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STL decomposition #907
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STL decomposition #907
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…compatibility yet
…pecific for time series tasks
paxcema
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Jul 6, 2022
paxcema
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Jul 6, 2022
paxcema
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Jul 6, 2022
paxcema
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Jul 6, 2022
paxcema
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Jul 6, 2022
paxcema
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Jul 7, 2022
Fix #907: covers edge case with no group subset
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Jul 8, 2022
Fix #907: add JsonAI control for STL
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Why
To improve the set of tools available for time series mixers to use if it is deemed useful.
How
This PR does a bunch of stuff, namely:
NeuralTs
mixer, which inherits from the vanillaNeural
but adds time-series specific logic. This was done to keep specialized procedures separated from the (simpler) classification and regression tasks. JsonAI dispatch has been modified accordingly to make use of this.StatisticalAnalysis
object.ConcatedEncodedDs
, though we should probably remove this abstraction entirely (see MakeEncodedDs
interface simpler #746).lightwood.helpers.ts
ts_analysis
phase now finds (and fits) optimal deseasonalizer and detrender objects for each series available at train time, for which we use Optuna.mixers.helpers.ts
LightGBMArray
,SkTime
,Prophet
have been updated to use STL blocks, controllable by JsonAI args if needed. (NOTE: NeuralTs calls the blocks but there's no effect because it uses encoded values inside the DS, this will be addressed in a new PR)TsNumericEncoder
has been simplified to avoid storing the sign, instead simply applying the underlying normalizer. This seems to be especially useful forNeuralTs
to achieve improved forecasts, but formal benchmarks are still pending.analysis.nc
block to work with all the above.