pyFTS.benchmarks package

Submodules

pyFTS.benchmarks.Measures module

pyFTS module for common benchmark metrics

pyFTS.benchmarks.Measures.BoxLjungStatistic(data, h)

Q Statistic for Ljung–Box test

Parameters:

• data –
• h –

Returns:

pyFTS.benchmarks.Measures.BoxPierceStatistic(data, h)

Q Statistic for Box-Pierce test

Parameters:

• data –
• h –

Returns:

pyFTS.benchmarks.Measures.TheilsInequality(targets, forecasts)

Theil’s Inequality Coefficient

Parameters:

• targets –
• forecasts –

Returns:

pyFTS.benchmarks.Measures.UStatistic(targets, forecasts)

Theil’s U Statistic

Parameters:

• targets –
• forecasts –

Returns:

pyFTS.benchmarks.Measures.acf(data, k)

Autocorrelation function estimative

Parameters:

• data –
• k –

Returns:

pyFTS.benchmarks.Measures.brier_score(targets, densities)

Brier (1950). “Verification of Forecasts Expressed in Terms of Probability”. Monthly Weather Review. 78: 1–3.

pyFTS.benchmarks.Measures.coverage(targets, forecasts)

Percent of target values that fall inside forecasted interval

pyFTS.benchmarks.Measures.crps(targets, densities)

Continuous Ranked Probability Score

Parameters:

• targets – a list with the target values
• densities – a list with pyFTS.probabil objectsistic.ProbabilityDistribution

Returns:

float

pyFTS.benchmarks.Measures.get_distribution_statistics(data, model, **kwargs)

Get CRPS statistic and time for a forecasting model

Parameters:

• data – test data
• model – FTS model with probabilistic forecasting capability
• kwargs –

Returns:

a list with the CRPS and execution time

pyFTS.benchmarks.Measures.get_interval_statistics(data, model, **kwargs)

Condensate all measures for point interval forecasters

Parameters:

• data – test data
• model – FTS model with interval forecasting capability
• kwargs –

Returns:

a list with the sharpness, resolution, coverage, .05 pinball mean,

.25 pinball mean, .75 pinball mean and .95 pinball mean.

pyFTS.benchmarks.Measures.get_point_statistics(data, model, **kwargs)

Condensate all measures for point forecasters

Parameters:

• data – test data
• model – FTS model with point forecasting capability
• kwargs –

Returns:

a list with the RMSE, SMAPE and U Statistic

pyFTS.benchmarks.Measures.heavyside(bin, target)

pyFTS.benchmarks.Measures.heavyside_cdf(bins, targets)

pyFTS.benchmarks.Measures.mape(targets, forecasts)

Mean Average Percentual Error

Parameters:

• targets –
• forecasts –

Returns:

pyFTS.benchmarks.Measures.mape_interval(targets, forecasts)

pyFTS.benchmarks.Measures.pinball(tau, target, forecast)

Pinball loss function. Measure the distance of forecast to the tau-quantile of the target

Parameters:

• tau – quantile value in the range (0,1)
• target –
• forecast –

Returns:

float, distance of forecast to the tau-quantile of the target

pyFTS.benchmarks.Measures.pinball_mean(tau, targets, forecasts)

Mean pinball loss value of the forecast for a given tau-quantile of the targets

Parameters:

• tau – quantile value in the range (0,1)
• targets – list of target values
• forecasts – list of prediction intervals

Returns:

float, the pinball loss mean for tau quantile

pyFTS.benchmarks.Measures.pmf_to_cdf(density)

pyFTS.benchmarks.Measures.resolution(forecasts)

Resolution - Standard deviation of the intervals

pyFTS.benchmarks.Measures.rmse(targets, forecasts)

Root Mean Squared Error

Parameters:

• targets –
• forecasts –

Returns:

pyFTS.benchmarks.Measures.rmse_interval(targets, forecasts)

Root Mean Squared Error

Parameters:

• targets –
• forecasts –

Returns:

pyFTS.benchmarks.Measures.sharpness(forecasts)

Sharpness - Mean size of the intervals

pyFTS.benchmarks.Measures.smape(targets, forecasts, type=2)

Symmetric Mean Average Percentual Error

Parameters:

• targets –
• forecasts –
• type –

Returns:

pyFTS.benchmarks.Measures.winkler_mean(tau, targets, forecasts)

Mean Winkler score value of the forecast for a given tau-quantile of the targets

Parameters:

