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ForecasterAutoreg

ForecasterAutoreg(regressor, lags, transformer_y=None, transformer_exog=None, weight_func=None, differentiation=None, fit_kwargs=None, binner_kwargs=None, forecaster_id=None)

Bases: ForecasterBase

This class turns any regressor compatible with the scikit-learn API into a recursive autoregressive (multi-step) forecaster.

Parameters:

Name Type Description Default
regressor regressor or pipeline compatible with the scikit-learn API

An instance of a regressor or pipeline compatible with the scikit-learn API

required
lags int, list, numpy ndarray, range

Lags used as predictors. Index starts at 1, so lag 1 is equal to t-1.

  • int: include lags from 1 to lags (included).
  • list, 1d numpy ndarray or range: include only lags present in lags, all elements must be int.
required
transformer_y object transformer (preprocessor)

An instance of a transformer (preprocessor) compatible with the scikit-learn preprocessing API with methods: fit, transform, fit_transform and inverse_transform. ColumnTransformers are not allowed since they do not have inverse_transform method. The transformation is applied to y before training the forecaster.

`None`
transformer_exog object transformer (preprocessor)

An instance of a transformer (preprocessor) compatible with the scikit-learn preprocessing API. The transformation is applied to exog before training the forecaster. inverse_transform is not available when using ColumnTransformers.

`None`
weight_func Callable

Function that defines the individual weights for each sample based on the index. For example, a function that assigns a lower weight to certain dates. Ignored if regressor does not have the argument sample_weight in its fit method. The resulting sample_weight cannot have negative values.

`None`
differentiation int

Order of differencing applied to the time series before training the forecaster. If None, no differencing is applied. The order of differentiation is the number of times the differencing operation is applied to a time series. Differencing involves computing the differences between consecutive data points in the series. Differentiation is reversed in the output of predict() and predict_interval(). WARNING: This argument is newly introduced and requires special attention. It is still experimental and may undergo changes. New in version 0.10.0

`None`
fit_kwargs dict

Additional arguments to be passed to the fit method of the regressor.

`None`
binner_kwargs dict

Additional arguments to pass to the KBinsDiscretizer used to discretize the residuals into k bins according to the predicted values associated with each residual. The encode' argument is always set to 'ordinal' anddtype' to np.float64. New in version 0.12.0

`None`
forecaster_id (str, int)

Name used as an identifier of the forecaster.

`None`

Attributes:

Name Type Description
regressor regressor or pipeline compatible with the scikit-learn API

An instance of a regressor or pipeline compatible with the scikit-learn API.

lags numpy ndarray

Lags used as predictors.

transformer_y object transformer (preprocessor)

An instance of a transformer (preprocessor) compatible with the scikit-learn preprocessing API with methods: fit, transform, fit_transform and inverse_transform. ColumnTransformers are not allowed since they do not have inverse_transform method. The transformation is applied to y before training the forecaster.

transformer_exog object transformer (preprocessor)

An instance of a transformer (preprocessor) compatible with the scikit-learn preprocessing API. The transformation is applied to exog before training the forecaster. inverse_transform is not available when using ColumnTransformers.

weight_func Callable

Function that defines the individual weights for each sample based on the index. For example, a function that assigns a lower weight to certain dates. Ignored if regressor does not have the argument sample_weight in its fit method. The resulting sample_weight cannot have negative values.

differentiation int, default `None`

Order of differencing applied to the time series before training the forecaster. If None, no differencing is applied. The order of differentiation is the number of times the differencing operation is applied to a time series. Differencing involves computing the differences between consecutive data points in the series. Differentiation is reversed in the output of predict() and predict_interval(). WARNING: This argument is newly introduced and requires special attention. It is still experimental and may undergo changes. New in version 0.10.0

binner KBinsDiscretizer

KBinsDiscretizer used to discretize residuals into k bins according to the predicted values associated with each residual. New in version 0.12.0

binner_kwargs dict

Additional arguments to pass to the KBinsDiscretizer used to discretize the residuals into k bins according to the predicted values associated with each residual. The encode' argument is always set to 'ordinal' anddtype' to np.float64. New in version 0.12.0

source_code_weight_func str

Source code of the custom function used to create weights.

differentiation int

Order of differencing applied to the time series before training the forecaster.

differentiator TimeSeriesDifferentiator

Skforecast object used to differentiate the time series.

max_lag int

Maximum value of lag included in lags.

window_size int

Size of the window needed to create the predictors. It is equal to max_lag.

window_size_diff int

Size of the window extended by the order of differentiation. When using differentiation, the window_size is increased by the order of differentiation so that the predictors can be created correctly.

last_window pandas DataFrame

This window represents the most recent data observed by the predictor during its training phase. It contains the values needed to predict the next step immediately after the training data. These values are stored in the original scale of the time series before undergoing any transformations or differentiation. When differentiation parameter is specified, the dimensions of the last_window are expanded as many values as the order of differentiation. For example, if lags = 7 and differentiation = 1, last_window will have 8 values.

index_type type

Type of index of the input used in training.

index_freq str

Frequency of Index of the input used in training.

training_range pandas Index

First and last values of index of the data used during training.

included_exog bool

If the forecaster has been trained using exogenous variable/s.

exog_type type

Type of exogenous data (pandas Series or DataFrame) used in training.

exog_dtypes dict

Type of each exogenous variable/s used in training. If transformer_exog is used, the dtypes are calculated after the transformation.

exog_col_names list

Names of the exogenous variables used during training.

X_train_col_names list

Names of columns of the matrix created internally for training.

fit_kwargs dict

Additional arguments to be passed to the fit method of the regressor.

in_sample_residuals numpy ndarray

Residuals of the model when predicting training data. Only stored up to 1000 values. If transformer_y is not None, residuals are stored in the transformed scale.

in_sample_residuals_by_bin dict

In sample residuals binned according to the predicted value each residual is associated with. Only stored up to 200 values per bin. If transformer_y is not None, residuals are stored in the transformed scale. New in version 0.12.0

out_sample_residuals numpy ndarray

Residuals of the model when predicting non training data. Only stored up to 1000 values. If transformer_y is not None, residuals are assumed to be in the transformed scale. Use set_out_sample_residuals method to set values.

out_sample_residuals_by_bin dict

Out of sample residuals binned according to the predicted value each residual is associated with. Only stored up to 200 values per bin. If transformer_y is not None, residuals are assumed to be in the transformed scale. New in version 0.12.0

fitted bool

Tag to identify if the regressor has been fitted (trained).

creation_date str

Date of creation.

fit_date str

Date of last fit.

skforecast_version str

Version of skforecast library used to create the forecaster.

python_version str

Version of python used to create the forecaster.

forecaster_id (str, int)

