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[ENH] Access the actual features (including lagged y) used as input for the model inside a reduction forecaster #5644
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Just out of my curiosity, can I ask how are you planning to use Shapley values here? For example, So, what shall you pass as "actual" values to (As said, it's not related to your issue, but out of my curiosity as I am also planning to have some explainability component for my office work.) |
In my current application I care most about a few horizons only (1-3), and later horizons are increasingly less relevant. For now I'm simply planning to just look at the values for the first few horizons separately. I'm aware of the issues with features varying by horizon in the recursive case, I'm not sure what the best solution is. Maybe offering a method to recreate the input for a given horizon is easier than storing it? |
Related, this request by @yarnabrina to access the internal data in two-step exogenous forecast: I wonder whether there should be a programmatic way to access internal preprocessed data. |
From a design perspective, we could "dump" the formatted data in a A "nicer" way would be to also allow the forecaster to act as a transformer, which is now possible with the There used to be a |
On a related note, there is a transformer (not much used afaik) which also addresses the issue, the |
I'd be fine with either, although I'm not sure how "dumping" would look like with the recursive reducer. |
Thanks for pointing this out, I'll have a look. Does this mean the API reference on the homepage is incomplete? I've looked through the list of transformers, and this one isn't listed. |
Yes, sorry. The issue is, we are not sure how to test "estimator is not present on API reference page". I've added it, and the new direct reducer prototype to the API reference: |
I think that is precisely @yarnabrina's question, i.e., what should it even do. |
Maybe just dump Thanks for updating the docs! |
I would like to access the actual
X
features used as input for the model inside a reducer. It appears these are not currently stored (unless I've missed something).Would it be possible to store them (or provide a method to recreate them)? One prominent use case for this is that the actual values are required to compute shapley values.
A simple example is given below.
_y
and_X
are stored for theRecursiveTabularRegressionForecaster
, but not the actual input passed to the nestedestimator
.The text was updated successfully, but these errors were encountered: