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Feat/kalman forecaster #743

Merged
merged 23 commits into from
Feb 7, 2022
Merged

Feat/kalman forecaster #743

merged 23 commits into from
Feb 7, 2022

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hrzn
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@hrzn hrzn commented Jan 15, 2022

Fixes: #661 #735

  • Introduces KalmanForecaster, a new forecasting model based on KalmanFilter
  • Improved KalmanFilter to handle missing values
  • Improved KalmanFilter to return a series with columns names matching that of the original series
  • Improved ForecastingModels to return predicted series with a time axis having the same name as the original series being forecasted
  • Added new unit tests for KalmanForecaster
  • Other small improvements.

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codecov-commenter commented Jan 15, 2022

Codecov Report

Merging #743 (3f224d6) into master (0e5b5ad) will increase coverage by 0.04%.
The diff coverage is 100.00%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master     #743      +/-   ##
==========================================
+ Coverage   90.67%   90.72%   +0.04%     
==========================================
  Files          67       68       +1     
  Lines        6711     6746      +35     
==========================================
+ Hits         6085     6120      +35     
  Misses        626      626              
Impacted Files Coverage Δ
darts/models/__init__.py 76.19% <100.00%> (+0.58%) ⬆️
darts/models/filtering/kalman_filter.py 98.76% <100.00%> (+0.04%) ⬆️
darts/models/forecasting/forecasting_model.py 96.55% <100.00%> (ø)
darts/models/forecasting/kalman_forecaster.py 100.00% <100.00%> (ø)
darts/utils/timeseries_generation.py 95.49% <100.00%> (ø)

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@brunnedu brunnedu left a comment

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Looks good to me, but @tomasvanpottelbergh could probably give better feedback 😄

darts/models/forecasting/regression_model.py Outdated Show resolved Hide resolved
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hrzn commented Feb 1, 2022

Examples

Forecasting:
image

Missing values imputation on a multivariate series:
image

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@tomasvanpottelbergh tomasvanpottelbergh left a comment

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Great improvement and addition, thanks! :) LGTM!

@hrzn hrzn merged commit 021a9a9 into master Feb 7, 2022
@madtoinou madtoinou deleted the feat/kalman-forecaster branch July 5, 2023 21:52
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[New model] Forecasting from Kalman Filter
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