prophet-rb 0.1.0

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Files changed (17) hide show
  1. checksums.yaml +7 -0
  2. data/CHANGELOG.md +3 -0
  3. data/LICENSE.txt +23 -0
  4. data/README.md +202 -0
  5. data/data-raw/generated_holidays.csv +96474 -0
  6. data/ext/prophet/Makefile +5 -0
  7. data/ext/prophet/extconf.rb +18 -0
  8. data/lib/prophet-rb.rb +1 -0
  9. data/lib/prophet.rb +23 -0
  10. data/lib/prophet/forecaster.rb +986 -0
  11. data/lib/prophet/holidays.rb +27 -0
  12. data/lib/prophet/plot.rb +269 -0
  13. data/lib/prophet/stan_backend.rb +136 -0
  14. data/lib/prophet/version.rb +3 -0
  15. data/stan/unix/prophet.stan +131 -0
  16. data/stan/win/prophet.stan +162 -0
  17. metadata +170 -0
data/stan/win/prophet.stan ADDED
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+ // Copyright (c) Facebook, Inc. and its affiliates.
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+
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+ // This source code is licensed under the MIT license found in the
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+ // LICENSE file in the root directory of this source tree.
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+
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+ functions {
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+ real[ , ] get_changepoint_matrix(real[] t, real[] t_change, int T, int S) {
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+ // Assumes t and t_change are sorted.
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+ real A[T, S];
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+ real a_row[S];
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+ int cp_idx;
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+
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+ // Start with an empty matrix.
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+ A = rep_array(0, T, S);
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+ a_row = rep_array(0, S);
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+ cp_idx = 1;
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+
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+ // Fill in each row of A.
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+ for (i in 1:T) {
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+ while ((cp_idx <= S) && (t[i] >= t_change[cp_idx])) {
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+ a_row[cp_idx] = 1;
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+ cp_idx = cp_idx + 1;
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+ }
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+ A[i] = a_row;
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+ }
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+ return A;
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+ }
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+
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+ // Logistic trend functions
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+
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+ real[] logistic_gamma(real k, real m, real[] delta, real[] t_change, int S) {
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+ real gamma[S]; // adjusted offsets, for piecewise continuity
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+ real k_s[S + 1]; // actual rate in each segment
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+ real m_pr;
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+
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+ // Compute the rate in each segment
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+ k_s[1] = k;
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+ for (i in 1:S) {
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+ k_s[i + 1] = k_s[i] + delta[i];
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+ }
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+
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+ // Piecewise offsets
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+ m_pr = m; // The offset in the previous segment
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+ for (i in 1:S) {
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+ gamma[i] = (t_change[i] - m_pr) * (1 - k_s[i] / k_s[i + 1]);
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+ m_pr = m_pr + gamma[i]; // update for the next segment
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+ }
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+ return gamma;
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+ }
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+
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+ real[] logistic_trend(
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+ real k,
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+ real m,
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+ real[] delta,
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+ real[] t,
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+ real[] cap,
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+ real[ , ] A,
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+ real[] t_change,
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+ int S,
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+ int T
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+ ) {
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+ real gamma[S];
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+ real Y[T];
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+
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+ gamma = logistic_gamma(k, m, delta, t_change, S);
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+ for (i in 1:T) {
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+ Y[i] = cap[i] / (1 + exp(-(k + dot_product(A[i], delta))
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+ * (t[i] - (m + dot_product(A[i], gamma)))));
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+ }
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+ return Y;
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+ }
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+
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+ // Linear trend function
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+
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+ real[] linear_trend(
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+ real k,
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+ real m,
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+ real[] delta,
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+ real[] t,
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+ real[ , ] A,
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+ real[] t_change,
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+ int S,
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+ int T
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+ ) {
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+ real gamma[S];
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+ real Y[T];
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+
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+ for (i in 1:S) {
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+ gamma[i] = -t_change[i] * delta[i];
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+ }
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+ for (i in 1:T) {
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+ Y[i] = (k + dot_product(A[i], delta)) * t[i] + (
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+ m + dot_product(A[i], gamma));
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+ }
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+ return Y;
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+ }
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+ }
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+
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+ data {
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+ int T; // Number of time periods
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+ int<lower=1> K; // Number of regressors
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+ real t[T]; // Time
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+ real cap[T]; // Capacities for logistic trend
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+ real y[T]; // Time series
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+ int S; // Number of changepoints
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+ real t_change[S]; // Times of trend changepoints
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+ real X[T,K]; // Regressors
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+ vector[K] sigmas; // Scale on seasonality prior
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+ real<lower=0> tau; // Scale on changepoints prior
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+ int trend_indicator; // 0 for linear, 1 for logistic
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+ real s_a[K]; // Indicator of additive features
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+ real s_m[K]; // Indicator of multiplicative features
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+ }
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+
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+ transformed data {
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+ real A[T, S];
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+ A = get_changepoint_matrix(t, t_change, T, S);
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+ }
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+
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+ parameters {
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+ real k; // Base trend growth rate
