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feat: support custom and integer frequencies #532

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merged 7 commits into from
Dec 2, 2024
Merged

feat: support custom and integer frequencies #532

merged 7 commits into from
Dec 2, 2024

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jmoralez
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@jmoralez jmoralez commented Nov 5, 2024

Adds support for providing custom pandas offsets as freq as well as integer timestamps and freq=some_int.

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github-actions bot commented Nov 5, 2024

Experiment Results

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 9.0256 2.6224 0.0045 0.0032

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 0.5217 1.7201 0.0036 0.0032

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 178.293 268.13 269.23 1331.02
mape 0.0234 0.0311 0.0304 0.1692
mse 121589 219485 213677 4.68961e+06
total_time 0.6945 1.9238 0.0045 0.004

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 465.497 346.972 398.956 1119.26
mape 0.062 0.0436 0.0512 0.1583
mse 835021 403760 656723 3.17316e+06
total_time 1.7499 0.7155 0.0048 0.0042

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 558.673 459.757 602.926 1340.95
mape 0.0697 0.0565 0.0787 0.17
mse 1.22723e+06 739114 1.61572e+06 6.04619e+06
total_time 0.8126 0.7999 0.005 0.0047

Plot:

@jmoralez jmoralez marked this pull request as ready for review November 5, 2024 23:57
@jmoralez jmoralez requested a review from AzulGarza November 5, 2024 23:58
nixtla/nixtla_client.py Outdated Show resolved Hide resolved
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@elephaint elephaint left a comment

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Unsollicited comments 🙈

Otherwise looks fine to me

nixtla/nixtla_client.py Outdated Show resolved Hide resolved
nixtla/nixtla_client.py Outdated Show resolved Hide resolved
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@jmoralez jmoralez merged commit 14e2d88 into main Dec 2, 2024
12 checks passed
@jmoralez jmoralez deleted the custom-freq branch December 2, 2024 22:00
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3 participants