per_series_mape() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_per_series_mape"]], "plot_per_series_smape() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_per_series_smape"]], "plot_transformer_failure_rate() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_transformer_failure_rate"]], "plot_validations() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.plot_validations"]], "precomp_wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.precomp_wasserstein"]], "predict() (autots.evaluator.auto_model.modelprediction method)": [[3, "autots.evaluator.auto_model.ModelPrediction.predict"]], "predict() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.predict"]], "predict() (autots.evaluator.event_forecasting.eventriskforecast method)": [[3, "autots.evaluator.event_forecasting.EventRiskForecast.predict"], [3, "id11"]], "predict_historic() (autots.evaluator.event_forecasting.eventriskforecast method)": [[3, "autots.evaluator.event_forecasting.EventRiskForecast.predict_historic"], [3, "id12"]], "qae() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.qae"]], "random_model() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.random_model"]], "regression_check (autots.evaluator.auto_ts.autots attribute)": [[3, "autots.evaluator.auto_ts.AutoTS.regression_check"]], "remove_leading_zeros() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.remove_leading_zeros"]], "results() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.results"]], "retrieve_validation_forecasts() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.retrieve_validation_forecasts"]], "rmse() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.rmse"]], "root_mean_square_error() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.root_mean_square_error"]], "rps() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.rps"]], "run() (autots.evaluator.benchmark.benchmark method)": [[3, "autots.evaluator.benchmark.Benchmark.run"]], "save() (autots.evaluator.auto_model.templateevalobject method)": [[3, "autots.evaluator.auto_model.TemplateEvalObject.save"]], "save_template() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.save_template"]], "scaled_pinball_loss() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.scaled_pinball_loss"]], "score_per_series (autots.evaluator.auto_ts.autots attribute)": [[3, "autots.evaluator.auto_ts.AutoTS.score_per_series"]], "score_to_anomaly() (autots.evaluator.anomaly_detector.anomalydetector method)": [[3, "autots.evaluator.anomaly_detector.AnomalyDetector.score_to_anomaly"]], "set_limit() (autots.evaluator.event_forecasting.eventriskforecast method)": [[3, "autots.evaluator.event_forecasting.EventRiskForecast.set_limit"]], "set_limit() (autots.evaluator.event_forecasting.eventriskforecast static method)": [[3, "id13"]], "set_limit_forecast() (in module autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.set_limit_forecast"]], "set_limit_forecast_historic() (in module autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.set_limit_forecast_historic"]], "smape() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.smape"]], "smoothness() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.smoothness"]], "spl() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.spl"]], "symmetric_mean_absolute_percentage_error() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.symmetric_mean_absolute_percentage_error"]], "threshold_loss() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.threshold_loss"]], "trans_dict_recomb() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.trans_dict_recomb"]], "unpack_ensemble_models() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.unpack_ensemble_models"]], "unsorted_wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.unsorted_wasserstein"]], "validate_num_validations() (in module autots.evaluator.validation)": [[3, "autots.evaluator.validation.validate_num_validations"]], "validation_agg() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.validation_agg"]], "validation_aggregation() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.validation_aggregation"]], "wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.wasserstein"]], "arch (class in autots.models.arch)": [[4, "autots.models.arch.ARCH"]], "ardl (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARDL"]], "arima (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARIMA"]], "averagevaluenaive (class in autots.models.basics)": [[4, "autots.models.basics.AverageValueNaive"]], "balltreemultivariatemotif (class in autots.models.basics)": [[4, "autots.models.basics.BallTreeMultivariateMotif"]], "bayesianmultioutputregression (class in autots.models.cassandra)": [[4, "autots.models.cassandra.BayesianMultiOutputRegression"]], "bestnensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.BestNEnsemble"]], "cassandra (class in autots.models.cassandra)": [[4, "autots.models.cassandra.Cassandra"]], "componentanalysis (class in autots.models.sklearn)": [[4, "autots.models.sklearn.ComponentAnalysis"]], "constantnaive (class in autots.models.basics)": [[4, "autots.models.basics.ConstantNaive"]], "datepartregression (class in autots.models.sklearn)": [[4, "autots.models.sklearn.DatepartRegression"]], "distensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.DistEnsemble"]], "dynamicfactor (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.DynamicFactor"]], "dynamicfactormq (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.DynamicFactorMQ"]], "ets (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ETS"]], "ensembleforecast() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.EnsembleForecast"]], "ensembletemplategenerator() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.EnsembleTemplateGenerator"]], "fbprophet (class in autots.models.prophet)": [[4, "autots.models.prophet.FBProphet"]], "fft (class in autots.models.basics)": [[4, "autots.models.basics.FFT"]], "glm (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.GLM"]], "gls (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.GLS"]], "gluonts (class in autots.models.gluonts)": [[4, "autots.models.gluonts.GluonTS"]], "greykite (class in autots.models.greykite)": [[4, "autots.models.greykite.Greykite"]], "hdistensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.HDistEnsemble"]], "horizontalensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.HorizontalEnsemble"]], "horizontaltemplategenerator() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.HorizontalTemplateGenerator"]], "kalmanstatespace (class in autots.models.basics)": [[4, "autots.models.basics.KalmanStateSpace"]], "kerasrnn (class in autots.models.dnn)": [[4, "autots.models.dnn.KerasRNN"]], "latc (class in autots.models.matrix_var)": [[4, "autots.models.matrix_var.LATC"]], "lastvaluenaive (class in autots.models.basics)": [[4, "autots.models.basics.LastValueNaive"]], "mar (class in autots.models.matrix_var)": [[4, "autots.models.matrix_var.MAR"]], "mlensemble (class in autots.models.mlensemble)": [[4, "autots.models.mlensemble.MLEnsemble"]], "metricmotif (class in autots.models.basics)": [[4, "autots.models.basics.MetricMotif"]], "modelobject (class in autots.models.base)": [[4, "autots.models.base.ModelObject"]], "mosaicensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.MosaicEnsemble"]], "motif (class in autots.models.basics)": [[4, "autots.models.basics.Motif"]], "motifsimulation (class in autots.models.basics)": [[4, "autots.models.basics.MotifSimulation"]], "multivariateregression (class in autots.models.sklearn)": [[4, "autots.models.sklearn.MultivariateRegression"]], "nvar (class in autots.models.basics)": [[4, "autots.models.basics.NVAR"]], "neuralforecast (class in autots.models.neural_forecast)": [[4, "autots.models.neural_forecast.NeuralForecast"]], "neuralprophet (class in autots.models.prophet)": [[4, "autots.models.prophet.NeuralProphet"]], "predictionobject (class in autots.models.base)": [[4, "autots.models.base.PredictionObject"]], "preprocessingregression (class in autots.models.sklearn)": [[4, "autots.models.sklearn.PreprocessingRegression"]], "pytorchforecasting (class in autots.models.pytorch)": [[4, 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"autots.models.sklearn.WindowRegression"]], "zeroesnaive (in module autots.models.basics)": [[4, "autots.models.basics.ZeroesNaive"]], "analyze_trend() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.analyze_trend"]], "anomalies (autots.models.cassandra.cassandra..anomaly_detector attribute)": [[4, "autots.models.cassandra.Cassandra..anomaly_detector.anomalies"]], "apply_constraints() (autots.models.base.predictionobject method)": [[4, "autots.models.base.PredictionObject.apply_constraints"], [4, "id0"]], "apply_constraints() (in module autots.models.base)": [[4, "autots.models.base.apply_constraints"]], "arima_seek_the_oracle() (in module autots.models.statsmodels)": [[4, "autots.models.statsmodels.arima_seek_the_oracle"]], "auto_fit() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.auto_fit"]], "auto_model_list() (in