Name used as an identifier of the forecaster.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def __init__(
    self,
    regressor: object,
    lags: Union[int, np.ndarray, list],
    transformer_y: Optional[object] = None,
    transformer_exog: Optional[object] = None,
    weight_func: Optional[Callable] = None,
    differentiation: Optional[int] = None,
    fit_kwargs: Optional[dict] = None,
    binner_kwargs: Optional[dict] = None,
    forecaster_id: Optional[Union[str, int]] = None
) -> None:

    self.regressor                   = regressor
    self.transformer_y               = transformer_y
    self.transformer_exog            = transformer_exog
    self.weight_func                 = weight_func
    self.source_code_weight_func     = None
    self.differentiation             = differentiation
    self.differentiator              = None
    self.last_window                 = None
    self.index_type                  = None
    self.index_freq                  = None
    self.training_range              = None
    self.included_exog               = False
    self.exog_type                   = None
    self.exog_dtypes                 = None
    self.exog_col_names              = None
    self.X_train_col_names           = None
    self.in_sample_residuals         = None
    self.out_sample_residuals        = None
    self.in_sample_residuals_by_bin  = None
    self.out_sample_residuals_by_bin = None
    self.fitted                      = False
    self.creation_date               = pd.Timestamp.today().strftime('%Y-%m-%d %H:%M:%S')
    self.fit_date                    = None
    self.skforecast_version          = skforecast.__version__
    self.python_version              = sys.version.split(" ")[0]
    self.forecaster_id               = forecaster_id

    self.lags = initialize_lags(type(self).__name__, lags)
    self.max_lag = max(self.lags)
    self.window_size = self.max_lag
    self.window_size_diff = self.max_lag

    self.binner_kwargs = binner_kwargs
    if binner_kwargs is None:
        self.binner_kwargs = {
            'n_bins': 10, 'encode': 'ordinal', 'strategy': 'quantile',
            'subsample': 10000, 'random_state': 789654, 'dtype': np.float64
        }
    else:
        self.binner_kwargs = binner_kwargs
        self.binner_kwargs['encode'] = 'ordinal'
        self.binner_kwargs['dtype'] = np.float64
    self.binner = KBinsDiscretizer(**self.binner_kwargs)
    self.binner_intervals = None

    if self.differentiation is not None:
        if not isinstance(differentiation, int) or differentiation < 1:
            raise ValueError(
                (f"Argument `differentiation` must be an integer equal to or "
                 f"greater than 1. Got {differentiation}.")
            )
        self.window_size_diff += self.differentiation
        self.differentiator = TimeSeriesDifferentiator(order=self.differentiation)

    self.weight_func, self.source_code_weight_func, _ = initialize_weights(
        forecaster_name = type(self).__name__, 
        regressor       = regressor, 
        weight_func     = weight_func, 
        series_weights  = None
    )

    self.fit_kwargs = check_select_fit_kwargs(
                          regressor  = regressor,
                          fit_kwargs = fit_kwargs
                      )

_create_lags(y)

Transforms a 1d array into a 2d array (X) and a 1d array (y). Each row in X is associated with a value of y and it represents the lags that precede it.

Notice that, the returned matrix X_data, contains the lag 1 in the first column, the lag 2 in the second column and so on.

Parameters:

Name Type Description Default
y numpy ndarray

1d numpy ndarray Training time series.

required

Returns:

Name Type Description
X_data numpy ndarray

2d numpy ndarray with the lagged values (predictors). Shape: (samples - max(self.lags), len(self.lags))

y_data numpy ndarray

1d numpy ndarray with the values of the time series related to each row of X_data. Shape: (samples - max(self.lags), )

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def _create_lags(
    self, 
    y: np.ndarray
) -> Tuple[np.ndarray, np.ndarray]:
    """
    Transforms a 1d array into a 2d array (X) and a 1d array (y). Each row
    in X is associated with a value of y and it represents the lags that
    precede it.

    Notice that, the returned matrix X_data, contains the lag 1 in the first
    column, the lag 2 in the second column and so on.

    Parameters
    ----------
    y : numpy ndarray
        1d numpy ndarray Training time series.

    Returns
    -------
    X_data : numpy ndarray
        2d numpy ndarray with the lagged values (predictors). 
        Shape: (samples - max(self.lags), len(self.lags))
    y_data : numpy ndarray
        1d numpy ndarray with the values of the time series related to each 
        row of `X_data`. 
        Shape: (samples - max(self.lags), )

    """

    n_splits = len(y) - self.max_lag
    if n_splits <= 0:
        raise ValueError(
            (f"The maximum lag ({self.max_lag}) must be less than the length "
             f"of the series ({len(y)}).")
        )

    X_data = np.full(shape=(n_splits, len(self.lags)), fill_value=np.nan, dtype=float)

    for i, lag in enumerate(self.lags):
        X_data[:, i] = y[self.max_lag - lag: -lag]

    y_data = y[self.max_lag:]

    return X_data, y_data

create_train_X_y(y, exog=None)

Create training matrices from univariate time series and exogenous variables.

Parameters:

Name Type Description Default
y pandas Series

Training time series.

required
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s. Must have the same number of observations as y and their indexes must be aligned.

`None`

Returns:

Name Type Description
X_train pandas DataFrame

Training values (predictors). Shape: (len(y) - self.max_lag, len(self.lags))

y_train pandas Series

Values (target) of the time series related to each row of X_train. Shape: (len(y) - self.max_lag, )

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def create_train_X_y(
    self,
    y: pd.Series,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None
) -> Tuple[pd.DataFrame, pd.Series]:
    """
    Create training matrices from univariate time series and exogenous
    variables.

    Parameters
    ----------
    y : pandas Series
        Training time series.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s. Must have the same
        number of observations as `y` and their indexes must be aligned.

    Returns
    -------
    X_train : pandas DataFrame
        Training values (predictors).
        Shape: (len(y) - self.max_lag, len(self.lags))
    y_train : pandas Series
        Values (target) of the time series related to each row of `X_train`.
        Shape: (len(y) - self.max_lag, )

    """

    check_y(y=y)
    y = input_to_frame(data=y, input_name='y')

    fit_transformer = False if self.fitted else True
    y = transform_dataframe(
            df                = y, 
            transformer       = self.transformer_y,
            fit               = fit_transformer,
            inverse_transform = False,
        )
    y_values, y_index = preprocess_y(y=y)

    if self.differentiation is not None:
        if not self.fitted:
            y_values = self.differentiator.fit_transform(y_values)
        else:
            differentiator = clone(self.differentiator)
            y_values = differentiator.fit_transform(y_values)

    if exog is not None:
        check_exog(exog=exog, allow_nan=True)
        exog = input_to_frame(data=exog, input_name='exog')
        if len(exog) != len(y):
            raise ValueError(
                (f"`exog` must have same number of samples as `y`. "
                 f"length `exog`: ({len(exog)}), length `y`: ({len(y)})")
            )

        exog = transform_dataframe(
                   df                = exog,
                   transformer       = self.transformer_exog,
                   fit               = fit_transformer,
                   inverse_transform = False
               )

        check_exog_dtypes(exog, call_check_exog=True)

        _, exog_index = preprocess_exog(exog=exog, return_values=False)
        if not (exog_index[:len(y_index)] == y_index).all():
            raise ValueError(
                ("Different index for `y` and `exog`. They must be equal "
                 "to ensure the correct alignment of values.")
            )

    X_train, y_train = self._create_lags(y=y_values)
    X_train_col_names = [f"lag_{i}" for i in self.lags]
    X_train = pd.DataFrame(
                  data    = X_train,
                  columns = X_train_col_names,
                  index   = y_index[self.max_lag:]
              )

    if exog is not None:
        # The first `self.max_lag` positions have to be removed from exog
        # since they are not in X_train.
        exog_to_train = exog.iloc[self.max_lag:, ]
        exog_to_train.index = exog_index[self.max_lag:]
        X_train = pd.concat((X_train, exog_to_train), axis=1)

    # TODO: move self to fit method and make X_train_col_names a return
    if not self.fitted:
        self.X_train_col_names = X_train.columns.to_list()

    # TODO: DataFrame or Series?
    y_train = pd.Series(
                  data  = y_train,
                  index = y_index[self.max_lag:],
                  name  = 'y'
              )

    if self.differentiation is not None:
        X_train = X_train.iloc[self.differentiation:]
        y_train = y_train.iloc[self.differentiation:]

    return X_train, y_train

create_sample_weights(X_train)

Crate weights for each observation according to the forecaster's attribute weight_func.

Parameters:

Name Type Description Default
X_train pandas DataFrame

Dataframe created with the create_train_X_y method, first return.

required

Returns:

Name Type Description
sample_weight numpy ndarray

Weights to use in fit method.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def create_sample_weights(
    self,
    X_train: pd.DataFrame,
) -> np.ndarray:
    """
    Crate weights for each observation according to the forecaster's attribute
    `weight_func`.

    Parameters
    ----------
    X_train : pandas DataFrame
        Dataframe created with the `create_train_X_y` method, first return.

