[ENH] post-processing in TransformedTargetForecaster, dunder method for (transformed y) forecasting pipelines
#2404
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fkiraly
added
module:forecasting
fkiraly
added this to Review in progress
in Workstream: forecasting and series transformers
via automation
|
would be nice to have an example in the docstring |
There is now :-) |
fkiraly
changed the title
TransformedTargetForecasterTransformedTargetForecaster, dunder method for forecasting pipelines
fkiraly
changed the title
TransformedTargetForecaster, dunder method for forecasting pipelinesTransformedTargetForecaster, dunder method for (transformed y) forecasting pipelines
Workstream: forecasting and series transformers
automation
moved this from Review in progress
to Done
Apr 9, 2022
srggrs
added a commit
to Gridsight/sktime
that referenced
this pull request
Apr 11, 2022
* upstream/main: (34 commits) Update codecov uploader from deprecated version and cosmetic improvements of CI scripts. (sktime#2389) bump version (sktime#2445) Fix typo in PULL_REQUEST_TEMPLATE.md (sktime#2446) [BUG] Incorrect indices returned by make_reduction on hierarchical data fixed (sktime#2438) [BUG] fix erroneous direct passthrough in ColumnEnsembleForecaster (sktime#2436) [BUG] forecasting pipeline dunder fix (sktime#2431) [BUG] temp workaround for unnamed levels in hierarchical X passed to aggregator (sktime#2432) Release v0.11.1 (sktime#2428) [ENH] extending reducers to hierarchical data, add transform-on-y functionality (sktime#2396) [ENH] interface to statsmodels SARIMAX interface (sktime#2400) [BUG] fixed fitting logic for postprocessing in `TransformedTargetForecaster` (sktime#2426) [BUG] `TransformedTargetForecaster` inverses were not working for univariate transformers and more than one quantile (sktime#2425) [BUG] fixing proba predict methods of forecasting tuning estimators (sktime#2423) [ENH] suppressing deprecation messages in `all_estimators` estimator retrieval, address `dtw` import message (sktime#2418) [BUG] fixed `score_average` parameter of proba metrics, docstrings (sktime#2401) [BUG] Sets "can handle missing value" tag in ARIMA and AutoARIMA (sktime#2420) [ENH] tests for `check_estimator` tests passing (sktime#2408) [ENH] post-processing in `TransformedTargetForecaster`, dunder method for (transformed `y`) forecasting pipelines (sktime#2404) [ENH] extend `_HeterogeneousMetaEstimator` estimator to allow mixed tuple/estimator list (sktime#2406) [BUG] fixed get_time_index for most mtypes (sktime#2380) ...
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This PR:
TransformedTargetForecasterto postprocess the forecasts with transformers.*feature to construct forecasting pipelines with automatic name generation, similar to classifier and transformer pipelineThis allows, for instance, reconciliation of results, and quick constructions of reconcilers, e.g.,
aggregate * my_forecaster * my_reconciler.In detail makes the following changes to
TransformedTargetForecasterandBaseForecaster:ClassifierPipelineandTransformerPipeline, allows list of estimators as input, and name/estimator tuples with non-unique names. In either case, unique names are automatically generated.*to forecasters viaBaseForecaster. Any forecaster, when multiplied with transformers, creates a non-nestedTransformedTargetForecaster. Earlier transformers preprocess and inverse transform; later transformers postprocess.Relies on PR:
_HeterogeneousMetaEstimatorestimator to allow mixed tuple/estimator list #2406