• tau – quantile value in the range (0,1)
• targets – list of target values
• forecasts – list of prediction intervals

Returns:

float, the Winkler score mean for tau quantile

pyFTS.benchmarks.Measures.winkler_score(tau, target, forecast)

18. 12. Winkler, A Decision-Theoretic Approach to Interval Estimation, J. Am. Stat. Assoc. 67 (337) (1972) 187–191. doi:10.2307/2284720.

pyFTS.benchmarks.ResidualAnalysis module

Residual Analysis methods

pyFTS.benchmarks.ResidualAnalysis.chi_squared(q, h)

Chi-Squared value

Parameters:

• q –
• h –

Returns:

pyFTS.benchmarks.ResidualAnalysis.compare_residuals(data, models)

Compare residual’s statistics of several models

Parameters:

• data – test data
• models –

Returns:

a Pandas dataframe with the Box-Ljung statistic for each model

pyFTS.benchmarks.ResidualAnalysis.plotResiduals(targets, models, tam=[8, 8], save=False, file=None)

Plot residuals and statistics

Parameters:

• targets –
• models –
• tam –
• save –
• file –

Returns:

pyFTS.benchmarks.ResidualAnalysis.plot_residuals(targets, models, tam=[8, 8], save=False, file=None)

pyFTS.benchmarks.ResidualAnalysis.residuals(targets, forecasts, order=1)

First order residuals

pyFTS.benchmarks.ResidualAnalysis.single_plot_residuals(targets, forecasts, order, tam=[8, 8], save=False, file=None)

pyFTS.benchmarks.Util module

Facilities for pyFTS Benchmark module

pyFTS.benchmarks.Util.analytic_tabular_dataframe(dataframe)

pyFTS.benchmarks.Util.analytical_data_columns(experiments)

pyFTS.benchmarks.Util.base_dataframe_columns()

pyFTS.benchmarks.Util.cast_dataframe_to_synthetic(infile, outfile, experiments, type)

pyFTS.benchmarks.Util.cast_dataframe_to_synthetic_interval(df, data_columns)

pyFTS.benchmarks.Util.cast_dataframe_to_synthetic_point(df, data_columns)

pyFTS.benchmarks.Util.cast_dataframe_to_synthetic_probabilistic(df, data_columns)

pyFTS.benchmarks.Util.check_ignore_list(b, ignore)

pyFTS.benchmarks.Util.check_replace_list(m, replace)

pyFTS.benchmarks.Util.create_benchmark_tables(conn)

pyFTS.benchmarks.Util.extract_measure(dataframe, measure, data_columns)

pyFTS.benchmarks.Util.find_best(dataframe, criteria, ascending)

pyFTS.benchmarks.Util.get_dataframe_from_bd(file, filter)

pyFTS.benchmarks.Util.insert_benchmark(data, conn)

pyFTS.benchmarks.Util.interval_dataframe_analytic_columns(experiments)

pyFTS.benchmarks.Util.interval_dataframe_synthetic_columns()

pyFTS.benchmarks.Util.open_benchmark_db(name)

pyFTS.benchmarks.Util.plot_dataframe_interval(file_synthetic, file_analytic, experiments, tam, save=False, file=None, sort_columns=['COVAVG', 'SHARPAVG', 'COVSTD', 'SHARPSTD'], sort_ascend=[True, False, True, True], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.plot_dataframe_interval_pinball(file_synthetic, file_analytic, experiments, tam, save=False, file=None, sort_columns=['COVAVG', 'SHARPAVG', 'COVSTD', 'SHARPSTD'], sort_ascend=[True, False, True, True], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.plot_dataframe_point(file_synthetic, file_analytic, experiments, tam, save=False, file=None, sort_columns=['UAVG', 'RMSEAVG', 'USTD', 'RMSESTD'], sort_ascend=[1, 1, 1, 1], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.plot_dataframe_probabilistic(file_synthetic, file_analytic, experiments, tam, save=False, file=None, sort_columns=['CRPS1AVG', 'CRPS2AVG', 'CRPS1STD', 'CRPS2STD'], sort_ascend=[True, True, True, True], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.point_dataframe_analytic_columns(experiments)

pyFTS.benchmarks.Util.point_dataframe_synthetic_columns()

pyFTS.benchmarks.Util.probabilistic_dataframe_analytic_columns(experiments)

pyFTS.benchmarks.Util.probabilistic_dataframe_synthetic_columns()

pyFTS.benchmarks.Util.process_common_data(dataset, tag, type, job)

pyFTS.benchmarks.Util.save_dataframe_interval(coverage, experiments, file, objs, resolution, save, sharpness, synthetic, times, q05, q25, q75, q95, steps, method)

pyFTS.benchmarks.Util.save_dataframe_point(experiments, file, objs, rmse, save, synthetic, smape, times, u, steps, method)