    Returns
    -------
    sample_weight : numpy ndarray
        Weights to use in `fit` method.

    """

    sample_weight = None

    if self.weight_func is not None:
        sample_weight = self.weight_func(X_train.index)

    if sample_weight is not None:
        if np.isnan(sample_weight).any():
            raise ValueError(
                "The resulting `sample_weight` cannot have NaN values."
            )
        if np.any(sample_weight < 0):
            raise ValueError(
                "The resulting `sample_weight` cannot have negative values."
            )
        if np.sum(sample_weight) == 0:
            raise ValueError(
                ("The resulting `sample_weight` cannot be normalized because "
                 "the sum of the weights is zero.")
            )

    return sample_weight

fit(y, exog=None, store_last_window=True, store_in_sample_residuals=True)

Training Forecaster.

Additional arguments to be passed to the fit method of the regressor can be added with the fit_kwargs argument when initializing the forecaster.

Parameters:

Name Type Description Default
y pandas Series

Training time series.

required
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s. Must have the same number of observations as y and their indexes must be aligned so that y[i] is regressed on exog[i].

`None`
store_last_window bool

Whether or not to store the last window of training data.

`True`
store_in_sample_residuals bool

If True, in-sample residuals will be stored in the forecaster object after fitting.

`True`

Returns:

Type Description
None
Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def fit(
    self,
    y: pd.Series,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None,
    store_last_window: bool = True,
    store_in_sample_residuals: bool = True
) -> None:
    """
    Training Forecaster.

    Additional arguments to be passed to the `fit` method of the regressor 
    can be added with the `fit_kwargs` argument when initializing the forecaster.

    Parameters
    ----------
    y : pandas Series
        Training time series.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s. Must have the same
        number of observations as `y` and their indexes must be aligned so
        that y[i] is regressed on exog[i].
    store_last_window : bool, default `True`
        Whether or not to store the last window of training data.
    store_in_sample_residuals : bool, default `True`
        If `True`, in-sample residuals will be stored in the forecaster object
        after fitting.

    Returns
    -------
    None

    """

    # Reset values in case the forecaster has already been fitted.
    self.index_type          = None
    self.index_freq          = None
    self.last_window         = None
    self.included_exog       = False
    self.exog_type           = None
    self.exog_dtypes         = None
    self.exog_col_names      = None
    self.X_train_col_names   = None
    self.in_sample_residuals = None
    self.fitted              = False
    self.training_range      = None

    X_train, y_train = self.create_train_X_y(y=y, exog=exog)
    sample_weight = self.create_sample_weights(X_train=X_train)

    if sample_weight is not None:
        self.regressor.fit(X=X_train, y=y_train, sample_weight=sample_weight,
                           **self.fit_kwargs)
    else:
        self.regressor.fit(X=X_train, y=y_train, **self.fit_kwargs)

    self.fitted = True
    self.fit_date = pd.Timestamp.today().strftime('%Y-%m-%d %H:%M:%S')
    self.training_range = preprocess_y(y=y, return_values=False)[1][[0, -1]]
    self.index_type = type(X_train.index)
    if isinstance(X_train.index, pd.DatetimeIndex):
        self.index_freq = X_train.index.freqstr
    else: 
        self.index_freq = X_train.index.step

    if exog is not None:
        self.included_exog = True
        self.exog_type = type(exog)
        self.exog_dtypes = get_exog_dtypes(exog=exog)
        self.exog_col_names = (
            exog.columns.to_list()
            if isinstance(exog, pd.DataFrame)
            else [exog.name]
        )

    # This is done to save time during fit in functions such as backtesting()
    if store_in_sample_residuals:
        in_sample_predictions = pd.Series(
                                    data  = self.regressor.predict(X_train),
                                    index = X_train.index
                                )
        self._binning_in_sample_residuals(
            y_true = y_train,
            y_pred = in_sample_predictions
        )

    # The last time window of training data is stored so that lags needed as
    # predictors in the first iteration of `predict()` can be calculated. It
    # also includes the values need to calculate the diferenctiation.
    if store_last_window:
        self.last_window = (
            y.iloc[-self.window_size_diff:]
            .copy()
            .to_frame(name=y.name if y.name is not None else 'y')
        )

_binning_in_sample_residuals(y_true, y_pred, random_state=95123)

Binning residuals according to the predicted value each residual is associated with. First a sklearn.preprocessing.KBinsDiscretizer is fitted to the predicted values. Then, residuals are binned according to the predicted value each residual is associated with. Residuals are stored in the forecaster object as in_sample_residuals and in_sample_residuals_by_bin. Only up to 200 residuals are stored per bin.

Parameters:

Name Type Description Default
y_true pandas Series

True values of the time series.

required
y_pred pandas Series

Predicted values of the time series.

required
random_state int

Set a seed for the random generator so that the stored sample residuals are always deterministic.

`95123`

Returns:

Type Description
None
Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def _binning_in_sample_residuals(
    self,
    y_true: pd.Series,
    y_pred: pd.Series,
    random_state: int = 95123
) -> None:
    """
    Binning residuals according to the predicted value each residual is
    associated with. First a sklearn.preprocessing.KBinsDiscretizer
    is fitted to the predicted values. Then, residuals are binned according
    to the predicted value each residual is associated with. Residuals are
    stored in the forecaster object as `in_sample_residuals` and
    `in_sample_residuals_by_bin`. Only up to 200 residuals are stored per bin.

    Parameters
    ----------
    y_true : pandas Series
        True values of the time series.
    y_pred : pandas Series
        Predicted values of the time series.  
    random_state : int, default `95123`
        Set a seed for the random generator so that the stored sample 
        residuals are always deterministic.

    Returns
    -------
    None

    """

    y_pred = y_pred.rename('prediction')
    residuals = (y_true - y_pred).rename('residual')
    data = pd.merge(
               residuals,
               y_pred,
               left_index  = True,
               right_index = True
           )
    self.binner.fit(data[['prediction']].to_numpy())
    data['bin'] = self.binner.transform(data[['prediction']].to_numpy()).astype(int)
    self.in_sample_residuals_by_bin = (
        data.groupby('bin')['residual'].apply(np.array).to_dict()
    )

    # Only up to 200 residuals are stored per bin
    for k, v in self.in_sample_residuals_by_bin.items():
        # TODO: Include `random_state` in fit method to allow the user
        # change the residual sample stored.
        rng = np.random.default_rng(seed=random_state)
        if len(v) > 200:
            sample = rng.choice(a=v, size=200, replace=False)
            self.in_sample_residuals_by_bin[k] = sample

    self.in_sample_residuals = np.concatenate(list(
        self.in_sample_residuals_by_bin.values()
    ))

    self.binner_intervals = {
        i: (
            self.binner.bin_edges_[0][i],
            (
                self.binner.bin_edges_[0][i + 1]
                if i + 1 < len(self.binner.bin_edges_[0])
                else None
            ),
        )
        for i in range(len(self.binner.bin_edges_[0]) - 1)
    }

_create_predict_inputs(steps, last_window=None, exog=None)

Create inputs needed for the first iteration of the prediction process. Since it is a recursive process, last window is updated at each iteration of the prediction process.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window pandas Series, pandas DataFrame

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1). If last_window = None, the values stored in self.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`

Returns:

Name Type Description
last_window_values numpy ndarray

Series predictors.

last_window_index pandas Index

Last window Index.

exog_values numpy ndarray, default `None`

Exogenous variable/s included as predictor/s.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def _create_predict_inputs(
    self,
    steps: int,
    last_window: Optional[Union[pd.Series, pd.DataFrame]] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None
) -> Tuple[np.ndarray, np.ndarray, pd.Index]:
    """
    Create inputs needed for the first iteration of the prediction process. 
    Since it is a recursive process, last window is updated at each 
    iteration of the prediction process.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : pandas Series, pandas DataFrame, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
        If `last_window = None`, the values stored in `self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.

