Create EventTransform

[Mr-Geekman]

Issue by iKintosh
Tuesday Jun 21, 2022 at 07:33 GMT
Originally opened as tinkoff-ai#765

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🚀 Feature Request

ETNA should have transform that allows to mark days before and after event (holiday, promo or else)

Motivation

Now we ought to manually create such features. It is not convinient.

Proposal

Add an EventTransform with init parameters:

• in_column: str binary column with event indicator,
• out_column: str base for creating out columns names,
• n_pre: int default 1, number of days before the event to react ,
• n_post: int default 1, number of days after the event to react,
• mode: str, default binary, possible values:
  • binary: the created columns are binary ,
  • distance: the created columns show distance to the closest true value.

This transform creates two columns: {out_column}_pre, {out_column}_post. First column is dealing with reaction to the event before it started, the second is dealing with reaction after event has ended.

Let's explain modes of operation:

• In binary mode pre column shows value to 1 if the distance to the closest event in the future is in [1, n_pre], otherwise shows 0.
• In distance mode pre column shows 1/distance to the closest event in the future if the distance is in [1, n_pre], otherwise shows 0.
• In binary mode post column changes its value to 1 if the distance to the closest event in the past is in [1, n_post], otherwise shows 0.
• In distance mode post column shows 1/distance to the closest event in the past if the distance is in [1, n_post], otherwise shows 0.

In params to tune we should tune:

• n_pre: from 1 to the n_pre set by user,
• n_post: from 1 to the n_post set by user,
• mode: both possible values.

Implement get_regressors_info:

• If column is regressor, out_column will be regressor;
• Otherwise, out_column isn't regressor.

Example:

EventTransform(in_column="holiday", prev=2, post=2)

holiday	0	0	1	1	1	0	0
holiday_prev	1	1	0	0	0	0	0
holiday_post	0	0	0	0	0	1	1

Test cases

• Add tests on transform, pay attention to
  • Validation of input column
  • Different modes of operation
  • Events with space < n_pre or n_post between them
• Add inference tests for this transform into tests/test_transforms/test_inference

Alternatives

No response

Additional context

No response

Checklist

• I discussed this issue with ETNA Team