Refactor/hist fc general #1801
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Refactor/hist fc general #1801
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… ForecastingModel
Codecov ReportPatch coverage:
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## master #1801 +/- ##
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- Coverage 94.25% 94.13% -0.12%
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Files 125 125
Lines 11619 11604 -15
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- Hits 10951 10923 -28
- Misses 668 681 +13
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alexcolpitts96
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May 31, 2023
* simple time reduction from removing redundant slicing * move the min_start_time truncation out of the loop * replace self by model to allow for moving historical forecasts out of ForecastingModel * replace series.drop_*() with series.slice() for performance boost * make same state as test * optimize some time series methods * used improved splitting in historical forecasts * Update CHANGELOG.md
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Summary
This is the first part of improving historical forecasting:
This PR reduces the TimeSeries preprocessing time in historical forecasting for all models. Below are the result from old (original) hist fc against new implementation for integer- and datetime indexed series (retrain=False):