Integrate performance metrics to multi prophet model

vonum · May 21, 2021 · de7ae9c · de7ae9c
1 parent b2299fd
commit de7ae9c
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diff --git a/multi_prophet/__init__.py b/multi_prophet/__init__.py
@@ -68,6 +68,12 @@ def cross_validation(self, horizon, **kwargs):
             for column, model in self.model_pool.items()
         }
 
+    def performance_metrics(self, horizon, **kwargs):
+        return {
+            column: model.performance_metrics(horizon=horizon, **kwargs)
+            for column, model in self.model_pool.items()
+        }
+
     def _init_model_pool(self, columns, **kwargs):
         return {c: Prophet(**kwargs) for c in columns}
 

diff --git a/tests/test_multi_prophet.py b/tests/test_multi_prophet.py
@@ -172,3 +172,17 @@ def test_cross_validation(self):
             self.assertTrue("yhat_upper" in cross_validation_df.columns)
             self.assertTrue("y" in cross_validation_df.columns)
             self.assertTrue("cutoff" in cross_validation_df.columns)
+
+    def test_performance_metrics(self):
+        mp = multi_prophet.MultiProphet(columns=PREDICTOR_COLUMNS)
+        mp.fit(self.df)
+
+        performance_metrics_dfs = mp.performance_metrics(horizon="365 days")
+        for c, performance_metrics_df in performance_metrics_dfs.items():
+            self.assertTrue("horizon" in performance_metrics_df.columns)
+            self.assertTrue("mse" in performance_metrics_df.columns)
+            self.assertTrue("rmse" in performance_metrics_df.columns)
+            self.assertTrue("mae" in performance_metrics_df.columns)
+            self.assertTrue("mape" in performance_metrics_df.columns)
+            self.assertTrue("mdape" in performance_metrics_df.columns)
+            self.assertTrue("coverage" in performance_metrics_df.columns)