Create a dataframe to store the benchmark results

Parameters:

• experiments – dictionary with the execution results
• file –
• objs –
• rmse –
• save –
• synthetic –
• smape –
• times –
• u –

Returns:

pyFTS.benchmarks.Util.save_dataframe_probabilistic(experiments, file, objs, crps, times, save, synthetic, steps, method)

Save benchmark results for m-step ahead probabilistic forecasters :param experiments: :param file: :param objs: :param crps_interval: :param crps_distr: :param times: :param times2: :param save: :param synthetic: :return:

pyFTS.benchmarks.Util.scale(data, params)

pyFTS.benchmarks.Util.scale_params(data)

pyFTS.benchmarks.Util.stats(measure, data)

pyFTS.benchmarks.Util.tabular_dataframe_columns()

pyFTS.benchmarks.Util.unified_scaled_interval(experiments, tam, save=False, file=None, sort_columns=['COVAVG', 'SHARPAVG', 'COVSTD', 'SHARPSTD'], sort_ascend=[True, False, True, True], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.unified_scaled_interval_pinball(experiments, tam, save=False, file=None, sort_columns=['COVAVG', 'SHARPAVG', 'COVSTD', 'SHARPSTD'], sort_ascend=[True, False, True, True], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.unified_scaled_point(experiments, tam, save=False, file=None, sort_columns=['UAVG', 'RMSEAVG', 'USTD', 'RMSESTD'], sort_ascend=[1, 1, 1, 1], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.Util.unified_scaled_probabilistic(experiments, tam, save=False, file=None, sort_columns=['CRPSAVG', 'CRPSSTD'], sort_ascend=[True, True], save_best=False, ignore=None, replace=None)

pyFTS.benchmarks.arima module

class pyFTS.benchmarks.arima.ARIMA(**kwargs)

Bases: pyFTS.common.fts.FTS

Façade for statsmodels.tsa.arima_model

ar(data)

forecast(ndata, **kwargs)

Point forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted values

forecast_ahead_distribution(data, steps, **kwargs)

Probabilistic forecast n steps ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• steps – the number of steps ahead to forecast
• kwargs – model specific parameters

Returns:

a list with the forecasted Probability Distributions

forecast_ahead_interval(ndata, steps, **kwargs)

Interval forecast n steps ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• steps – the number of steps ahead to forecast
• kwargs – model specific parameters

Returns:

a list with the forecasted intervals

forecast_distribution(data, **kwargs)

Probabilistic forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted Probability Distributions

forecast_interval(data, **kwargs)

Interval forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted intervals

ma(data)

train(data, **kwargs)

Method specific parameter fitting

Parameters:

• data – training time series data
• kwargs – Method specific parameters

pyFTS.benchmarks.benchmarks module

Benchmarks methods for FTS methods

pyFTS.benchmarks.benchmarks.SelecaoSimples_MenorRMSE(original, parameters, modelo)

pyFTS.benchmarks.benchmarks.compareModelsPlot(original, models_fo, models_ho)

pyFTS.benchmarks.benchmarks.compareModelsTable(original, models_fo, models_ho)

pyFTS.benchmarks.benchmarks.get_benchmark_interval_methods()

Return all non FTS methods for point_to_interval forecasting

pyFTS.benchmarks.benchmarks.get_benchmark_point_methods()

Return all non FTS methods for point forecasting

pyFTS.benchmarks.benchmarks.get_benchmark_probabilistic_methods()

Return all FTS methods for probabilistic forecasting

pyFTS.benchmarks.benchmarks.get_interval_methods()

Return all FTS methods for point_to_interval forecasting

pyFTS.benchmarks.benchmarks.get_point_methods()

Return all FTS methods for point forecasting

pyFTS.benchmarks.benchmarks.get_probabilistic_methods()

Return all FTS methods for probabilistic forecasting

pyFTS.benchmarks.benchmarks.pftsExploreOrderAndPartitions(data, save=False, file=None)

pyFTS.benchmarks.benchmarks.plotCompared(original, forecasts, labels, title)

pyFTS.benchmarks.benchmarks.plot_compared_intervals_ahead(original, models, colors, distributions, time_from, time_to, intervals=True, save=False, file=None, tam=[20, 5], resolution=None, cmap='Blues', linewidth=1.5)

