def simulate_forecast_ar(series: TimeSeries,
model: AutoRegressiveModel,
start: pd.Timestamp,
fcast_horizon_n: int,
trim_to_series: bool = True,
verbose=False) -> TimeSeries:
"""
Returns a TimeSeries containing the forecasts that would have been obtained from a given AutoRegressiveModel,
on a given forecast time horizon.
:param series: the main series to forecast
:param model: the AutoRegressiveModel to use
:param start: when the forecasts start (i.e., the first time at which a prediction is produced for a future time)
:param fcast_horizon_n: the forecast horizon
:param trim_to_series: whether the returned predicted series has the end trimmed to match the end of the main series
:param verbose: whether to print progress
:return:
"""
assert start in series, 'The provided start timestamp is not in the time series.'
assert start != series.end_time(
), 'The provided start timestamp is the last timestamp of the time series'
last_pred_time = series.time_index()[
-fcast_horizon_n - 2] if trim_to_series else series.time_index()[-2]
# build the prediction times in advance (to be able to use tqdm)
pred_times = [start]
while pred_times[-1] <= last_pred_time:
pred_times.append(pred_times[-1] + series.freq())
# what we'll return
values = []
times = []
iterator = _build_iterator(pred_times, verbose)
for pred_time in iterator:
if not verbose:
print('.', end='')
train = series.drop_end(pred_time) # build the training series
model.fit(train)
pred = model.predict(fcast_horizon_n)
values.append(pred.values()[-1]) # store the N-th point
times.append(pred.end_time()) # store the N-th timestamp
return TimeSeries.from_times_and_values(pd.DatetimeIndex(times),
np.array(values))
def simulate_forecast_regr(feature_series: List[TimeSeries],
target_series: TimeSeries,
model: RegressiveModel,
start: pd.Timestamp,
fcast_horizon_n: int,
trim_to_series: bool = True,
verbose=False) -> TimeSeries:
"""
Returns a TimeSeries containing the forecasts that would have been obtained from a given RegressiveModel,
on a given forecast time horizon.
.. todo: review and add to documentation.
.. todo: optionally also return weights, when those are available in model
.. todo: (getattr(model.model, 'coef_', None) is not None)
:param feature_series: the feature time series of the regressive model
:param target_series: the target time series of the regressive model (i.e., the series to predict)
:param model: the RegressiveModel to use
:param start: when the forecasts start (i.e., the first time at which a prediction is produced for a future time)
:param fcast_horizon_n: the forecast horizon
:param trim_to_series: whether the returned predicted series has the end trimmed to match the end of the main series
:param verbose: whether to print progress
:return:
"""
raise_if_not(all([s.has_same_time_as(target_series) for s in feature_series]), 'All provided time series must ' \
'have the same time index', logger)
raise_if_not(start in target_series,
'The provided start timestamp is not in the time series.',
logger)
raise_if_not(
start != target_series.end_time(),
'The provided start timestamp is the last timestamp of the time series',
logger)
last_pred_time = target_series.time_index()[
-fcast_horizon_n -
2] if trim_to_series else target_series.time_index()[-2]
# build the prediction times in advance (to be able to use tqdm)
pred_times = [start]
while pred_times[-1] <= last_pred_time:
pred_times.append(pred_times[-1] + target_series.freq())
# what we'll return
values = []
times = []
iterator = build_tqdm_iterator(pred_times, verbose)
for pred_time in iterator:
# build train/val series
train_features = [s.drop_after(pred_time) for s in feature_series]
train_target = target_series.drop_after(pred_time)
val_features = [
s.slice_n_points_after(pred_time + target_series.freq(),
fcast_horizon_n) for s in feature_series
]
model.fit(train_features, train_target)
pred = model.predict(val_features)
values.append(pred.values()[-1]) # store the N-th point
times.append(pred.end_time()) # store the N-th timestamp
return TimeSeries.from_times_and_values(pd.DatetimeIndex(times),
np.array(values))