    Returns
    -------
    last_window_values : numpy ndarray
        Series predictors.
    last_window_index : pandas Index
        Last window Index.
    exog_values : numpy ndarray, default `None`
        Exogenous variable/s included as predictor/s.

    """

    if last_window is None:
        last_window = self.last_window

    check_predict_input(
        forecaster_name  = type(self).__name__,
        steps            = steps,
        fitted           = self.fitted,
        included_exog    = self.included_exog,
        index_type       = self.index_type,
        index_freq       = self.index_freq,
        window_size      = self.window_size_diff,
        last_window      = last_window,
        last_window_exog = None,
        exog             = exog,
        exog_type        = self.exog_type,
        exog_col_names   = self.exog_col_names,
        interval         = None,
        alpha            = None,
        max_steps        = None,
        levels           = None,
        series_col_names = None
    )

    last_window = last_window.iloc[-self.window_size_diff:].copy()
    last_window = input_to_frame(data=last_window, input_name='last_window')

    if exog is not None:
        exog = input_to_frame(data=exog, input_name='exog')
        exog = exog.loc[:, self.exog_col_names]
        exog = transform_dataframe(
                   df                = exog,
                   transformer       = self.transformer_exog,
                   fit               = False,
                   inverse_transform = False
               )
        check_exog_dtypes(exog=exog)
        exog_values = exog.to_numpy()[:steps]
    else:
        exog_values = None

    last_window = transform_dataframe(
                      df                = last_window,
                      transformer       = self.transformer_y,
                      fit               = False,
                      inverse_transform = False
                  )
    last_window_values, last_window_index = preprocess_last_window(
                                                last_window = last_window
                                            )
    if self.differentiation is not None:
        last_window_values = self.differentiator.fit_transform(last_window_values)

    return last_window_values, last_window_index, exog_values

_recursive_predict(steps, last_window, exog=None)

Predict n steps ahead. It is an iterative process in which, each prediction, is used as a predictor for the next step.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window numpy ndarray

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1).

required
exog numpy ndarray

Exogenous variable/s included as predictor/s.

`None`

Returns:

Name Type Description
predictions numpy ndarray

Predicted values.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def _recursive_predict(
    self,
    steps: int,
    last_window: np.ndarray,
    exog: Optional[np.ndarray] = None
) -> np.ndarray:
    """
    Predict n steps ahead. It is an iterative process in which, each prediction,
    is used as a predictor for the next step.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : numpy ndarray
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
    exog : numpy ndarray, default `None`
        Exogenous variable/s included as predictor/s.

    Returns
    -------
    predictions : numpy ndarray
        Predicted values.

    """

    predictions = np.full(shape=steps, fill_value=np.nan)
    last_window = np.concatenate((last_window, predictions))

    for i in range(steps):

        X = last_window[-self.lags - (steps - i)].reshape(1, -1)
        if exog is not None:
            X = np.column_stack((X, exog[i, ].reshape(1, -1)))

        with warnings.catch_warnings():
            # Suppress scikit-learn warning: "X does not have valid feature names,
            # but NoOpTransformer was fitted with feature names".
            warnings.simplefilter("ignore", category=UserWarning)
            prediction = self.regressor.predict(X).ravel()[0]
            predictions[i] = prediction

        # Update `last_window` values. The first position is discarded and 
        # the new prediction is added at the end.
        last_window[-(steps - i)] = prediction

    return predictions

create_predict_X(steps, last_window=None, exog=None)

Create the predictors needed to predict steps ahead. As it is a recursive process, the predictors are created at each iteration of the prediction process.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window pandas Series, pandas DataFrame

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1). If last_window = None, the values stored in self.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`

Returns:

Name Type Description
X_predict pandas DataFrame

Pandas DataFrame with the predictors for each step. The index is the same as the prediction index.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def create_predict_X(
    self,
    steps: int,
    last_window: Optional[Union[pd.Series, pd.DataFrame]] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None
) -> pd.DataFrame:
    """
    Create the predictors needed to predict `steps` ahead. As it is a recursive
    process, the predictors are created at each iteration of the prediction 
    process.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : pandas Series, pandas DataFrame, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
        If `last_window = None`, the values stored in `self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.

    Returns
    -------
    X_predict : pandas DataFrame
        Pandas DataFrame with the predictors for each step. The index 
        is the same as the prediction index.

    """

    last_window_values, _, exog_values = self._create_predict_inputs(
        steps=steps, last_window=last_window, exog=exog
    )

    predictions = self.predict(
                      steps       = steps,
                      last_window = last_window,
                      exog        = exog
                  )

    full_predictors = np.concatenate((last_window_values, predictions))
    idx = np.arange(-steps, 0)[:, None] - self.lags
    X_predict = full_predictors[idx + len(full_predictors)]
    if exog is not None:
        X_predict = np.concatenate([X_predict, exog_values], axis=1)

    X_predict = pd.DataFrame(
                    data    = X_predict,
                    columns = self.X_train_col_names,
                    index   = predictions.index
                )

    return X_predict

predict(steps, last_window=None, exog=None)

Predict n steps ahead. It is an recursive process in which, each prediction, is used as a predictor for the next step.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window pandas Series, pandas DataFrame

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1). If last_window = None, the values stored in self.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`

Returns:

Name Type Description
predictions pandas Series

Predicted values.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def predict(
    self,
    steps: int,
    last_window: Optional[Union[pd.Series, pd.DataFrame]] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None
) -> pd.Series:
    """
    Predict n steps ahead. It is an recursive process in which, each prediction,
    is used as a predictor for the next step.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : pandas Series, pandas DataFrame, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
        If `last_window = None`, the values stored in `self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.

    Returns
    -------
    predictions : pandas Series
        Predicted values.

    """

    last_window_values, last_window_index, exog_values = self._create_predict_inputs(
        steps=steps, last_window=last_window, exog=exog
    )

    predictions = self._recursive_predict(
                      steps       = steps,
                      last_window = last_window_values,
                      exog        = exog_values
                  )

    if self.differentiation is not None:
        predictions = self.differentiator.inverse_transform_next_window(predictions)

    predictions = pd.Series(
                      data  = predictions,
                      index = expand_index(
                                  index = last_window_index,
                                  steps = steps
                              ),
                      name = 'pred'
                  )

    predictions = transform_series(
                      series            = predictions,
                      transformer       = self.transformer_y,
                      fit               = False,
                      inverse_transform = True
                  )

    return predictions

predict_bootstrapping(steps, last_window=None, exog=None, n_boot=250, random_state=123, in_sample_residuals=True, binned_residuals=False)

Generate multiple forecasting predictions using a bootstrapping process. By sampling from a collection of past observed errors (the residuals), each iteration of bootstrapping generates a different set of predictions. See the Notes section for more information.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window pandas Series

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1). If last_window = None, the values stored in self.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`
n_boot int

Number of bootstrapping iterations used to estimate predictions.

`500`
random_state int

Sets a seed to the random generator, so that boot predictions are always deterministic.

`123`
in_sample_residuals bool

If True, residuals from the training data are used as proxy of prediction error to create predictions. If False, out of sample residuals are used. In the latter case, the user should have calculated and stored the residuals within the forecaster (see set_out_sample_residuals()).