Plot the forecasts of several one step ahead models, by point or by interval

Parameters:

• original – Original time series data (list)
• models – List of models to compare
• colors – List of models colors
• distributions – True to plot a distribution
• time_from – index of data poit to start the ahead forecasting
• time_to – number of steps ahead to forecast
• interpol – Fill space between distribution plots
• save – Save the picture on file
• file – Filename to save the picture
• tam – Size of the picture
• resolution –
• cmap – Color map to be used on distribution plot
• option – Distribution type to be passed for models

Returns:

pyFTS.benchmarks.benchmarks.plot_compared_series(original, models, colors, typeonlegend=False, save=False, file=None, tam=[20, 5], points=True, intervals=True, linewidth=1.5)

Plot the forecasts of several one step ahead models, by point or by interval

Parameters:

• original – Original time series data (list)
• models – List of models to compare
• colors – List of models colors
• typeonlegend – Add the type of forecast (point / interval) on legend
• save – Save the picture on file
• file – Filename to save the picture
• tam – Size of the picture
• points – True to plot the point forecasts, False otherwise
• intervals – True to plot the interval forecasts, False otherwise
• linewidth –

Returns:

pyFTS.benchmarks.benchmarks.plot_density_rectange(ax, cmap, density, fig, resolution, time_from, time_to)

pyFTS.benchmarks.benchmarks.plot_distribution(ax, cmap, probabilitydist, fig, time_from, reference_data=None)

pyFTS.benchmarks.benchmarks.plot_interval(axis, intervals, order, label, color='red', typeonlegend=False, ls='-', linewidth=1)

pyFTS.benchmarks.benchmarks.plot_point(axis, points, order, label, color='red', ls='-', linewidth=1)

pyFTS.benchmarks.benchmarks.plot_probability_distributions(pmfs, lcolors, tam=[15, 7])

pyFTS.benchmarks.benchmarks.print_distribution_statistics(original, models, steps, resolution)

pyFTS.benchmarks.benchmarks.print_interval_statistics(original, models)

pyFTS.benchmarks.benchmarks.print_point_statistics(data, models, externalmodels=None, externalforecasts=None, indexers=None)

pyFTS.benchmarks.benchmarks.process_interval_jobs(dataset, tag, job, conn)

pyFTS.benchmarks.benchmarks.process_point_jobs(dataset, tag, job, conn)

pyFTS.benchmarks.benchmarks.process_probabilistic_jobs(dataset, tag, job, conn)

pyFTS.benchmarks.benchmarks.run_interval(mfts, partitioner, train_data, test_data, window_key=None, **kwargs)

Interval forecast benchmark function to be executed on cluster nodes

Parameters:

• mfts – FTS model
• partitioner – Universe of Discourse partitioner
• train_data – data used to train the model
• test_data – ata used to test the model
• window_key – id of the sliding window
• transformation – data transformation
• indexer – seasonal indexer

Returns:

a dictionary with the benchmark results

pyFTS.benchmarks.benchmarks.run_point(mfts, partitioner, train_data, test_data, window_key=None, **kwargs)

Point forecast benchmark function to be executed on cluster nodes

Parameters:

• mfts – FTS model
• partitioner – Universe of Discourse partitioner
• train_data – data used to train the model
• test_data – ata used to test the model
• window_key – id of the sliding window
• transformation – data transformation
• indexer – seasonal indexer

Returns:

a dictionary with the benchmark results

pyFTS.benchmarks.benchmarks.run_probabilistic(mfts, partitioner, train_data, test_data, window_key=None, **kwargs)

Probabilistic forecast benchmark function to be executed on cluster nodes

Parameters:

• mfts – FTS model
• partitioner – Universe of Discourse partitioner
• train_data – data used to train the model
• test_data – ata used to test the model
• steps –
• resolution –
• window_key – id of the sliding window
• transformation – data transformation
• indexer – seasonal indexer

Returns:

a dictionary with the benchmark results

pyFTS.benchmarks.benchmarks.simpleSearch_RMSE(train, test, model, partitions, orders, save=False, file=None, tam=[10, 15], plotforecasts=False, elev=30, azim=144, intervals=False, parameters=None, partitioner=<class 'pyFTS.partitioners.Grid.GridPartitioner'>, transformation=None, indexer=None)

pyFTS.benchmarks.benchmarks.sliding_window_benchmarks(data, windowsize, train=0.8, **kwargs)

Sliding window benchmarks for FTS forecasters.

