preprocessing
¶
TimeSeriesDifferentiator(order=1)
¶
Bases: BaseEstimator
, TransformerMixin
Transforms a time series into a differentiated time series of order n. It also reverts the differentiation.
Parameters:
Name  Type  Description  Default 

order 
int

Order of differentiation. 
1

Attributes:
Name  Type  Description 

order 
int

Order of differentiation. 
initial_values 
list

List with the initial value of the time series after each differentiation. This is used to revert the differentiation. 
last_values 
list

List with the last value of the time series after each differentiation. This is used to revert the differentiation of a new window of data. A new window of data is a time series that starts right after the time series used to fit the transformer. 
Source code in skforecast\preprocessing\preprocessing.py
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fit(X, y=None)
¶
Fits the transformer. This method only removes the values stored in
self.initial_values
.
Parameters:
Name  Type  Description  Default 

X 
numpy ndarray

Time series to be differentiated. 
required 
y 
Ignored

Not used, present here for API consistency by convention. 
None

Returns:
Name  Type  Description 

self 
TimeSeriesDifferentiator


Source code in skforecast\preprocessing\preprocessing.py
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transform(X, y=None)
¶
Transforms a time series into a differentiated time series of order n and stores the values needed to revert the differentiation.
Parameters:
Name  Type  Description  Default 

X 
numpy ndarray

Time series to be differentiated. 
required 
y 
Ignored

Not used, present here for API consistency by convention. 
None

Returns:
Name  Type  Description 

X_diff 
numpy ndarray

Differentiated time series. The length of the array is the same as
the original time series but the first n= 
Source code in skforecast\preprocessing\preprocessing.py
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inverse_transform(X, y=None)
¶
Reverts the differentiation. To do so, the input array is assumed to be a differentiated time series of order n that starts right after the the time series used to fit the transformer.
Parameters:
Name  Type  Description  Default 

X 
numpy ndarray

Differentiated time series. 
required 
y 
Ignored

Not used, present here for API consistency by convention. 
None

Returns:
Name  Type  Description 

X_diff 
numpy ndarray

Reverted differentiated time series. 
Source code in skforecast\preprocessing\preprocessing.py
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inverse_transform_next_window(X, y=None)
¶
Reverts the differentiation. The input array x
is assumed to be a
differentiated time series of order n that starts right after the
the time series used to fit the transformer.
Parameters:
Name  Type  Description  Default 

X 
numpy ndarray

Differentiated time series. It is assumed o start right after the time series used to fit the transformer. 
required 
y 
Ignored

Not used, present here for API consistency by convention. 
None

Returns:
Name  Type  Description 

X_undiff 
numpy ndarray

Reverted differentiated time series. 
Source code in skforecast\preprocessing\preprocessing.py
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