Feature/ensembling - #5
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kstyrc
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| m = ARIMA(series.values(), | ||
| order=(self.p, self.d, self.q)) if self.d > 0 else ARMA(values, order=(self.p, self.q)) | ||
| self.model = m.fit(disp=0) |
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statsmodels.tsa.arima_model.ARIMA.fit() returns the model results, whereas our implementation of Arima.fit() doesn't return anything. Shouldn't we return self? Example code that could be interesting:
arima = Arima()
series_pred = arima.fit(series_train).predict(n_test)Or (in the future)
arima = Arima()
arima.fit(series_train).save('my_fancy_model.ml')Side note, in sklearn, fit() methods also return self, and in Keras, fit() return a History() object, which contains results, which is similar to statsmodels.tsa.arima_model.ARIMA.
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Good point, I'll try to add this at some point soon :)
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* Fix a bug in `_test_stationarity` Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix a bug in `SequentialTorchInferenceDataset` Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Init torch explainer Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add notebooks for exploration Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Use KernelExplainer instead of Deep Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add todo note Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Collate `np.ndarray` directly & feature names Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `summary_plot` Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `force_plot_from_ts` Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Validate `__getitem__` index Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Apply inference encodings for foreground series This ensure that the last possible index is always explained when `add_encoders` is used. Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Move device for batch processing Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add exact explainer Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add TCN handling Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Speed up and set module to eval mode Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Misc Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix a RNN test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Handle RNN module Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix a SHAP test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix feature names Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add static cov support Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix typos Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Remove static cov todo Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add prob support Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update doc dependencies Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update sklearn notebook Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix a typo Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Rename to SKLearnExplainer Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Rename #2 Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Rename #3 Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Remove model attr Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix capitailisation Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Cap #2 Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update SKLearn explainer doc Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Cap #3 Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update SK force plot and summary plot Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update force plot name Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update torch force and summary plots Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update SK doc Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update SK header Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update SK force plot docstring Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add static cov convention Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Remove RNN docstring errors Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Torch explainer doc header Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update header doc Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add torch explainer docstring Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `explain()` docstring Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `summary_plot()` and `force_plot()` docstring Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `explain_single()` to torch explainer Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix bugs for shap object Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update result classes docstring Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update result header Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `explain_single` docstring Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add `explain_single()` to sklearn explainer Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update doc header and add note Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add creation test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add chronos2 to tests Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add comments Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add explain test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Expand explain test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Reduce test time Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add explain without foreground test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add explain with shap methods test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add explain probabilistic test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_explain_multiple_series Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add explain single test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add explain single without background test Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test explain single shape methods Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_explain_single_probabilistic_model Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_summary_plot Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_force_plot Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_waterfall_plot Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve code coverage of torch explainer Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve code coverage Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve tests Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_explain_single Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve code cov. Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve code cov. Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve code coverage Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve code cov. Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Improve #5 Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add test_explain_univariate for torch Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Bugfix: trim series when future cov too short Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Bugfix: too short future covs. when training Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add notebook draft Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix a notebook bug Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Revert "Update doc dependencies" This reverts commit c2899635ba90c1e9270d6e969e4d35304d5d0e85. * Update Makefile for faster compilation Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Complete global explanation Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add Local Explainability Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add force plot Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Complete local explanability Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add pytorch model to notebook Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update header Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add labels to info and warning Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Supress warnings Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update docs and remove `raise_if` Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix typos Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Complete notebook Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Remove unused files Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Change default to permutation Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add reference to notebook Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update PR note Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Rename to 29- notebook Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add notebook links Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update tests Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Pass along optional kwargs to SHAP Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update `plot_kwargs` in tests Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Relax base value threshold in tests Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Add API reference Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update changelog Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update PR note Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update #2 Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix typos Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Lint Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Update CHANGELOG Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix nb name typos Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * Fix Partition explainer typo Co-authored-by: Zhihao Dai <zhihao.dai@eng.ox.ac.uk> * update docs * some updates * rename explainability notebook * further updates * revert shap renaming * generalize shap explainers * refactor explain single series * refactor explain * renove old explainers * fix some issues * centralize torch and sklearn logic in single ShapExplainer * centralize torch and sklearn logic in single ShapExplainer * centralize torch and sklearn logic in single ShapExplainer * make torch explainer use hist fc utils * update notebook * update changelog * update docs for explainability result * fix issues in explanations * refactor explain single * further improvements * improve naming of shap adapters * compute lagged feature names with dedicated function * finalize torch shap adapter * finish example notebook * support quantile regression for sklearn models * update changelog * improve code coverage * finalize docs * update changelog * update notebook --------- Co-authored-by: dennisbader <dennis.bader@gmx.ch>
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The novelties:
RegressiveModelStandardRegressiveModel, which allows ensembling. By default it uses linear regression to predict one time series from others, but it can use any scikit-learn regression model.