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+ real m; // Trend offset
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+ real delta[S]; // Trend rate adjustments
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+ real<lower=0> sigma_obs; // Observation noise
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+ real beta[K]; // Regressor coefficients
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+ }
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+
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+ transformed parameters {
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+ real trend[T];
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+ real Y[T];
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+ real beta_m[K];
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+ real beta_a[K];
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+
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+ if (trend_indicator == 0) {
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+ trend = linear_trend(k, m, delta, t, A, t_change, S, T);
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+ } else if (trend_indicator == 1) {
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+ trend = logistic_trend(k, m, delta, t, cap, A, t_change, S, T);
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+ }
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+
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+ for (i in 1:K) {
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+ beta_m[i] = beta[i] * s_m[i];
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+ beta_a[i] = beta[i] * s_a[i];
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+ }
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+
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+ for (i in 1:T) {
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+ Y[i] = (
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+ trend[i] * (1 + dot_product(X[i], beta_m)) + dot_product(X[i], beta_a)
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+ );
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+ }
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+ }
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+
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+ model {
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+ //priors
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+ k ~ normal(0, 5);
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+ m ~ normal(0, 5);
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+ delta ~ double_exponential(0, tau);
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+ sigma_obs ~ normal(0, 0.5);
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+ beta ~ normal(0, sigmas);
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+
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+ // Likelihood
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+ y ~ normal(Y, sigma_obs);
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+ }
metadata ADDED
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+ --- !ruby/object:Gem::Specification
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+ name: prophet-rb
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+ version: !ruby/object:Gem::Version
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+ version: 0.1.0
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+ platform: ruby
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+ authors:
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+ - Andrew Kane
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+ autorequire:
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+ bindir: bin
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+ cert_chain: []
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+ date: 2020-04-09 00:00:00.000000000 Z
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+ dependencies:
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+ - !ruby/object:Gem::Dependency
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+ name: cmdstan
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ type: :runtime
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ - !ruby/object:Gem::Dependency
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+ name: daru
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+ requirement: !ruby/object:Gem::Requirement
30
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ type: :runtime
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
37
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
40
+ version: '0'
41
+ - !ruby/object:Gem::Dependency
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+ name: numo-narray
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+ requirement: !ruby/object:Gem::Requirement
44
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ type: :runtime
49
+ prerelease: false
50
+ version_requirements: !ruby/object:Gem::Requirement
51
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
54
+ version: '0'
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+ - !ruby/object:Gem::Dependency
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+ name: bundler
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ type: :development
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ - !ruby/object:Gem::Dependency
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+ name: rake
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ type: :development
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ - !ruby/object:Gem::Dependency
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+ name: minitest
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '5'
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+ type: :development
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '5'
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+ - !ruby/object:Gem::Dependency
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+ name: matplotlib
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+ requirement: !ruby/object:Gem::Requirement
100
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
103
+ version: '0'
104
+ type: :development
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+ prerelease: false
106
+ version_requirements: !ruby/object:Gem::Requirement
107
+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
110
+ version: '0'
111
+ - !ruby/object:Gem::Dependency
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+ name: ruby-prof
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+ requirement: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
117
+ version: '0'
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+ type: :development
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+ prerelease: false
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+ version_requirements: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ description:
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+ email: andrew@chartkick.com
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+ executables: []
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+ extensions:
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+ - ext/prophet/extconf.rb
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+ extra_rdoc_files: []
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+ files:
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+ - CHANGELOG.md
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+ - LICENSE.txt
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+ - README.md
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+ - data-raw/generated_holidays.csv
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+ - ext/prophet/Makefile
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+ - ext/prophet/extconf.rb
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+ - lib/prophet-rb.rb
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+ - lib/prophet.rb
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+ - lib/prophet/forecaster.rb
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+ - lib/prophet/holidays.rb
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+ - lib/prophet/plot.rb
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+ - lib/prophet/stan_backend.rb
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+ - lib/prophet/version.rb
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+ - stan/unix/prophet.stan
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+ - stan/win/prophet.stan
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+ homepage: https://github.com/ankane/prophet
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+ licenses:
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+ - MIT
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+ metadata: {}
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+ post_install_message:
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+ rdoc_options: []
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+ require_paths:
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+ - lib
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+ required_ruby_version: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '2.4'
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+ required_rubygems_version: !ruby/object:Gem::Requirement
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ version: '0'
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+ requirements: []
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+ rubygems_version: 3.1.2
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+ signing_key:
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+ specification_version: 4
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+ summary: Time series forecasting for Ruby
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+ test_files: []