class TimeSeriesForecastingModel(BaseEstimator, RegressorMixin):
""" Base class for a generic time series forecasting model.
Internally this class follows our approach for time series forecasting:
- feature creation
- train and test split
- forecasting model training
- prediction
Parameters
----------
features : List[Tuple]], required
input of class FeatureCreation, which inherits from
``sklearn.compose.ColumnTransformer``. It is
used internally to instantiate FeatureCreation
horizon : Union[int, List[int], required
how many steps to predict in the future
model: RegressorMixin, required
forecasting model used for predictions
Examples
--------
>>> import pandas._testing as testing
>>> from sklearn.linear_model import LinearRegression
>>> from gtime.feature_extraction import Shift, MovingAverage
>>> from gtime.forecasting import GAR
>>> from gtime.time_series_models import TimeSeriesForecastingModel
>>>
>>> testing.N, testing.K = 20, 1
>>> data = testing.makeTimeDataFrame(freq="s")
>>> features = [('s1', Shift(1), ['A']), ('ma3', MovingAverage(window_size=3), ['A'])]
>>> lr = LinearRegression()
>>> time_series_pipeline = TimeSeriesForecastingModel(features=features, horizon=3, model=GAR(lr))
>>>
>>> time_series_pipeline.fit(data)
>>> time_series_pipeline.predict()
y_1 y_2 y_3
2000-01-01 00:00:17 0.574204 -0.147355 0.449696
2000-01-01 00:00:18 0.034620 0.308283 -0.113223
2000-01-01 00:00:19 0.801922 0.178843 0.518739
"""
def __init__(
self,
features: List[Tuple],
horizon: Union[int, List[int]],
model: RegressorMixin,
cache_features: bool = False,
):
self.features = features
self.horizon = horizon
self.model = model
self.cache_features = cache_features
def fit(self,
X: pd.DataFrame,
y: pd.DataFrame = None,
only_model: bool = False,
**kwargs):
""" Fit function for a time series forecasting model.
It does the following:
- creates the X and y feature matrices
- splits them into train and test
- train the forecasting model on the train
Parameters
----------
X : pd.DataFrame, required
input time series
y : pd.DataFrame, optional, default: ``None``
added for compatibility reasons with ``sklearn.compose.ColumnTransformer``
only_model: bool, optional, default: ``False``
if True only th model part is run, not the feature part. It is useful if the feature computation is expensive.
Returns
-------
self
"""
if not only_model:
X_train, y_train, X_test, y_test = self._compute_train_test_matrices(
X, y)
elif not self.cache_features:
raise AttributeError(
"cache_feature must be True to fit only model")
else:
check_is_fitted(
self) # only_model works if the model is already fitted
X_train, y_train, X_test, y_test = (
self.X_train_,
self.y_train_,
self.X_test_,
self.y_test_,
)
self.model_ = self._fit_model(X_train, y_train, **kwargs)
self.X_test_ = X_test
return self
def predict(self, X=None, **kwargs):
""" Predict
Parameters
----------
X : pd.DataFrame, optional, default: ``None``
time series to predict, optional. If not present, it predicts
on the time series given as input in ``self.fit()``
Returns
-------
predictions: pd.DataFrame
"""
check_is_fitted(self)
if X is None:
return self.model_.predict(self.X_test_, **kwargs)
else:
X_test = self.feature_creation_.transform(X).dropna()
return self.model_.predict(X_test, **kwargs)
def set_params(self, **params):
"""
Sets model parameters
Parameters
----------
params: Dict or name=value pair, parameters
"""
if "features" in params:
self._reset()
super(TimeSeriesForecastingModel, self).set_params(**params)
def _compute_train_test_matrices(
self, X: pd.DataFrame, y: pd.DataFrame
) -> Tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame, pd.DataFrame]:
X, y = self._create_X_y_feature_matrices(X, y)
X_train, y_train, X_test, y_test = self._split_train_test(X, y)
if self.cache_features:
self.X_train_ = X_train
self.y_train_ = y_train
self.X_test_ = X_test
self.y_test_ = y_test
return X_train, y_train, X_test, y_test
def _create_X_y_feature_matrices(self,
X,
y=None
) -> Tuple[pd.DataFrame, pd.DataFrame]:
self.feature_creation_ = FeatureCreation(self.features)
feature_X = self.feature_creation_.fit_transform(X, y)
feature_y = horizon_shift(X.iloc[:, :1], horizon=self.horizon)
return feature_X, feature_y
def _split_train_test(self, X: pd.DataFrame, y: pd.DataFrame):
feature_splitter = FeatureSplitter()
return feature_splitter.transform(X, y)
def _fit_model(self, X_train: pd.DataFrame, y_train: pd.DataFrame,
**kwargs) -> BaseEstimator:
return self.model.fit(X_train, y_train, **kwargs)
def _reset(self):
attributes = [
v for v in vars(self) if v.endswith("_") and not v.startswith("__")
]
for attribute in attributes:
delattr(self, attribute)
def score(self,
X: pd.DataFrame = None,
y: pd.DataFrame = None,
metrics: Dict = None) -> pd.DataFrame:
"""
Returns a pd.DataFrame of train and test scores of all metrics provided
Parameters
----------
X: pd.DataFrame, test data, if None self.X_test_ is used
y: pd.DataFrame, true y values, if None self.y_test_ is used
metrics: Dict, a dictionary of metric names and callables, default is ``rmse``
Returns
-------
score: pd.DataFrame
"""
check_is_fitted(self)
if X is None:
y_pred_test = self.predict()
else:
y_pred_test = self.predict(X)
y_pred_train = self.model_.predict(self.X_train_)
y_test = self.y_test_ if y is None else y
if metrics is None:
metrics = {"rmse": rmse}
score = pd.DataFrame(columns=metrics.keys(),
index=["Train score", "Test score"])
score.loc[["Train score"], :] = self._score(self.y_train_,
y_pred_train,
metrics=metrics,
type="Train score")
score.loc[["Test score"], :] = self._score(y_test,
y_pred_test,
metrics=metrics,
type="Test score")
return score.T
def _score(
self,
y: pd.DataFrame,
y_pred: pd.DataFrame,
metrics: Dict = None,
type: str = "Test score",
) -> pd.DataFrame:
score = pd.DataFrame(columns=metrics.keys(), index=[type])
for name, metric in metrics.items():
scores = []
for col in y.columns:
na_mask = ~y[col].isna()
y_pred_i = y_pred[col][na_mask]
y_true_i = y[col][na_mask]
if len(y_true_i) > 0:
scores.append(metric(y_true_i, y_pred_i))
score[name] = np.mean(scores)
return score
def set_model(self, model: BaseEstimator):
"""
Changes the model in the pipeline
Parameters
----------
model: BaseEstimator, should be compatible with the features
"""
self.model = model
class TimeSeriesForecastingModel(BaseEstimator, RegressorMixin):
""" Base class for a generic time series forecasting model.
