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[ENH] Working draft PR for forecasting #2244

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[ENH] Working draft PR for forecasting #2244

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TonyBagnall
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@TonyBagnall TonyBagnall commented Oct 24, 2024 •
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Reference Issues/PRs

First draft of the new forecasting module. See aeon-toolkit/aeon-admin#14 for some discussion.

This is very early, still lots to do. This includes

  • Setting up a regression wrapper
  • Implementing ETS in this structure
  • Writing first notebook
  • Setting up testing under new set up

and lots more. Note after discussion, we have adopted @alexbanwell1 proposal to call X exog to remove confusion with collection estimators.

@TonyBagnall TonyBagnall added the forecasting Forecasting package label Oct 24, 2024
@aeon-actions-bot aeon-actions-bot bot added the enhancement New feature, improvement request or other non-bug code enhancement label Oct 24, 2024
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Thank you for contributing to aeon

I have added the following labels to this PR based on the title: [ $\color{#FEF1BE}{\textsf{enhancement}}$ ].
I would have added the following labels to this PR based on the changes made: [ $\color{#31FCCD}{\textsf{forecasting}}$ ], however some package labels are already present.

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@TonyBagnall TonyBagnall changed the title [ENH] forecaster base and dummy [ENH] forecasting first PR: base, dummy and regressor Oct 25, 2024
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@TonyBagnall TonyBagnall mentioned this pull request Oct 25, 2024
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@TonyBagnall TonyBagnall mentioned this pull request Oct 29, 2024
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MatthewMiddlehurst
MatthewMiddlehurst reviewed Nov 1, 2024
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@MatthewMiddlehurst MatthewMiddlehurst left a comment •
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Not commenting on the base class or estimators yet beyond small things i noticed while skimming

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I would rather sort out the tags and what we want them to be before merging this (or at the very least the release). That is a much bigger pain to change later.

@TonyBagnall TonyBagnall closed this Nov 1, 2024
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I would rather sort out the tags and what we want them to be before merging this (or at the very least the release). That is a much bigger pain to change later.

ok, I have no preference I just want it to work with the testing, I am happy with any way you think is appropriate for that.

@TonyBagnall TonyBagnall reopened this Nov 1, 2024
TonyBagnall and others added 20 commits November 2, 2024 11:55
@TonyBagnall TonyBagnall changed the title [ENH] forecasting first PR: base, dummy and regressor [ENH] forecasting first PR: base, dummy, regressor and ETS Nov 7, 2024
@alexbanwell1 alexbanwell1 mentioned this pull request Nov 8, 2024
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alexbanwell1 and others added 3 commits November 8, 2024 09:23
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Add fully functional ETS Forecaster. Modify base to not set default y…
5f0a3f5 
… in forecast. Update tests for ETS Forecaster. Add script to verify ETS Forecaster against statsforecast module using a large number of random parameter inputs. (#2318)

Co-authored-by: Alex Banwell <[email protected]>
@MatthewMiddlehurst
Merge remote-tracking branch 'origin/main' into ajb/forecasting
d78e695 
# Conflicts:
#	aeon/testing/testing_data.py
#	aeon/testing/utils/estimator_checks.py
@alexbanwell1
Ajb/forecasting (#2357)
a8c00e2 
* Add fully functional ETS Forecaster. Modify base to not set default y in forecast. Update tests for ETS Forecaster. Add script to verify ETS Forecaster against statsforecast module using a large number of random parameter inputs.

* Add faster numba version of ETS forecaster

* Seperate out predict code, and add test to test without creating a class - significantly faster!

* Modify _verify_ets.py to allow easy switching between statsforecast versions. This confirms that my algorithms without class overheads is significantly faster than nixtla statsforecast, and with class overheads, it is faster than their current algorithm

* Add basic gradient decent optimization algorithm for smoothing parameters

---------

Co-authored-by: Alex Banwell <[email protected]>
@TonyBagnall TonyBagnall changed the title [ENH] forecasting first PR: base, dummy, regressor and ETS [ENH] Working draft PR for forecasting Nov 18, 2024
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