`True`
binned_residuals bool

If True, residuals used in each bootstrapping iteration are selected conditioning on the predicted values. If False, residuals are selected randomly without conditioning on the predicted values. WARNING: This argument is newly introduced and requires special attention. It is still experimental and may undergo changes. New in version 0.12.0

`False`

Returns:

Name Type Description
boot_predictions pandas DataFrame

Predictions generated by bootstrapping. Shape: (steps, n_boot)

Notes

More information about prediction intervals in forecasting: https://otexts.com/fpp3/prediction-intervals.html#prediction-intervals-from-bootstrapped-residuals Forecasting: Principles and Practice (3nd ed) Rob J Hyndman and George Athanasopoulos.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def predict_bootstrapping(
    self,
    steps: int,
    last_window: Optional[pd.Series] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None,
    n_boot: int = 250,
    random_state: int = 123,
    in_sample_residuals: bool = True,
    binned_residuals: bool = False,
) -> pd.DataFrame:
    """
    Generate multiple forecasting predictions using a bootstrapping process. 
    By sampling from a collection of past observed errors (the residuals),
    each iteration of bootstrapping generates a different set of predictions. 
    See the Notes section for more information. 

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : pandas Series, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
        If `last_window = None`, the values stored in `self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.
    n_boot : int, default `500`
        Number of bootstrapping iterations used to estimate predictions.
    random_state : int, default `123`
        Sets a seed to the random generator, so that boot predictions are always 
        deterministic.
    in_sample_residuals : bool, default `True`
        If `True`, residuals from the training data are used as proxy of
        prediction error to create predictions. If `False`, out of sample 
        residuals are used. In the latter case, the user should have
        calculated and stored the residuals within the forecaster (see
        `set_out_sample_residuals()`).
    binned_residuals : bool, default `False`
        If `True`, residuals used in each bootstrapping iteration are selected
        conditioning on the predicted values. If `False`, residuals are selected
        randomly without conditioning on the predicted values.
        **WARNING: This argument is newly introduced and requires special attention.
        It is still experimental and may undergo changes.**
        **New in version 0.12.0**

    Returns
    -------
    boot_predictions : pandas DataFrame
        Predictions generated by bootstrapping.
        Shape: (steps, n_boot)

    Notes
    -----
    More information about prediction intervals in forecasting:
    https://otexts.com/fpp3/prediction-intervals.html#prediction-intervals-from-bootstrapped-residuals
    Forecasting: Principles and Practice (3nd ed) Rob J Hyndman and George Athanasopoulos.

    """

    # TODO: Move to check_predict_input(), validate why it was not there.
    if not in_sample_residuals:
        if not binned_residuals and self.out_sample_residuals is None:
            raise ValueError(
                ("`forecaster.out_sample_residuals` is `None`. Use "
                 "`in_sample_residuals=True` or method `set_out_sample_residuals()` "
                 "before `predict_interval()`, `predict_bootstrapping()`, "
                 "`predict_quantiles()` or `predict_dist()`.")
            )
        if binned_residuals and self.out_sample_residuals_by_bin is None:
            raise ValueError(
                ("`forecaster.out_sample_residuals_by_bin` is `None`. Use "
                 "`in_sample_residuals=True` or method `set_out_sample_residuals()` "
                 "before `predict_interval()`, `predict_bootstrapping()`, "
                 "`predict_quantiles()` or `predict_dist()`.")
            )

    last_window_values, last_window_index, exog_values = self._create_predict_inputs(
        steps=steps, last_window=last_window, exog=exog
    )

    boot_predictions = np.full(
                           shape      = (steps, n_boot),
                           fill_value = np.nan,
                           dtype      = float
                       )
    rng = np.random.default_rng(seed=random_state)
    seeds = rng.integers(low=0, high=10000, size=n_boot)

    if in_sample_residuals:
        residuals = self.in_sample_residuals
        residuals_by_bin = self.in_sample_residuals_by_bin
    else:
        residuals = self.out_sample_residuals
        residuals_by_bin = self.out_sample_residuals_by_bin

    for i in range(n_boot):
        # In each bootstraping iteration the initial last_window and exog
        # need to be restored.
        last_window_boot = last_window_values.copy()
        exog_boot = exog_values.copy() if exog is not None else None

        rng = np.random.default_rng(seed=seeds[i])
        if not binned_residuals:
            sampled_residuals = rng.choice(
                                    a       = residuals,
                                    size    = steps,
                                    replace = True
                                )

        for step in range(steps):

            prediction = self._recursive_predict(
                             steps       = 1,
                             last_window = last_window_boot,
                             exog        = exog_boot
                         )
            if binned_residuals:
                predicted_bin = (
                    self.binner.transform(prediction.reshape(1, -1)).astype(int)[0][0]
                )
                sampled_residual = rng.choice(a=residuals_by_bin[predicted_bin], size=1)
            else:
                sampled_residual = sampled_residuals[step]

            prediction_with_residual  = prediction + sampled_residual
            boot_predictions[step, i] = prediction_with_residual[0]
            last_window_boot = np.append(
                                   last_window_boot[1:],
                                   prediction_with_residual
                               )
            if exog is not None:
                exog_boot = exog_boot[1:]

        if self.differentiation is not None:
            boot_predictions[:, i] = (
                self.differentiator.inverse_transform_next_window(boot_predictions[:, i])
            )

    boot_predictions = pd.DataFrame(
                           data    = boot_predictions,
                           index   = expand_index(last_window_index, steps=steps),
                           columns = [f"pred_boot_{i}" for i in range(n_boot)]
                       )

    if self.transformer_y:
        for col in boot_predictions.columns:
            boot_predictions[col] = transform_series(
                                        series            = boot_predictions[col],
                                        transformer       = self.transformer_y,
                                        fit               = False,
                                        inverse_transform = True
                                    )

    return boot_predictions

predict_interval(steps, last_window=None, exog=None, interval=[5, 95], n_boot=250, random_state=123, in_sample_residuals=True, binned_residuals=False)

Iterative process in which each prediction is used as a predictor for the next step, and bootstrapping is used to estimate prediction intervals. Both predictions and intervals are returned.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window pandas Series

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1). If last_window = None, the values stored inself.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`
interval list

Confidence of the prediction interval estimated. Sequence of percentiles to compute, which must be between 0 and 100 inclusive. For example, interval of 95% should be as interval = [2.5, 97.5].

`[5, 95]`
n_boot int

Number of bootstrapping iterations used to estimate predictions.

`500`
random_state int

Sets a seed to the random generator, so that boot predictions are always deterministic.

`123`
in_sample_residuals bool

If True, residuals from the training data are used as proxy of prediction error to create predictions. If False, out of sample residuals are used. In the latter case, the user should have calculated and stored the residuals within the forecaster (see set_out_sample_residuals()).

`True`
binned_residuals bool

If True, residuals used in each bootstrapping iteration are selected conditioning on the predicted values. If False, residuals are selected randomly without conditioning on the predicted values. WARNING: This argument is newly introduced and requires special attention. It is still experimental and may undergo changes. New in version 0.12.0

`False`

Returns:

Name Type Description
predictions pandas DataFrame

Values predicted by the forecaster and their estimated interval.

  • pred: predictions.
  • lower_bound: lower bound of the interval.
  • upper_bound: upper bound of the interval.
Notes

More information about prediction intervals in forecasting: https://otexts.com/fpp2/prediction-intervals.html Forecasting: Principles and Practice (2nd ed) Rob J Hyndman and George Athanasopoulos.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def predict_interval(
    self,
    steps: int,
    last_window: Optional[pd.Series] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None,
    interval: list = [5, 95],
    n_boot: int = 250,
    random_state: int = 123,
    in_sample_residuals: bool = True,
    binned_residuals: bool = False
) -> pd.DataFrame:
    """
    Iterative process in which each prediction is used as a predictor
    for the next step, and bootstrapping is used to estimate prediction
    intervals. Both predictions and intervals are returned.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : pandas Series, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
        If `last_window = None`, the values stored in` self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.
    interval : list, default `[5, 95]`
        Confidence of the prediction interval estimated. Sequence of 
        percentiles to compute, which must be between 0 and 100 inclusive. 
        For example, interval of 95% should be as `interval = [2.5, 97.5]`.
    n_boot : int, default `500`
        Number of bootstrapping iterations used to estimate predictions.
    random_state : int, default `123`
        Sets a seed to the random generator, so that boot predictions are always 
        deterministic.
    in_sample_residuals : bool, default `True`
        If `True`, residuals from the training data are used as proxy of
        prediction error to create predictions. If `False`, out of sample 
        residuals are used. In the latter case, the user should have
        calculated and stored the residuals within the forecaster (see
        `set_out_sample_residuals()`).
    binned_residuals : bool, default `False`
        If `True`, residuals used in each bootstrapping iteration are selected
        conditioning on the predicted values. If `False`, residuals are selected
        randomly without conditioning on the predicted values.
        **WARNING: This argument is newly introduced and requires special attention.
        It is still experimental and may undergo changes.**
        **New in version 0.12.0**

    Returns
    -------
    predictions : pandas DataFrame
        Values predicted by the forecaster and their estimated interval.