Internally this class follows our approach for time series forecasting:
- feature creation
- train and test split
- forecasting model training
- prediction
Parameters
----------
features : List[Tuple]], required
input of class FeatureCreation, which inherits from
``sklearn.compose.ColumnTransformer``. It is
used internally to instantiate FeatureCreation
horizon : Union[int, List[int], required
how many steps to predict in the future
model: RegressorMixin, required
forecasting model used for predictions
Examples
--------
>>> import pandas._testing as testing
>>> from sklearn.linear_model import LinearRegression
>>> from gtime.feature_extraction import Shift, MovingAverage
>>> from gtime.forecasting import GAR
>>> from gtime.time_series_models import TimeSeriesForecastingModel
>>>
>>> testing.N, testing.K = 20, 1
>>> data = testing.makeTimeDataFrame(freq="s")
>>> features = [('s1', Shift(1), ['A']), ('ma3', MovingAverage(window_size=3), ['A'])]
>>> lr = LinearRegression()
>>> time_series_pipeline = TimeSeriesForecastingModel(features=features, horizon=3, model=GAR(lr))
>>>
>>> time_series_pipeline.fit(data)
>>> time_series_pipeline.predict()
y_1 y_2 y_3
2000-01-01 00:00:17 0.574204 -0.147355 0.449696
2000-01-01 00:00:18 0.034620 0.308283 -0.113223
2000-01-01 00:00:19 0.801922 0.178843 0.518739
"""
def __init__(
self,
features: List[Tuple],
horizon: Union[int, List[int]],
model: RegressorMixin,
cache_features: bool = False,
):
self.features = features
self.horizon = horizon
self.model = model
self.cache_features = cache_features
def fit(self,
X: pd.DataFrame,
y: pd.DataFrame = None,
only_model: bool = False):
""" Fit function for a time series forecasting model.
It does the following:
- creates the X and y feature matrices
- splits them into train and test
- train the forecasting model on the train
Parameters
----------
X : pd.DataFrame, required
input time series
y : pd.DataFrame, optional, default: ``None``
added for compatibility reasons with ``sklearn.compose.ColumnTransformer``
only_model: bool, optional, default: ``False``
if True only th model part is run, not the feature part. It is useful if the feature computation is expensive.
Returns
-------
self
"""
if not only_model:
X_train, y_train, X_test = self._compute_train_test_matrices(X, y)
elif not self.cache_features:
raise AttributeError(
"cache_feature must be True to fit only model")
else:
check_is_fitted(
self) # only_model works if the model is already fitted
X_train, y_train, X_test = self.X_train_, self.y_train_, self.X_test_
self.model_ = self._fit_model(X_train, y_train)
self.X_test_ = X_test
return self
def predict(self, X=None):
""" Predict
Parameters
----------
X : pd.DataFrame, optional, default: ``None``
time series to predict, optional. If not present, it predicts
on the time series given as input in ``self.fit()``
Returns
-------
predictions: pd.DataFrame
"""
check_is_fitted(self)
if X is None:
return self.model_.predict(self.X_test_)
else:
X_test = self.feature_creation_.transform(X).dropna()
return self.model_.predict(X_test)
def set_params(self, **params):
if "features" in params:
self._reset()
super(TimeSeriesForecastingModel, self).set_params(**params)
def _compute_train_test_matrices(
self, X: pd.DataFrame, y: pd.DataFrame
) -> Tuple[pd.DataFrame, pd.DataFrame, pd.DataFrame]:
X, y = self._create_X_y_feature_matrices(X, y)
X_train, y_train, X_test, y_test = self._split_train_test(X, y)
if self.cache_features:
self.X_train_ = X_train
self.y_train_ = y_train
self.X_test_ = X_test
return X_train, y_train, X_test
def _create_X_y_feature_matrices(self,
X,
y=None
) -> Tuple[pd.DataFrame, pd.DataFrame]:
self.feature_creation_ = FeatureCreation(self.features)
feature_X = self.feature_creation_.fit_transform(X, y)
feature_y = horizon_shift(X, horizon=self.horizon)
return feature_X, feature_y
def _split_train_test(self, X, y):
feature_splitter = FeatureSplitter()
return feature_splitter.transform(X, y)
def _fit_model(self, X_train, y_train):
return self.model.fit(X_train, y_train)
def _reset(self):
attributes = [
v for v in vars(self) if v.endswith("_") and not v.startswith("__")
]
for attribute in attributes:
delattr(self, attribute)
