Remove creation of ragged sequences in MultivariateGrouper
#2671
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cc @kashif |
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LGTM! I will test it out on monday |
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@abdulfatir if this is backwards compatible, could you label it for v0.11 and v0.12 backport? |
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lostella
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Feb 20, 2023
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* Faster index building in PandasDataset (#2663) * Speed up `PandasDataset.from_long_dataframe` (#2665) * Fix `DateSplitter` when split date is before start (#2670) * Remove creation of ragged sequences in MultivariateGrouper (#2671) Co-authored-by: Abdul Fatir Ansari <ansarnd@amazon.com> Co-authored-by: Lorenzo Stella <stellalo@amazon.com> --------- Co-authored-by: Huibin Shen <icdishb@gmail.com> Co-authored-by: Gerald Woo <woogerald@yahoo.com.sg> Co-authored-by: Abdul Fatir <Abdulfatirs@gmail.com> Co-authored-by: Abdul Fatir Ansari <ansarnd@amazon.com>
lostella
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Feb 20, 2023
* Delay instantiation of `ScipyStudentT` object (#2660) * Faster index building in PandasDataset (#2663) * Speed up `PandasDataset.from_long_dataframe` (#2665) * Fix r-forecast doc strings (#2669) Co-authored-by: Abdul Fatir Ansari <ansarnd@amazon.com> Co-authored-by: Pedro Mercado <34275963+melopeo@users.noreply.github.com> * Fix `DateSplitter` when split date is before start (#2670) * Remove creation of ragged sequences in MultivariateGrouper (#2671) Co-authored-by: Abdul Fatir Ansari <ansarnd@amazon.com> Co-authored-by: Lorenzo Stella <stellalo@amazon.com> --------- Co-authored-by: Gerald Woo <woogerald@yahoo.com.sg> Co-authored-by: Huibin Shen <icdishb@gmail.com> Co-authored-by: Abdul Fatir <Abdulfatirs@gmail.com> Co-authored-by: Abdul Fatir Ansari <ansarnd@amazon.com> Co-authored-by: Pedro Mercado <34275963+melopeo@users.noreply.github.com>
lostella
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Issue #, if available: #2612
Description of changes:
Latest numpy versions raise an error when ragged sequences are passed to
np.array. An array of ragged sequences is generally not a good idea anyway. This PR fixes theMultivariateGrouperby sidestepping the creation of a ragged array. Instead, a list is used, which is batched based on the number of evaluation dates. The sublists are then stacked to create multivariate time series.By submitting this pull request, I confirm that you can use, modify, copy, and redistribute this contribution, under the terms of your choice.
Please tag this pr with at least one of these labels to make our release process faster: BREAKING, new feature, bug fix, other change, dev setup