Apply statsmodels-based ARIMA/VARIMA to new TS #1036

piaz97 · 2022-06-24T09:07:03Z

Fixes #920 .

Summary

ARIMA and VARIMA models wrapping statsmodels implementations now support the prediction new TS (in addition to the one used during training).

Other Information

New base class added, extending DualCovariatesForecastingModel, and adding the support for a series parameter in the predict() method. Not satisfied with the new base class name, StatsmodelsDualCovariatesForecastingModel, any better idea would be welcomed.
Adapted both ARIMA and VARIMA models.
Added tests.

… feat/apply-arima-to-new-ts

codecov-commenter · 2022-06-27T08:31:33Z

Codecov Report

Merging #1036 (934b204) into master (eb18103) will decrease coverage by 0.00%.
The diff coverage is 96.87%.

@@            Coverage Diff             @@
##           master    #1036      +/-   ##
==========================================
- Coverage   93.75%   93.74%   -0.01%     
==========================================
  Files          80       80              
  Lines        8160     8197      +37     
==========================================
+ Hits         7650     7684      +34     
- Misses        510      513       +3

Impacted Files	Coverage Δ
darts/models/forecasting/forecasting_model.py	`96.36% <96.15%> (-0.45%)`	⬇️
darts/models/forecasting/varima.py	`97.14% <96.66%> (-0.82%)`	⬇️
darts/models/forecasting/arima.py	`95.23% <100.00%> (+0.64%)`	⬆️
darts/timeseries.py	`92.15% <0.00%> (-0.07%)`	⬇️
...arts/models/forecasting/torch_forecasting_model.py	`89.54% <0.00%> (-0.05%)`	⬇️
darts/models/forecasting/block_rnn_model.py	`98.24% <0.00%> (-0.04%)`	⬇️
darts/models/forecasting/nhits.py	`98.55% <0.00%> (-0.02%)`	⬇️
darts/datasets/__init__.py	`100.00% <0.00%> (ø)`

Help us with your feedback. Take ten seconds to tell us how you rate us. Have a feature suggestion? Share it here.

brunnedu

Cool addition to darts! 🚀 Left a few minor comments

darts/models/forecasting/forecasting_model.py

Co-authored-by: Dustin Brunner <92083143+brunnedu@users.noreply.github.com>

hrzn

Looks good! Only a few minor comments and a suggestion name for the new class

darts/models/forecasting/forecasting_model.py

darts/models/forecasting/arima.py

darts/models/forecasting/varima.py

… feat/apply-arima-to-new-ts

hrzn

Looks good! I've identified a few opportunities for (small) performance improvements using copy=False - there might be more that I missed!

Before merging, would you agree to check that we do not unnecessarily prevent historical forecasts with retrain=False anymore? I think all it takes will likely be to override the method _supports_non_retrainable_historical_forecasts() in TransferrableDualCovariatesForecastingModel to return True instead of False.

darts/models/forecasting/arima.py

darts/models/forecasting/varima.py

hrzn · 2022-07-18T09:21:38Z

@piaz97 the tests are failing because ignore_time_axes was renamed into ignore_time_axis. Could you rename here too?

Co-authored-by: Julien Herzen <julien@unit8.co>

- Removed a print statement - Moved an error message that was misleading - Change type of staVARMA to ndarray, otherwise the result will be a multiindexed pandas df instead of the expected ndarray

piaz97 · 2022-07-21T15:27:48Z

I added the suggestions from the previous comments, added support for backtesting with retrain=False, and minor fixes. Should be ready to be merged

piaz97 added 8 commits June 22, 2022 09:03

Added new base class and adjusted ARIMA + tests

91a8372

[ARIMA] Added docstrings and tests

8a6bdce

Adapted VARIMA as well + tests

76fa8ce

Keeping training state after forecasting new TS, refactoring

de892db

Merge branch 'master' into feat/apply-arima-to-new-ts

684568f

Updated docstrings

97bc489

Merge remote-tracking branch 'origin/feat/apply-arima-to-new-ts' into…

fd36b3a

… feat/apply-arima-to-new-ts

Fixed some formatting and added one last test

53ce146

piaz97 changed the title ~~Apply statsmodels based ARIMA/VARIMA to new TS~~ Apply statsmodels-based ARIMA/VARIMA to new TS Jun 24, 2022

piaz97 added 5 commits June 24, 2022 14:03

Restored deleted check

2c62af2

Fixed a logic issue with current training_series param

0eceb7a

Merge branch 'master' into feat/apply-arima-to-new-ts

a0c1d8f

Cleaning

c30aee2

Merge remote-tracking branch 'origin/feat/apply-arima-to-new-ts' into…

83aa416

… feat/apply-arima-to-new-ts

piaz97 marked this pull request as ready for review June 27, 2022 09:17

piaz97 requested review from hrzn, tomasvanpottelbergh, dennisbader and brunnedu as code owners June 27, 2022 09:17