For each data window, a train and test datasets will be splitted. For each train split, number of partitions and partitioning method will be created a partitioner model. And for each partitioner, order, steps ahead and FTS method a foreasting model will be trained.

Then all trained models are benchmarked on the test data and the metrics are stored on a sqlite3 database (identified by the ‘file’ parameter) for posterior analysis.

All these process can be distributed on a dispy cluster, setting the atributed ‘distributed’ to true and informing the list of dispy nodes on ‘nodes’ parameter.

The number of experiments is determined by ‘windowsize’ and ‘inc’ parameters.

Parameters:

• data – test data
• windowsize – size of sliding window
• train – percentual of sliding window data used to train the models
• kwargs – dict, optional arguments
• benchmark_methods – a list with Non FTS models to benchmark. The default is None.
• benchmark_methods_parameters – a list with Non FTS models parameters. The default is None.
• benchmark_models – A boolean value indicating if external FTS methods will be used on benchmark. The default is False.
• build_methods – A boolean value indicating if the default FTS methods will be used on benchmark. The default is True.
• dataset – the dataset name to identify the current set of benchmarks results on database.
• distributed – A boolean value indicating if the forecasting procedure will be distributed in a dispy cluster. . The default is False
• file – file path to save the results. The default is benchmarks.db.
• inc – a float on interval [0,1] indicating the percentage of the windowsize to move the window
• methods – a list with FTS class names. The default depends on the forecasting type and contains the list of all FTS methods.
• models – a list with prebuilt FTS objects. The default is None.
• nodes – a list with the dispy cluster nodes addresses. The default is [127.0.0.1].
• orders – a list with orders of the models (for high order models). The default is [1,2,3].
• partitions – a list with the numbers of partitions on the Universe of Discourse. The default is [10].
• partitioners_models – a list with prebuilt Universe of Discourse partitioners objects. The default is None.
• partitioners_methods – a list with Universe of Discourse partitioners class names. The default is [partitioners.Grid.GridPartitioner].
• progress – If true a progress bar will be displayed during the benchmarks. The default is False.
• start – in the multi step forecasting, the index of the data where to start forecasting. The default is 0.
• steps_ahead – a list with the forecasting horizons, i. e., the number of steps ahead to forecast. The default is 1.
• tag – a name to identify the current set of benchmarks results on database.
• type – the forecasting type, one of these values: point(default), interval or distribution. The default is point.
• transformations – a list with data transformations do apply . The default is [None].

pyFTS.benchmarks.distributed_benchmarks module

pyFTS.benchmarks.knn module

class pyFTS.benchmarks.knn.KNearestNeighbors(**kwargs)

Bases: pyFTS.common.fts.FTS

K-Nearest Neighbors

forecast_distribution(data, **kwargs)

Probabilistic forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted Probability Distributions

knn(sample)

train(data, **kwargs)

Method specific parameter fitting

Parameters:

• data – training time series data
• kwargs – Method specific parameters

pyFTS.benchmarks.naive module

class pyFTS.benchmarks.naive.Naive(**kwargs)

Bases: pyFTS.common.fts.FTS

Naïve Forecasting method

forecast(data, **kwargs)

Point forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted values

pyFTS.benchmarks.parallel_benchmarks module

joblib Parallelized Benchmarks to FTS methods

pyFTS.benchmarks.parallel_benchmarks.ahead_sliding_window(data, windowsize, train, steps, resolution, models=None, partitioners=[<class 'pyFTS.partitioners.Grid.GridPartitioner'>], partitions=[10], max_order=3, transformation=None, indexer=None, dump=False, save=False, file=None, sintetic=False)

Parallel sliding window benchmarks for FTS probabilistic forecasters :param data: :param windowsize: size of sliding window :param train: percentual of sliding window data used to train the models :param steps: :param resolution: :param models: FTS point forecasters :param partitioners: Universe of Discourse partitioner :param partitions: the max number of partitions on the Universe of Discourse :param max_order: the max order of the models (for high order models) :param transformation: data transformation :param indexer: seasonal indexer :param dump: :param save: save results :param file: file path to save the results :param sintetic: if true only the average and standard deviation of the results :return: DataFrame with the results

pyFTS.benchmarks.parallel_benchmarks.interval_sliding_window(data, windowsize, train=0.8, models=None, partitioners=[<class 'pyFTS.partitioners.Grid.GridPartitioner'>], partitions=[10], max_order=3, transformation=None, indexer=None, dump=False, save=False, file=None, sintetic=False)

