Skip to content

Time series improvements #1794

@montebhoover

Description

@montebhoover

Mainly for @codemzs, I wanted to ask what additional work is needed for time series. Here are few things I noticed:

  1. Add support for doubles in SSA and IID estimators. Currently we check to verify floats, for all other types we throw an exception.
  2. Create class with named properties for output metrics of Martingale, P-Value, Alert, and Score. Currently we output a column of vector type that contains these four values. Alternate approach would be to have four output columns.
  3. Move everything under namespace Microsoft.ML.Runtime.TimeSeriesProcessing into Microsoft.ML.TimeSeries. Is there a reason why we need both namespaces?
  4. Add missing unit tests. We are missing IID and SSA spike detection, and we don't have code coverage over types such double, int, etc.
  5. Improve naming for estimator arguments. Currently we have Source for our input column and Name for our output column. It would make more sense to be Source and Dest or InputColumn and OutputColumn.
  6. Format the samples for the docs site. For each transformer we have the option of using the transformer on a batch of data or creating a prediction engine - which should we be displaying as the sample on the docs site? Both on separate pages?

Metadata

Metadata

Assignees

Labels

No labels
No labels

Type

No type

Projects

No projects

Milestone

No milestone

Relationships

None yet

Development

No branches or pull requests

Issue actions