Merge branch 'master' into feat/apply-arima-to-new-ts

3583acb

brunnedu reviewed Jun 28, 2022

View reviewed changes

darts/models/forecasting/forecasting_model.py Outdated Show resolved Hide resolved

darts/models/forecasting/forecasting_model.py Outdated Show resolved Hide resolved

piaz97 and others added 3 commits June 28, 2022 13:03

Update darts/models/forecasting/forecasting_model.py

1a96c53

Co-authored-by: Dustin Brunner <92083143+brunnedu@users.noreply.github.com>

Update darts/models/forecasting/forecasting_model.py

1d0271d

Co-authored-by: Dustin Brunner <92083143+brunnedu@users.noreply.github.com>

Merge branch 'master' into feat/apply-arima-to-new-ts

6cb4676

hrzn reviewed Jun 30, 2022

View reviewed changes

darts/models/forecasting/forecasting_model.py Outdated Show resolved Hide resolved

darts/models/forecasting/arima.py Show resolved Hide resolved

darts/models/forecasting/varima.py Outdated Show resolved Hide resolved

piaz97 and others added 4 commits July 11, 2022 22:57

Merge branch 'master' into feat/apply-arima-to-new-ts

ea54a0e

Added VARIMA prob forecasting support

107dbdd

Merge remote-tracking branch 'origin/feat/apply-arima-to-new-ts' into…

d0b59fc

… feat/apply-arima-to-new-ts

Merge branch 'master' into feat/apply-arima-to-new-ts

382c626

Added missing build.gradle

5d54911

hrzn approved these changes Jul 14, 2022

View reviewed changes

hrzn added 2 commits July 17, 2022 15:26

Merge branch 'master' into feat/apply-arima-to-new-ts

10752f6

Merge branch 'master' into feat/apply-arima-to-new-ts

d132ec8

hrzn and others added 9 commits July 18, 2022 11:22

Merge branch 'master' into feat/apply-arima-to-new-ts

510786c

Merge branch 'master' into feat/apply-arima-to-new-ts

5493c8f

Merge branch 'master' into feat/apply-arima-to-new-ts

8c3e5ed

Apply suggestions from code review (copy=False)

3f544e9

Co-authored-by: Julien Herzen <julien@unit8.co>

Replaced ignore_axes -> ignore_axis

20c30c8

Added backtest with retrain=False support

d54618d

Small fixes

dbf72f2

- Removed a print statement - Moved an error message that was misleading - Change type of staVARMA to ndarray, otherwise the result will be a multiindexed pandas df instead of the expected ndarray

Merge branch 'master' into feat/apply-arima-to-new-ts

335fb32

Added some missing values(copy=False)

90883ef

hrzn added 3 commits August 7, 2022 08:28

Merge branch 'master' into feat/apply-arima-to-new-ts

f4dda3d

Merge branch 'master' into feat/apply-arima-to-new-ts

934b204

Merge branch 'master' into feat/apply-arima-to-new-ts

c712f22

hrzn merged commit 5ceac68 into master Aug 8, 2022

madtoinou deleted the feat/apply-arima-to-new-ts branch July 5, 2023 21:52

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

Apply statsmodels-based ARIMA/VARIMA to new TS #1036

Apply statsmodels-based ARIMA/VARIMA to new TS #1036

piaz97 commented Jun 24, 2022 •

edited

Loading

codecov-commenter commented Jun 27, 2022 •

edited

Loading

brunnedu left a comment

hrzn left a comment

hrzn left a comment

hrzn commented Jul 18, 2022

piaz97 commented Jul 21, 2022

Apply statsmodels-based ARIMA/VARIMA to new TS #1036

Apply statsmodels-based ARIMA/VARIMA to new TS #1036

Conversation

piaz97 commented Jun 24, 2022 • edited Loading

Summary

Other Information

codecov-commenter commented Jun 27, 2022 • edited Loading

Codecov Report

brunnedu left a comment

Choose a reason for hiding this comment

hrzn left a comment

Choose a reason for hiding this comment

hrzn left a comment

Choose a reason for hiding this comment

hrzn commented Jul 18, 2022

piaz97 commented Jul 21, 2022

piaz97 commented Jun 24, 2022 •

edited

Loading

codecov-commenter commented Jun 27, 2022 •

edited

Loading