Extended time series regularizer to support multiseries#4303
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Codecov ReportPatch coverage:
Additional details and impacted files@@ Coverage Diff @@
## main #4303 +/- ##
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+ Coverage 99.7% 99.7% +0.1%
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Files 357 357
Lines 39694 39739 +45
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+ Hits 39574 39619 +45
Misses 120 120
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MichaelFu512
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Sep 12, 2023
eccabay
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Sep 13, 2023
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We're going to need more testing, but the impl itself is solid!
jeremyliweishih
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Sep 14, 2023
jeremyliweishih
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Quick refactor but otherwise LGTM.
christopherbunn
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Sep 14, 2023
eccabay
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A few small comments, but nothing blocking. The tests are much cleaner now, thank you!
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Pull Request Description
Extended time series regularizer to support multiseries
Closes #4304
Example of what this does
Let's say you have an unstacked X:
Where "2018-01-11", "2018-01-12" and "2018-01-16" are missing.
And you have an unstacked y:

Which is missing the values that correspond to the missing dates from X_unstacked (values jumps from 49 -> 60 and 74 -> 80).
If you call TimeSeriesRegularizer on X and y:

y will now regularize into:
Works also for duplicate datetimes, extra datetimes, and misaligned datetimes.
After creating the pull request: in order to pass the release_notes_updated check you will need to update the "Future Release" section of
docs/source/release_notes.rstto include this pull request by adding :pr:123.