        - pred: predictions.
        - lower_bound: lower bound of the interval.
        - upper_bound: upper bound of the interval.

    Notes
    -----
    More information about prediction intervals in forecasting:
    https://otexts.com/fpp2/prediction-intervals.html
    Forecasting: Principles and Practice (2nd ed) Rob J Hyndman and
    George Athanasopoulos.

    """

    check_interval(interval=interval)

    predictions = self.predict(
                      steps       = steps,
                      last_window = last_window,
                      exog        = exog
                  )

    boot_predictions = self.predict_bootstrapping(
                           steps               = steps,
                           last_window         = last_window,
                           exog                = exog,
                           n_boot              = n_boot,
                           random_state        = random_state,
                           in_sample_residuals = in_sample_residuals,
                           binned_residuals    = binned_residuals
                       )

    interval = np.array(interval) / 100
    predictions_interval = boot_predictions.quantile(q=interval, axis=1).transpose()
    predictions_interval.columns = ['lower_bound', 'upper_bound']
    predictions = pd.concat((predictions, predictions_interval), axis=1)

    return predictions

predict_quantiles(steps, last_window=None, exog=None, quantiles=[0.05, 0.5, 0.95], n_boot=250, random_state=123, in_sample_residuals=True, binned_residuals=False)

Calculate the specified quantiles for each step. After generating multiple forecasting predictions through a bootstrapping process, each quantile is calculated for each step.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
last_window pandas Series

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1). If last_window = None, the values stored inself.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`
quantiles list

Sequence of quantiles to compute, which must be between 0 and 1 inclusive. For example, quantiles of 0.05, 0.5 and 0.95 should be as quantiles = [0.05, 0.5, 0.95].

`[0.05, 0.5, 0.95]`
n_boot int

Number of bootstrapping iterations used to estimate quantiles.

`500`
random_state int

Sets a seed to the random generator, so that boot quantiles are always deterministic.

`123`
in_sample_residuals bool

If True, residuals from the training data are used as proxy of prediction error to create prediction quantiles. If False, out of sample residuals are used. In the latter case, the user should have calculated and stored the residuals within the forecaster (see set_out_sample_residuals()).

`True`
binned_residuals bool

If True, residuals used in each bootstrapping iteration are selected conditioning on the predicted values. If False, residuals are selected randomly without conditioning on the predicted values. WARNING: This argument is newly introduced and requires special attention. It is still experimental and may undergo changes. New in version 0.12.0

`False`

Returns:

Name Type Description
predictions pandas DataFrame

Quantiles predicted by the forecaster.

Notes

More information about prediction intervals in forecasting: https://otexts.com/fpp2/prediction-intervals.html Forecasting: Principles and Practice (2nd ed) Rob J Hyndman and George Athanasopoulos.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def predict_quantiles(
    self,
    steps: int,
    last_window: Optional[pd.Series] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None,
    quantiles: list = [0.05, 0.5, 0.95],
    n_boot: int = 250,
    random_state: int = 123,
    in_sample_residuals: bool = True,
    binned_residuals: bool = False
) -> pd.DataFrame:
    """
    Calculate the specified quantiles for each step. After generating 
    multiple forecasting predictions through a bootstrapping process, each 
    quantile is calculated for each step.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    last_window : pandas Series, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).
        If `last_window = None`, the values stored in` self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.
    quantiles : list, default `[0.05, 0.5, 0.95]`
        Sequence of quantiles to compute, which must be between 0 and 1 
        inclusive. For example, quantiles of 0.05, 0.5 and 0.95 should be as 
        `quantiles = [0.05, 0.5, 0.95]`.
    n_boot : int, default `500`
        Number of bootstrapping iterations used to estimate quantiles.
    random_state : int, default `123`
        Sets a seed to the random generator, so that boot quantiles are always 
        deterministic.
    in_sample_residuals : bool, default `True`
        If `True`, residuals from the training data are used as proxy of
        prediction error to create prediction quantiles. If `False`, out of
        sample residuals are used. In the latter case, the user should have
        calculated and stored the residuals within the forecaster (see
        `set_out_sample_residuals()`).
    binned_residuals : bool, default `False`
        If `True`, residuals used in each bootstrapping iteration are selected
        conditioning on the predicted values. If `False`, residuals are selected
        randomly without conditioning on the predicted values.
        **WARNING: This argument is newly introduced and requires special attention.
        It is still experimental and may undergo changes.**
        **New in version 0.12.0**

    Returns
    -------
    predictions : pandas DataFrame
        Quantiles predicted by the forecaster.

    Notes
    -----
    More information about prediction intervals in forecasting:
    https://otexts.com/fpp2/prediction-intervals.html
    Forecasting: Principles and Practice (2nd ed) Rob J Hyndman and
    George Athanasopoulos.

    """

    check_interval(quantiles=quantiles)

    boot_predictions = self.predict_bootstrapping(
                           steps               = steps,
                           last_window         = last_window,
                           exog                = exog,
                           n_boot              = n_boot,
                           random_state        = random_state,
                           in_sample_residuals = in_sample_residuals,
                           binned_residuals    = binned_residuals
                       )

    predictions = boot_predictions.quantile(q=quantiles, axis=1).transpose()
    predictions.columns = [f'q_{q}' for q in quantiles]

    return predictions

predict_dist(steps, distribution, last_window=None, exog=None, n_boot=250, random_state=123, in_sample_residuals=True, binned_residuals=False)

Fit a given probability distribution for each step. After generating multiple forecasting predictions through a bootstrapping process, each step is fitted to the given distribution.

Parameters:

Name Type Description Default
steps int

Number of future steps predicted.

required
distribution Object

A distribution object from scipy.stats.

required
last_window pandas Series

Series values used to create the predictors (lags) needed in the first iteration of the prediction (t + 1).
If last_window = None, the values stored inself.last_window are used to calculate the initial predictors, and the predictions start right after training data.

`None`
exog pandas Series, pandas DataFrame

Exogenous variable/s included as predictor/s.

`None`
n_boot int

Number of bootstrapping iterations used to estimate predictions.

`500`
random_state int

Sets a seed to the random generator, so that boot predictions are always deterministic.

`123`
in_sample_residuals bool

If True, residuals from the training data are used as proxy of prediction error to create predictions. If False, out of sample residuals are used. In the latter case, the user should have calculated and stored the residuals within the forecaster (see set_out_sample_residuals()).

`True`
binned_residuals bool

If True, residuals used in each bootstrapping iteration are selected conditioning on the predicted values. If False, residuals are selected randomly without conditioning on the predicted values. WARNING: This argument is newly introduced and requires special attention. It is still experimental and may undergo changes. New in version 0.12.0

`False`

Returns:

Name Type Description
predictions pandas DataFrame

Distribution parameters estimated for each step.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def predict_dist(
    self,
    steps: int,
    distribution: object,
    last_window: Optional[pd.Series] = None,
    exog: Optional[Union[pd.Series, pd.DataFrame]] = None,
    n_boot: int = 250,
    random_state: int = 123,
    in_sample_residuals: bool = True,
    binned_residuals: bool = False
) -> pd.DataFrame:
    """
    Fit a given probability distribution for each step. After generating 
    multiple forecasting predictions through a bootstrapping process, each 
    step is fitted to the given distribution.

