module timeseries.ar#

Inheritance diagram of mlinsights.timeseries.ar

Short summary#

module mlinsights.timeseries.ar

Auto-regressor for timeseries.

source on GitHub

Classes#

class

truncated documentation

ARTimeSeriesRegressor

Base class to build a regressor on timeseries. The class computes one or several predictions at each time, between …

Properties#

property

truncated documentation

_repr_html_

HTML representation of estimator. This is redundant with the logic of _repr_mimebundle_. The latter should …

Methods#

method

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__init__

fit

Trains the model.

predict

Returns the prediction

Documentation#

Auto-regressor for timeseries.

source on GitHub

class mlinsights.timeseries.ar.ARTimeSeriesRegressor(estimator='dummy', past=1, delay1=1, delay2=2, use_all_past=False, preprocessing=None)#

Bases: BaseTimeSeries, TimeSeriesRegressorMixin

Base class to build a regressor on timeseries. The class computes one or several predictions at each time, between delay1 and delay2. It computes: \hat{Y_{t+d} = f(Y_{t-1}, ..., Y_{t-p})} with d in [delay1, delay2[ and 1 \leqslant p \leqslant past.

source on GitHub

Parameters:

  • estimator – estimator to use for regression, sklearn.linear_model.LinearRegression implements a linear auto-regressor, 'dummy' use past value as predictions

  • past – values to use to predict

  • delay1 – the model computes the first prediction for time=t + delay1

  • delay2 – the model computes the last prediction for time=t + delay2 excluded

  • use_all_past – use all past features, not only the timeseries

  • preprocessing – preprocessing to apply before predicting, only the timeseries itselves, it can be a difference, it must be of type BaseReciprocalTimeSeriesTransformer

source on GitHub

__init__(estimator='dummy', past=1, delay1=1, delay2=2, use_all_past=False, preprocessing=None)#
Parameters:

  • estimator – estimator to use for regression, sklearn.linear_model.LinearRegression implements a linear auto-regressor, 'dummy' use past value as predictions

  • past – values to use to predict

  • delay1 – the model computes the first prediction for time=t + delay1

  • delay2 – the model computes the last prediction for time=t + delay2 excluded

  • use_all_past – use all past features, not only the timeseries

  • preprocessing – preprocessing to apply before predicting, only the timeseries itselves, it can be a difference, it must be of type BaseReciprocalTimeSeriesTransformer

source on GitHub

fit(X, y, sample_weight=None)#

Trains the model.

Parameters:

  • X – output of X may be empty (None)

  • y – timeseries (one single vector), array [n_obs]

  • sample_weight – weights None or array [n_obs]

Returns:

self

source on GitHub

predict(X, y)#

Returns the prediction

source on GitHub