gtime.forecasting.GAR

class gtime.forecasting.GAR(estimator, n_jobs: int = None)

Generalized Auto Regression model.

This model is a wrapper of sklearn.multioutput.MultiOutputRegressor but returns a pd.DataFrame.

Fit one model for each target variable contained in the y matrix.

Parameters

estimatorestimator object, required

The model used to make the predictions step by step. Regressor object such as derived from RegressorMixin.

n_jobsint, optional, default: None

The number of jobs to use for the parallelization.

Examples

>>> import numpy as np
>>> import pandas as pd
>>> from gtime.forecasting import GAR
>>> from sklearn.ensemble import RandomForestRegressor
>>> time_index = pd.date_range("2020-01-01", "2020-01-30")
>>> X = pd.DataFrame(np.random.random((30, 5)), index=time_index)
>>> y_columns = ["y_1", "y_2", "y_3"]
>>> y = pd.DataFrame(np.random.random((30, 3)), index=time_index, columns=y_columns)
>>> X_train, y_train = X[:20], y[:20]
>>> X_test, y_test = X[20:], y[20:]
>>> random_forest = RandomForestRegressor()
>>> gar = GAR(estimator=random_forest)
>>> gar.fit(X_train, y_train)
>>> predictions = gar.predict(X_test)
>>> predictions.shape
(10, 3)

Methods

fit(self, X, y[, sample_weight])	Fit the model.
get_params(self[, deep])	Get parameters for this estimator.
partial_fit(self, X, y[, sample_weight])	Incrementally fit the model to data.
predict(self, X)	For each row in X, make a prediction for each fitted model, from 1 to horizon.
score(self, X, y[, sample_weight])	Returns the coefficient of determination R^2 of the prediction.
set_params(self, \*\*params)	Set the parameters of this estimator.

__init__(self, estimator, n_jobs:int=None)

Initialize self. See help(type(self)) for accurate signature.

fit(self, X:pandas.core.frame.DataFrame, y:pandas.core.frame.DataFrame, sample_weight=None)

Fit the model.

Train the models, one for each target variable in y.

Parameters

Xpd.DataFrame, shape (n_samples, n_features), required.

The data.

ypd.DataFrame, shape (n_samples, horizon), required.

The matrix containing the target variables.

Returns

selfobject

get_params(self, deep=True)

Get parameters for this estimator.

Parameters

deepbool, default=True

If True, will return the parameters for this estimator and contained subobjects that are estimators.

Returns

paramsmapping of string to any

Parameter names mapped to their values.

partial_fit(self, X, y, sample_weight=None)

Incrementally fit the model to data. Fit a separate model for each output variable.

Parameters

X(sparse) array-like, shape (n_samples, n_features)

Data.

y(sparse) array-like, shape (n_samples, n_outputs)

Multi-output targets.

sample_weightarray-like of shape (n_samples,), default=None

Sample weights. If None, then samples are equally weighted. Only supported if the underlying regressor supports sample weights.

Returns

selfobject

predict(self, X:pandas.core.frame.DataFrame) → pandas.core.frame.DataFrame

For each row in X, make a prediction for each fitted model, from 1 to horizon.

Parameters

Xpd.DataFrame, shape (n_samples, n_features), required

The data.

Returns

y_p_dfpd.DataFrame, shape (n_samples, horizon)

The predictions, one for each timestep in horizon.

score(self, X, y, sample_weight=None)

Returns the coefficient of determination R^2 of the prediction.

The coefficient R^2 is defined as (1 - u/v), where u is the residual sum of squares ((y_true - y_pred) ** 2).sum() and v is the regression sum of squares ((y_true - y_true.mean()) ** 2).sum(). Best possible score is 1.0 and it can be negative (because the model can be arbitrarily worse). A constant model that always predicts the expected value of y, disregarding the input features, would get a R^2 score of 0.0.

Parameters

Xarray-like, shape (n_samples, n_features)

Test samples.

yarray-like, shape (n_samples) or (n_samples, n_outputs)

True values for X.

sample_weightarray-like, shape [n_samples], optional

Sample weights.

Returns

scorefloat

R^2 of self.predict(X) wrt. y.

Notes

R^2 is calculated by weighting all the targets equally using multioutput=’uniform_average’.

set_params(self, **params)

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as pipelines). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Parameters

**paramsdict

Estimator parameters.

Returns

selfobject

Estimator instance.