    Parameters
    ----------
    steps : int
        Number of future steps predicted.
    distribution : Object
        A distribution object from scipy.stats.
    last_window : pandas Series, default `None`
        Series values used to create the predictors (lags) needed in the 
        first iteration of the prediction (t + 1).  
        If `last_window = None`, the values stored in` self.last_window` are
        used to calculate the initial predictors, and the predictions start
        right after training data.
    exog : pandas Series, pandas DataFrame, default `None`
        Exogenous variable/s included as predictor/s.
    n_boot : int, default `500`
        Number of bootstrapping iterations used to estimate predictions.
    random_state : int, default `123`
        Sets a seed to the random generator, so that boot predictions are always 
        deterministic.
    in_sample_residuals : bool, default `True`
        If `True`, residuals from the training data are used as proxy of
        prediction error to create predictions. If `False`, out of sample 
        residuals are used. In the latter case, the user should have
        calculated and stored the residuals within the forecaster (see
        `set_out_sample_residuals()`).
    binned_residuals : bool, default `False`
        If `True`, residuals used in each bootstrapping iteration are selected
        conditioning on the predicted values. If `False`, residuals are selected
        randomly without conditioning on the predicted values.
        **WARNING: This argument is newly introduced and requires special attention.
        It is still experimental and may undergo changes.**
        **New in version 0.12.0**

    Returns
    -------
    predictions : pandas DataFrame
        Distribution parameters estimated for each step.

    """

    boot_samples = self.predict_bootstrapping(
                       steps               = steps,
                       last_window         = last_window,
                       exog                = exog,
                       n_boot              = n_boot,
                       random_state        = random_state,
                       in_sample_residuals = in_sample_residuals,
                       binned_residuals    = binned_residuals
                   )       

    param_names = [p for p in inspect.signature(distribution._pdf).parameters
                   if not p == 'x'] + ["loc", "scale"]
    param_values = np.apply_along_axis(
                       lambda x: distribution.fit(x),
                       axis = 1,
                       arr  = boot_samples
                   )
    predictions = pd.DataFrame(
                      data    = param_values,
                      columns = param_names,
                      index   = boot_samples.index
                  )

    return predictions

set_params(params)

Set new values to the parameters of the scikit learn model stored in the forecaster.

Parameters:

Name Type Description Default
params dict

Parameters values.

required

Returns:

Type Description
None
Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def set_params(
    self, 
    params: dict
) -> None:
    """
    Set new values to the parameters of the scikit learn model stored in the
    forecaster.

    Parameters
    ----------
    params : dict
        Parameters values.

    Returns
    -------
    None

    """

    self.regressor = clone(self.regressor)
    self.regressor.set_params(**params)

set_fit_kwargs(fit_kwargs)

Set new values for the additional keyword arguments passed to the fit method of the regressor.

Parameters:

Name Type Description Default
fit_kwargs dict

Dict of the form {"argument": new_value}.

required

Returns:

Type Description
None
Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def set_fit_kwargs(
    self, 
    fit_kwargs: dict
) -> None:
    """
    Set new values for the additional keyword arguments passed to the `fit` 
    method of the regressor.

    Parameters
    ----------
    fit_kwargs : dict
        Dict of the form {"argument": new_value}.

    Returns
    -------
    None

    """

    self.fit_kwargs = check_select_fit_kwargs(self.regressor, fit_kwargs=fit_kwargs)

set_lags(lags)

Set new value to the attribute lags. Attributes max_lag, window_size and window_size_diff are also updated.

Parameters:

Name Type Description Default
lags int, list, numpy ndarray, range

Lags used as predictors. Index starts at 1, so lag 1 is equal to t-1.

  • int: include lags from 1 to lags (included).
  • list, 1d numpy ndarray or range: include only lags present in lags, all elements must be int.
required

Returns:

Type Description
None
Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def set_lags(
    self, 
    lags: Union[int, list, np.ndarray, range]
) -> None:
    """
    Set new value to the attribute `lags`. Attributes `max_lag`, 
    `window_size` and  `window_size_diff` are also updated.

    Parameters
    ----------
    lags : int, list, numpy ndarray, range
        Lags used as predictors. Index starts at 1, so lag 1 is equal to t-1.

        - `int`: include lags from 1 to `lags` (included).
        - `list`, `1d numpy ndarray` or `range`: include only lags present in 
        `lags`, all elements must be int.

    Returns
    -------
    None

    """

    self.lags = initialize_lags(type(self).__name__, lags)
    self.max_lag = max(self.lags)
    self.window_size = max(self.lags)
    self.window_size_diff = max(self.lags)
    if self.differentiation is not None:
        self.window_size_diff += self.differentiation        

set_out_sample_residuals(residuals, y_pred=None, append=True, transform=True, random_state=123)

Set new values to the attribute out_sample_residuals. Out of sample residuals are meant to be calculated using observations that did not participate in the training process. If y_pred is provided, residuals are binned according to the predicted value they are associated with. If y_pred is None, residuals are stored without binning. Only up to 200 residuals are stored per bin.

Parameters:

Name Type Description Default
residuals pandas Series, numpy ndarray

Values of residuals. If y_pred is None, at most 1000 values are stored. If y_pred is not None, at most 200 * n_bins values are stored, where n_bins is the number of bins used in self.binner.

required
y_pred pandas Series, numpy ndarray

Predicted values of the time series from which the residuals have been calculated. This argument is used to bin residuals according to the predicted values. y_pred and residuals must be of the same class (both pandas Series or both numpy ndarray) must have the same length and, if they are pandas Series, the same index.

  • If y_pred is None, residuals are not binned.
  • If affter binning, a bin has more than 200 residuals, only a random sample of 200 residuals is stored.
  • If affter binning, a bin binning is empty, it is filled with a random sample of residuals from other bins. This is done to ensure that all bins have at least one residual and can be used in the prediction process. New in version 0.12.0
`None`
append bool

If True, new residuals are added to the once already stored in the forecaster. Once the limit of 200 values per bin is reached, no more values are appended. If False, stored residuals are overwritten with the new residuals.

`True`
transform bool

If True, new residuals are transformed using self.transformer_y.

`True`
random_state int

Sets a seed to the random sampling for reproducible output.

`123`

Returns:

Type Description
None
Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def set_out_sample_residuals(
    self, 
    residuals: Union[pd.Series, np.ndarray],
    y_pred: Optional[Union[pd.Series, np.ndarray]] = None,
    append: bool = True,
    transform: bool = True,
    random_state: int = 123
) -> None:
    """
    Set new values to the attribute `out_sample_residuals`. Out of sample
    residuals are meant to be calculated using observations that did not
    participate in the training process. If `y_pred` is provided, residuals
    are binned according to the predicted value they are associated with. If
    `y_pred` is `None`, residuals are stored without binning. Only up to 200
    residuals are stored per bin.

    Parameters
    ----------
    residuals : pandas Series, numpy ndarray
        Values of residuals. If `y_pred` is `None`, at most 1000 values are
        stored. If `y_pred` is not `None`, at most 200 * n_bins values are
        stored, where `n_bins` is the number of bins used in `self.binner`.
    y_pred : pandas Series, numpy ndarray, default `None`
        Predicted values of the time series from which the residuals have been
        calculated. This argument is used to bin residuals according to the
        predicted values. `y_pred` and `residuals` must be of the same class
        (both pandas Series or both numpy ndarray) must have the same length
        and, if they are pandas Series, the same index. 

        - If `y_pred` is `None`, residuals are not binned.
        - If affter binning, a bin has more than 200 residuals, only a random
            sample of 200 residuals is stored.
        - If affter binning, a bin binning is empty, it is filled with a
        random sample of residuals from other bins. This is done to ensure
        that all bins have at least one residual and can be used in the
        prediction process.
        **New in version 0.12.0**
    append : bool, default `True`
        If `True`, new residuals are added to the once already stored in the
        forecaster. Once the limit of 200 values per bin is reached, no more values
        are appended. If False, stored residuals are overwritten with the new
        residuals.
    transform : bool, default `True`
        If `True`, new residuals are transformed using self.transformer_y.
    random_state : int, default `123`
        Sets a seed to the random sampling for reproducible output.

    Returns
    -------
    None

    """

    if not isinstance(residuals, (np.ndarray, pd.Series)):
        raise TypeError(
            (f"`residuals` argument must be `numpy ndarray` or `pandas Series`, "
             f"but found {type(residuals)}.")
        )

    if not isinstance(y_pred, (np.ndarray, pd.Series, type(None))):
        raise TypeError(
            (f"`y_pred` argument must be `numpy ndarray`, `pandas Series` or `None`, "
             f"but found {type(y_pred)}.")
        )

    if y_pred is not None and len(residuals) != len(y_pred):
        raise ValueError(
            (f"`residuals` and `y_pred` must have the same length, but found "
             f"{len(residuals)} and {len(y_pred)}.")
        )

    if isinstance(residuals, pd.Series) and isinstance(y_pred, pd.Series):
        if not residuals.index.equals(y_pred.index):
            raise ValueError(
                (f"`residuals` and `y_pred` must have the same index, but found "
                 f"{residuals.index} and {y_pred.index}.")
            )

    if y_pred is not None and not self.fitted:
        raise NotFittedError(
            ("This forecaster is not fitted yet. Call `fit` with appropriate "
             "arguments before using `set_out_sample_residuals()`.")
        )

    if isinstance(residuals, np.ndarray):
        residuals = pd.Series(residuals, name='residuals')
    else:
        residuals = residuals.rename('residuals').reset_index(drop=True)

    if isinstance(y_pred, np.ndarray):
        y_pred = pd.Series(y_pred, name='prediction')
    elif isinstance(y_pred, pd.Series):
        y_pred = y_pred.rename('prediction').reset_index(drop=True)

    if not transform and self.transformer_y is not None:
        warnings.warn(
            (f"Argument `transform` is set to `False` but forecaster was trained "
             f"using a transformer {self.transformer_y}. Ensure that the new residuals "
             f"are already transformed or set `transform=True`.")
        )

    if transform and self.transformer_y is not None:
        warnings.warn(
            (f"Residuals will be transformed using the same transformer used "
             f"when training the forecaster ({self.transformer_y}). Ensure that the "
             f"new residuals are on the same scale as the original time series.")
        )

        residuals = transform_series(
                        series            = residuals,
                        transformer       = self.transformer_y,
                        fit               = False,
                        inverse_transform = False
                    ).to_numpy()

    if y_pred is None:
        # Residuals are not binned.
        if len(residuals) > 1000:
            rng = np.random.default_rng(seed=random_state)
            residuals = rng.choice(a=residuals, size=1000, replace=False)
        if append and self.out_sample_residuals is not None:
            free_space = max(0, 1000 - len(self.out_sample_residuals))
            if len(residuals) < free_space:
                residuals = np.hstack((
                                self.out_sample_residuals,
                                residuals
                            ))
            else:
                residuals = np.hstack((
                                self.out_sample_residuals,
                                residuals[:free_space]
                            ))
        self.out_sample_residuals = residuals
    else:
        # Residuals are binned according to the predicted values.
        data = pd.merge(
                   residuals,
                   y_pred,
                   left_index  = True,
                   right_index = True
               )
        data['bin'] = self.binner.transform(data[['prediction']].to_numpy()).astype(int)
        residuals_by_bin = data.groupby('bin')['residuals'].apply(np.array).to_dict()

        if append and self.out_sample_residuals_by_bin is not None:
            for k, v in residuals_by_bin.items():
                if k in self.out_sample_residuals_by_bin:
                    free_space = max(0, 200 - len(self.out_sample_residuals_by_bin[k]))
                    if len(v) < free_space:
                        self.out_sample_residuals_by_bin[k] = np.hstack((
                            self.out_sample_residuals_by_bin[k],
                            v
                        ))
                    else:
                        self.out_sample_residuals_by_bin[k] = np.hstack((
                            self.out_sample_residuals_by_bin[k],
                            v[:free_space]
                        ))
                else:
                    self.out_sample_residuals_by_bin[k] = v
        else:
            self.out_sample_residuals_by_bin = residuals_by_bin

        for k, v in self.out_sample_residuals_by_bin.items():
            rng = np.random.default_rng(seed=123)
            if len(v) > 200:
                # Only up to 200 residuals are stored per bin
                sample = rng.choice(a=v, size=200, replace=False)
                self.out_sample_residuals_by_bin[k] = sample

        self.out_sample_residuals = np.concatenate(list(
                                        self.out_sample_residuals_by_bin.values()
                                    ))

        for k in self.in_sample_residuals_by_bin.keys():
            if k not in self.out_sample_residuals_by_bin:
                self.out_sample_residuals_by_bin[k] = np.array([])

        empty_bins = [k for k, v in self.out_sample_residuals_by_bin.items() 
                      if len(v) == 0]
        if empty_bins:
            warnings.warn(
                (f"The following bins have no out of sample residuals: {empty_bins}. "
                 f"No predicted values fall in the interval "
                 f"{[self.binner_intervals[bin] for bin in empty_bins]}. "
                 f"Empty bins will be filled with a random sample of residuals from "
                 f"the other bins.")
            )
            for k in empty_bins:
                rng = np.random.default_rng(seed=123)
                self.out_sample_residuals_by_bin[k] = rng.choice(
                                                          a       = self.out_sample_residuals,
                                                          size    = 200,
                                                          replace = True
                                                      )

get_feature_importances(sort_importance=True)

Return feature importances of the regressor stored in the forecaster. Only valid when regressor stores internally the feature importances in the attribute feature_importances_ or coef_. Otherwise, returns None.

Parameters:

Name Type Description Default
sort_importance bool

If True, sorts the feature importances in descending order.

True

Returns:

Name Type Description
feature_importances pandas DataFrame

Feature importances associated with each predictor.

Source code in skforecast\ForecasterAutoreg\ForecasterAutoreg.py
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def get_feature_importances(
    self,
    sort_importance: bool = True
) -> pd.DataFrame:
    """
    Return feature importances of the regressor stored in the forecaster.
    Only valid when regressor stores internally the feature importances in the
    attribute `feature_importances_` or `coef_`. Otherwise, returns `None`.

    Parameters
    ----------
    sort_importance: bool, default `True`
        If `True`, sorts the feature importances in descending order.

    Returns
    -------
    feature_importances : pandas DataFrame
        Feature importances associated with each predictor.

    """

    if not self.fitted:
        raise NotFittedError(
            ("This forecaster is not fitted yet. Call `fit` with appropriate "
             "arguments before using `get_feature_importances()`.")
        )

    if isinstance(self.regressor, Pipeline):
        estimator = self.regressor[-1]
    else:
        estimator = self.regressor

    if hasattr(estimator, 'feature_importances_'):
        feature_importances = estimator.feature_importances_
    elif hasattr(estimator, 'coef_'):
        feature_importances = estimator.coef_
    else:
        warnings.warn(
            (f"Impossible to access feature importances for regressor of type "
             f"{type(estimator)}. This method is only valid when the "
             f"regressor stores internally the feature importances in the "
             f"attribute `feature_importances_` or `coef_`.")
        )
        feature_importances = None

    if feature_importances is not None:
        feature_importances = pd.DataFrame({
                                  'feature': self.X_train_col_names,
                                  'importance': feature_importances
                              })
        if sort_importance:
            feature_importances = feature_importances.sort_values(
                                      by='importance', ascending=False
                                  )

    return feature_importances