Feat/improve timeseries

[dennisbader]

Summary

Refactor time series constructor and methods for performance boosts

• avoids checking whether all time steps available, as freq is already well defined
• avoids raise_if_* since they always compute the (formatted) strings
• improves slicing with integers
• improves slicing with Timestamps
• improves from_group_dataframe() to perform some operations on the full DataFrame instead of every group iterations
• adds option to prevent some group_cols from being added to static covariates when using TimeSeries.from_group_dataframe() with parameter drop_group_cols. (addresses [INFO] Fit multiple time series using RegressionModels with static and past covariates. #2183)

Results

• large performance boosts especially for time series indexed with "special" date offsets (e.g. "W-MON"). These frequencies resulted in much longer TimeSeries creation times compared to normal frequencies (below). Now, they are comparably fast. (up to >100x faster)
• good performance boosts for time series with "normal" date offsets (e.g. "D") ( up to 2x faster)

Boosts for "special" frequencies (e.g. "W-MON"): Series creation time boost by method and series length

• recreation of the time index was the major bottle neck in old time series creation. Therefore we see the increase boost with increasing series length
• all other boosts are translated also to the normal frequencies that are shown below

Boosts for "normal" frequencies (e.g. "D"): Series creation time boost by method and series length

• the boosts here are relatively constant over the time series length, still we see speed ups for all methods

And here the actual time series creation times for all experiments
results_TimeSeries_D.csv
results_TimeSeries_W-MON.csv
results_TimeSeriesOld_D.csv
results_TimeSeriesOld_W-MON.csv

[codecov-commenter]

Codecov Report

Attention: 9 lines in your changes are missing coverage. Please review.

Comparison is base (0b4dcf0) 93.92% compared to head (3e391b8) 93.87%.

Files	Patch %	Lines
darts/timeseries.py	89.65%	9 Missing ⚠️

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Additional details and impacted files

@@            Coverage Diff             @@
##           master    #2196      +/-   ##
==========================================
- Coverage   93.92%   93.87%   -0.06%     
==========================================
  Files         135      135              
  Lines       13394    13411      +17     
==========================================
+ Hits        12580    12589       +9     
- Misses        814      822       +8     

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[madtoinou]

LGTM, we should maybe open a separate PR to refactor a bit the tests and leverage pytest.mark.parametrize as we did for other tests.

[VascoSch92]

LGTM, we should maybe open a separate PR to refactor a bit the tests and leverage pytest.mark.parametrize as we did for other tests.

this is a good idea... sorry if I was pity about that but having good tests is a must :-)

[dennisbader]

Thanks @VascoSch92 and @madtoinou for the reviews. I applied the suggestion. For the tests I separated exceptions from behavior. Regarding parametrization we can make in a separate PR as @madtoinou suggested.

We recently migrated from unittest to pytest which is why there are still some relics of un-parametrized tests around.