Parallel sliding window benchmarks for FTS point_to_interval forecasters :param data: :param windowsize: size of sliding window :param train: percentual of sliding window data used to train the models :param models: FTS point forecasters :param partitioners: Universe of Discourse partitioner :param partitions: the max number of partitions on the Universe of Discourse :param max_order: the max order of the models (for high order models) :param transformation: data transformation :param indexer: seasonal indexer :param dump: :param save: save results :param file: file path to save the results :param sintetic: if true only the average and standard deviation of the results :return: DataFrame with the results

pyFTS.benchmarks.parallel_benchmarks.point_sliding_window(data, windowsize, train=0.8, models=None, partitioners=[<class 'pyFTS.partitioners.Grid.GridPartitioner'>], partitions=[10], max_order=3, transformation=None, indexer=None, dump=False, save=False, file=None, sintetic=False)

Parallel sliding window benchmarks for FTS point forecasters :param data: :param windowsize: size of sliding window :param train: percentual of sliding window data used to train the models :param models: FTS point forecasters :param partitioners: Universe of Discourse partitioner :param partitions: the max number of partitions on the Universe of Discourse :param max_order: the max order of the models (for high order models) :param transformation: data transformation :param indexer: seasonal indexer :param dump: :param save: save results :param file: file path to save the results :param sintetic: if true only the average and standard deviation of the results :return: DataFrame with the results

pyFTS.benchmarks.parallel_benchmarks.run_ahead(mfts, partitioner, train_data, test_data, steps, resolution, transformation=None, indexer=None)

Probabilistic m-step ahead forecast benchmark function to be executed on threads :param mfts: FTS model :param partitioner: Universe of Discourse partitioner :param train_data: data used to train the model :param test_data: ata used to test the model :param steps: :param resolution: :param transformation: data transformation :param indexer: seasonal indexer :return: a dictionary with the benchmark results

pyFTS.benchmarks.parallel_benchmarks.run_interval(mfts, partitioner, train_data, test_data, transformation=None, indexer=None)

Interval forecast benchmark function to be executed on threads :param mfts: FTS model :param partitioner: Universe of Discourse partitioner :param train_data: data used to train the model :param test_data: ata used to test the model :param window_key: id of the sliding window :param transformation: data transformation :param indexer: seasonal indexer :return: a dictionary with the benchmark results

pyFTS.benchmarks.parallel_benchmarks.run_point(mfts, partitioner, train_data, test_data, transformation=None, indexer=None)

Point forecast benchmark function to be executed on threads :param mfts: FTS model :param partitioner: Universe of Discourse partitioner :param train_data: data used to train the model :param test_data: ata used to test the model :param window_key: id of the sliding window :param transformation: data transformation :param indexer: seasonal indexer :return: a dictionary with the benchmark results

pyFTS.benchmarks.quantreg module

class pyFTS.benchmarks.quantreg.QuantileRegression(**kwargs)

Bases: pyFTS.common.fts.FTS

Façade for statsmodels.regression.quantile_regression

forecast(ndata, **kwargs)

Point forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted values

forecast_ahead_distribution(ndata, steps, **kwargs)

Probabilistic forecast n steps ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• steps – the number of steps ahead to forecast
• kwargs – model specific parameters

Returns:

a list with the forecasted Probability Distributions

forecast_ahead_interval(ndata, steps, **kwargs)

Interval forecast n steps ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• steps – the number of steps ahead to forecast
• kwargs – model specific parameters

Returns:

a list with the forecasted intervals

forecast_distribution(ndata, **kwargs)

Probabilistic forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted Probability Distributions

forecast_interval(ndata, **kwargs)

Interval forecast one step ahead

Parameters:

• data – time series data with the minimal length equal to the max_lag of the model
• kwargs – model specific parameters

Returns:

a list with the forecasted intervals

interval_to_interval(data, lo_params, up_params)

linearmodel(data, params)

point_to_interval(data, lo_params, up_params)

train(data, **kwargs)

Method specific parameter fitting

Parameters:

• data – training time series data
• kwargs – Method specific parameters

Module contents

pyFTS module for benchmarking the FTS models