Merge pull request #83 from uber/bt_enhance

Bt enhance
uber · Apr 15, 2020 · 693746f · 693746f
2 parents c776fe6 + 77d83c6
commit 693746f
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Showing 6 changed files with 523 additions and 131 deletions.
diff --git a/examples/Backtest_Orbit_Model.ipynb b/examples/Backtest_Orbit_Model.ipynb
diff --git a/examples/Regressors_setup_demo.ipynb b/examples/Regressors_setup_demo.ipynb
@@ -16,7 +16,7 @@
   },
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+   "execution_count": 1,
    "metadata": {
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      "end_time": "2020-02-26T06:36:53.430179Z",
@@ -41,7 +41,7 @@
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-   "execution_count": 3,
+   "execution_count": 2,
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      "end_time": "2020-02-26T06:36:53.434780Z",
@@ -60,7 +60,7 @@
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-     "execution_count": 3,
+     "execution_count": 2,
      "metadata": {},
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@@ -75,7 +75,7 @@
   },
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-   "execution_count": 4,
+   "execution_count": 3,
    "metadata": {
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      "end_time": "2020-02-26T06:36:53.483821Z",
@@ -165,7 +165,7 @@
        "4 2010-01-31  538617        1.086926       0.776993   1.072525"
       ]
      },
-     "execution_count": 4,
+     "execution_count": 3,
      "metadata": {},
      "output_type": "execute_result"
     }
@@ -176,7 +176,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 5,
+   "execution_count": 4,
    "metadata": {
     "ExecuteTime": {
      "end_time": "2020-02-26T06:36:53.490218Z",
@@ -207,7 +207,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 6,
+   "execution_count": 5,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -218,7 +218,7 @@
   },
   {
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-   "execution_count": 7,
+   "execution_count": 6,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -230,13 +230,15 @@
     "    seasonality=52,\n",
     "    seed=1,\n",
     "    predict_method='map',\n",
-    "    is_multiplicative=True\n",
+    "    sample_method='map',\n",
+    "    is_multiplicative=True,\n",
+    "    auto_scale=False\n",
     ")"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": 8,
+   "execution_count": 7,
    "metadata": {
     "ExecuteTime": {
      "end_time": "2020-02-26T06:36:53.916107Z",
@@ -258,43 +260,80 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 9,
+   "execution_count": 12,
    "metadata": {},
    "outputs": [
     {
      "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>regressor</th>\n",
+       "      <th>regressor_sign</th>\n",
+       "      <th>coefficient</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>0</th>\n",
+       "      <td>trend.unemploy</td>\n",
+       "      <td>Positive</td>\n",
+       "      <td>0.041533</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1</th>\n",
+       "      <td>trend.filling</td>\n",
+       "      <td>Positive</td>\n",
+       "      <td>0.000011</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>2</th>\n",
+       "      <td>trend.job</td>\n",
+       "      <td>Regular</td>\n",
+       "      <td>-0.070758</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "</div>"
+      ],
       "text/plain": [
-       "array([[4.15329225e-02, 1.12462424e-05]])"
+       "        regressor regressor_sign  coefficient\n",
+       "0  trend.unemploy       Positive     0.041533\n",
+       "1   trend.filling       Positive     0.000011\n",
+       "2       trend.job        Regular    -0.070758"
       ]
      },
-     "execution_count": 9,
+     "execution_count": 12,
      "metadata": {},
      "output_type": "execute_result"
     }
    ],
    "source": [
-    "lgt_map.aggregated_posteriors['map']['pr_beta']"
+    "lgt_map.get_regression_coefs(aggregation_method='map')"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": 10,
+   "execution_count": null,
    "metadata": {},
-   "outputs": [
-    {
-     "data": {
-      "text/plain": [
-       "array([-0.07075831])"
-      ]
-     },
-     "execution_count": 10,
-     "metadata": {},
-     "output_type": "execute_result"
-    }
-   ],
-   "source": [
-    "lgt_map.aggregated_posteriors['map']['rr_beta']"
-   ]
+   "outputs": [],
+   "source": []
   },
   {
    "cell_type": "markdown",