module autots.models.model_list)": [[4, "autots.models.model_list.auto_model_list"]], "autots.models": [[4, "module-autots.models"]], "autots.models.arch": [[4, "module-autots.models.arch"]], "autots.models.base": [[4, "module-autots.models.base"]], "autots.models.basics": [[4, "module-autots.models.basics"]], "autots.models.cassandra": [[4, "module-autots.models.cassandra"]], "autots.models.dnn": [[4, "module-autots.models.dnn"]], "autots.models.ensemble": [[4, "module-autots.models.ensemble"]], "autots.models.gluonts": [[4, "module-autots.models.gluonts"]], "autots.models.greykite": [[4, "module-autots.models.greykite"]], "autots.models.matrix_var": [[4, "module-autots.models.matrix_var"]], "autots.models.mlensemble": [[4, "module-autots.models.mlensemble"]], "autots.models.model_list": [[4, "module-autots.models.model_list"]], "autots.models.neural_forecast": [[4, "module-autots.models.neural_forecast"]], "autots.models.prophet": [[4, "module-autots.models.prophet"]], "autots.models.pytorch": [[4, "module-autots.models.pytorch"]], "autots.models.sklearn": [[4, "module-autots.models.sklearn"]], "autots.models.statsmodels": [[4, "module-autots.models.statsmodels"]], "autots.models.tfp": [[4, "module-autots.models.tfp"]], "autots.models.tide": [[4, "module-autots.models.tide"]], "base_scaler() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.base_scaler"]], "base_scaler() (autots.models.sklearn.multivariateregression method)": [[4, "autots.models.sklearn.MultivariateRegression.base_scaler"]], "basic_profile() (autots.models.base.modelobject method)": [[4, "autots.models.base.ModelObject.basic_profile"]], "calculate_peak_density() (in module autots.models.base)": [[4, "autots.models.base.calculate_peak_density"]], "clean_regressor() (in module autots.models.cassandra)": [[4, "autots.models.cassandra.clean_regressor"]], "compare_actual_components() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.compare_actual_components"]], "conj_grad_w() (in module 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"create_forecast_index() (autots.models.base.modelobject method)": [[4, "autots.models.base.ModelObject.create_forecast_index"]], "create_forecast_index() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.create_forecast_index"]], "create_forecast_index() (in module autots.models.base)": [[4, "autots.models.base.create_forecast_index"]], "create_seaborn_palette_from_cmap() (in module autots.models.base)": [[4, "autots.models.base.create_seaborn_palette_from_cmap"]], "create_t() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.create_t"]], "create_t() (in module autots.models.cassandra)": [[4, "autots.models.cassandra.create_t"]], "cross_validate() (autots.models.cassandra.cassandra method)": [[4, "autots.models.cassandra.Cassandra.cross_validate"]], "dates_to_holidays() (autots.models.cassandra.cassandra.holiday_detector method)": [[4, "autots.models.cassandra.Cassandra.holiday_detector.dates_to_holidays"]], "dmd() (in module autots.models.matrix_var)": [[4, "autots.models.matrix_var.dmd"]], "dmd4cast() (in module autots.models.matrix_var)": [[4, "autots.models.matrix_var.dmd4cast"]], "ell_w() (in module autots.models.matrix_var)": [[4, "autots.models.matrix_var.ell_w"]], "ell_x() (in module autots.models.matrix_var)": [[4, "autots.models.matrix_var.ell_x"]], "evaluate() (autots.models.base.predictionobject method)": [[4, "autots.models.base.PredictionObject.evaluate"], [4, "id1"]], "extract_ensemble_runtimes() (autots.models.base.predictionobject method)": [[4, "autots.models.base.PredictionObject.extract_ensemble_runtimes"]], "extract_single_series_from_horz() (in module autots.models.base)": [[4, "autots.models.base.extract_single_series_from_horz"]], "extract_single_transformer() (in module autots.models.base)": [[4, "autots.models.base.extract_single_transformer"]], "feature_importance() (autots.models.cassandra.cassandra method)": [[4, 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autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.random_model"]], "regression_check (autots.evaluator.auto_ts.autots attribute)": [[3, "autots.evaluator.auto_ts.AutoTS.regression_check"]], "remove_leading_zeros() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.remove_leading_zeros"]], "results() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.results"]], "retrieve_validation_forecasts() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.retrieve_validation_forecasts"]], "rmse() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.rmse"]], "root_mean_square_error() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.root_mean_square_error"]], "rps() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.rps"]], "run() (autots.evaluator.benchmark.benchmark method)": [[3, "autots.evaluator.benchmark.Benchmark.run"]], "save() (autots.evaluator.auto_model.templateevalobject method)": [[3, "autots.evaluator.auto_model.TemplateEvalObject.save"]], "save_template() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.save_template"]], "scaled_pinball_loss() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.scaled_pinball_loss"]], "score_per_series (autots.evaluator.auto_ts.autots attribute)": [[3, "autots.evaluator.auto_ts.AutoTS.score_per_series"]], "score_to_anomaly() (autots.evaluator.anomaly_detector.anomalydetector method)": [[3, "autots.evaluator.anomaly_detector.AnomalyDetector.score_to_anomaly"]], "set_limit() (autots.evaluator.event_forecasting.eventriskforecast method)": [[3, "autots.evaluator.event_forecasting.EventRiskForecast.set_limit"]], "set_limit() (autots.evaluator.event_forecasting.eventriskforecast static method)": [[3, "id13"]], "set_limit_forecast() (in module autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.set_limit_forecast"]], "set_limit_forecast_historic() (in module autots.evaluator.event_forecasting)": [[3, "autots.evaluator.event_forecasting.set_limit_forecast_historic"]], "smape() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.smape"]], "smoothness() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.smoothness"]], "spl() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.spl"]], "symmetric_mean_absolute_percentage_error() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.symmetric_mean_absolute_percentage_error"]], "threshold_loss() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.threshold_loss"]], "trans_dict_recomb() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.trans_dict_recomb"]], "unpack_ensemble_models() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.unpack_ensemble_models"]], "unsorted_wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.unsorted_wasserstein"]], "validate_num_validations() (in module autots.evaluator.validation)": [[3, "autots.evaluator.validation.validate_num_validations"]], "validation_agg() (autots.evaluator.auto_ts.autots method)": [[3, "autots.evaluator.auto_ts.AutoTS.validation_agg"]], "validation_aggregation() (in module autots.evaluator.auto_model)": [[3, "autots.evaluator.auto_model.validation_aggregation"]], "wasserstein() (in module autots.evaluator.metrics)": [[3, "autots.evaluator.metrics.wasserstein"]], "arch (class in autots.models.arch)": [[4, "autots.models.arch.ARCH"]], "ardl (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARDL"]], "arima (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.ARIMA"]], "averagevaluenaive (class in autots.models.basics)": [[4, "autots.models.basics.AverageValueNaive"]], "balltreemultivariatemotif (class in autots.models.basics)": [[4, "autots.models.basics.BallTreeMultivariateMotif"]], "bayesianmultioutputregression (class in autots.models.cassandra)": [[4, "autots.models.cassandra.BayesianMultiOutputRegression"]], "bestnensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.BestNEnsemble"]], "cassandra (class in autots.models.cassandra)": [[4, "autots.models.cassandra.Cassandra"]], "componentanalysis (class in autots.models.sklearn)": [[4, "autots.models.sklearn.ComponentAnalysis"]], "constantnaive (class in autots.models.basics)": [[4, "autots.models.basics.ConstantNaive"]], "datepartregression (class in autots.models.sklearn)": [[4, "autots.models.sklearn.DatepartRegression"]], "distensemble() (in module autots.models.ensemble)": [[4, "autots.models.ensemble.DistEnsemble"]], "dynamicfactor (class in autots.models.statsmodels)": [[4, "autots.models.statsmodels.DynamicFactor"]], "dynamicfactormq (class in autots.models.statsmodels)": [[4, 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a/docs/build/html/source/autots.datasets.html +++ b/docs/build/html/source/autots.datasets.html @@ -1,17 +1,25 @@ - - + + + + +autots.datasets package — AutoTS 0.6.10 documentation - - - - - + + + + + @@ -33,18 +41,18 @@- autots.datasets package¶
+autots.datasets package¶
- Submodules¶
+Submodules¶
- autots.datasets.fred module¶
+autots.datasets.fred module¶
FRED (Federal Reserve Economic Data) Data Import
requires API key from FRED and pip install fredapi