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New abstractions for rolling-window forecasters. #127
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Thanks for the contribution! Unfortunately we can't verify the commit author(s): Tian Lan <t***@t***.i***.s***.com>. One possible solution is to add that email to your GitHub account. Alternatively you can change your commits to another email and force push the change. After getting your commits associated with your GitHub account, sign the Salesforce.com Contributor License Agreement and this Pull Request will be revalidated. |
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Thanks for the effort Tian! In addition to the changes mentioned inline, can you update the docs/source
folder to ensure that the new files are included in the API doc?
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This also allows us to delete torch_utils.
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This commit introduces new abstractions for sklearn-style models (i.e. they support
fit()
andpredict()
) which predict future values based on a fixed historical window.RollingWindowDataset
supports__iter__
and__getitem__
which process data to the required (past, future) formatSKLearnForecaster(ForecasterBase)
handles (1) univariate: the hybrid (multioutput + autoregression) train and forecast (2) multivariate with prediction_stride = 1: autoregression train and forecast (3) multivariate with prediction_stride > 1: set prediction_stride = max_forecast_steps, and directly return the model's prediction of the target univariate for the next max_forecast_steps timestampssample_mode
, I feel the stats sampling mode is never used and complicates the interfacefor example,
python test_boostingtrees
yields the following logs: