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feat: add quantiles to forecast and cross validation methods #241

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this pr adds the quantiles argument to the forecast and cross_validation methods.
this feature will enable users to forecast quantiles directly, instead of transforming the outputs when level is used.
the choice of the column names for the quantile forecasts (TimeGPT-q-{int(100 * q)}) responds to the limitations of distributed engines to handle dots (.) correctly in the columns.
this choice was also included in the docstrings to prevent confusion between quantiles and percentiles.
also a tutorial on how to use the new feature was added.

  • feat: add quantiles argument to forecast and cv methods
  • fix: add percentile notaion this change is mainly to avoid handling dots in column names for distributed timegpt
  • feat: add distributed quantiles
  • feat: add quantile forecasts tutorial
  • fix: add correct test pred intervals test

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@AzulGarza AzulGarza closed this Mar 7, 2024
@AzulGarza AzulGarza deleted the feat/add-quantiles-option branch March 7, 2024 04:33
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github-actions bot commented Mar 7, 2024

Experiment 1: air-passengers

Description:

variable experiment
h 12
season_length 12
freq MS
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 12.6793 11.0623 47.8333 76
mape 0.027 0.0232 0.0999 0.1425
mse 213.936 199.132 2571.33 10604.2
total_time 7.6586 9.1193 0.0114 0.0055

Plot:

Experiment 2: air-passengers

Description:

variable experiment
h 24
season_length 12
freq MS
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 58.1031 58.4587 71.25 115.25
mape 0.1257 0.1267 0.1552 0.2358
mse 4040.21 4110.79 5928.17 18859.2
total_time 5.4826 5.9987 0.0062 0.0054

Plot:

Experiment 3: electricity-multiple-series

Description:

variable experiment
h 24
season_length 24
freq H
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 142.394 196.363 269.23 1331.02
mape 0.0203 0.0234 0.0304 0.1692
mse 63464.7 123119 213677 4.68961e+06
total_time 2.7874 5.0129 0.0086 0.0077

Plot:

Experiment 4: electricity-multiple-series

Description:

variable experiment
h 168
season_length 24
freq H
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 522.427 353.528 398.956 1119.26
mape 0.069 0.0454 0.0512 0.1583
mse 966294 422332 656723 3.17316e+06
total_time 4.811 4.8291 0.0085 0.0078

Plot:

Experiment 5: electricity-multiple-series

Description:

variable experiment
h 336
season_length 24
freq H
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 478.362 361.033 602.926 1340.95
mape 0.0622 0.046 0.0787 0.17
mse 805039 441118 1.61572e+06 6.04619e+06
total_time 7.0553 4.6309 0.0085 0.008

Plot:

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