autogluon.timeseries 1.1.0b20240412__tar.gz → 1.1.0b20240414__tar.gz

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: autogluon.timeseries
-Version: 1.1.0b20240412
+Version: 1.1.0b20240414
 Summary: Fast and Accurate ML in 3 Lines of Code
 Home-page: https://github.com/autogluon/autogluon
 Author: AutoGluon Community

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/setup.py

@@ -30,7 +30,6 @@ install_requires = [
     "pytorch_lightning",  # version range defined in `core/_setup_utils.py`
     "transformers[sentencepiece]",  # version range defined in `core/_setup_utils.py`
     "accelerate",  # version range defined in `core/_setup_utils.py`
-    "statsmodels>=0.13.0,<0.15",
     "gluonts>=0.14.0,<0.14.4",  # 0.14.4 caps pandas<2.2
     "networkx",  # version range defined in `core/_setup_utils.py`
     # TODO: update statsforecast to v1.5.0 - resolve antlr4-python3-runtime dependency clash with multimodal

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon/timeseries/models/autogluon_tabular/mlforecast.py

@@ -337,7 +337,7 @@ class AbstractMLForecastModel(AbstractTimeSeriesModel):
             Seasonal naive forecast for short series, if there are any in the dataset.
         """
         ts_lengths = data.num_timesteps_per_item()
-        short_series = ts_lengths.index[ts_lengths <= self._sum_of_differences]
+        short_series = ts_lengths.index[ts_lengths <= self._sum_of_differences + 1]
         if len(short_series) > 0:
             logger.warning(
                 f"Warning: {len(short_series)} time series ({len(short_series) / len(ts_lengths):.1%}) are shorter "

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon/timeseries/models/gluonts/abstract_gluonts.py

@@ -25,6 +25,7 @@ from autogluon.tabular.models.tabular_nn.utils.categorical_encoders import (
 )
 from autogluon.timeseries.dataset.ts_dataframe import ITEMID, TIMESTAMP, TimeSeriesDataFrame
 from autogluon.timeseries.models.abstract import AbstractTimeSeriesModel
+from autogluon.timeseries.utils.datetime import norm_freq_str
 from autogluon.timeseries.utils.forecast import get_forecast_horizon_index_ts_dataframe
 from autogluon.timeseries.utils.warning_filters import disable_root_logger, warning_filter
 
@@ -38,11 +39,10 @@ gts_logger = logging.getLogger(gluonts.__name__)
 class SimpleGluonTSDataset(GluonTSDataset):
     """Wrapper for TimeSeriesDataFrame that is compatible with the GluonTS Dataset API."""
 
-    _dummy_gluonts_freq = "D"
-
     def __init__(
         self,
         target_df: TimeSeriesDataFrame,
+        freq: str,
         target_column: str = "target",
         feat_static_cat: Optional[np.ndarray] = None,
         feat_static_real: Optional[np.ndarray] = None,
@@ -62,6 +62,7 @@ class SimpleGluonTSDataset(GluonTSDataset):
         self.feat_dynamic_real = self._astype(feat_dynamic_real, dtype=np.float32)
         self.past_feat_dynamic_cat = self._astype(past_feat_dynamic_cat, dtype=np.int64)
         self.past_feat_dynamic_real = self._astype(past_feat_dynamic_real, dtype=np.float32)
+        self.freq = self._get_freq_for_period(freq)
 
         # Necessary to compute indptr for known_covariates at prediction time
         self.includes_future = includes_future
@@ -83,6 +84,24 @@ class SimpleGluonTSDataset(GluonTSDataset):
         else:
             return array.astype(dtype)
 
+    @staticmethod
+    def _get_freq_for_period(freq: str) -> str:
+        """Convert freq to format compatible with pd.Period.
+
+        For example, ME freq must be converted to M when creating a pd.Period.
+        """
+        offset = pd.tseries.frequencies.to_offset(freq)
+        freq_name = norm_freq_str(offset)
+        if freq_name == "SME":
+            # Replace unsupported frequency "SME" with "2W"
+            return "2W"
+        elif freq_name == "bh":
+            # Replace unsupported frequency "bh" with dummy value "Y"
+            return "Y"
+        else:
+            freq_name_for_period = {"YE": "Y", "QE": "Q", "ME": "M"}.get(freq_name, freq_name)
+            return f"{offset.n}{freq_name_for_period}"
+
     def __len__(self):
         return len(self.indptr) - 1  # noqa
 
@@ -93,7 +112,7 @@ class SimpleGluonTSDataset(GluonTSDataset):
             # GluonTS expects item_id to be a string
             ts = {
                 FieldName.ITEM_ID: str(self.item_ids[j]),
-                FieldName.START: pd.Period(self.start_timestamps.iloc[j], freq=self._dummy_gluonts_freq),
+                FieldName.START: pd.Period(self.start_timestamps.iloc[j], freq=self.freq),
                 FieldName.TARGET: self.target_array[start_idx:end_idx],
             }
             if self.feat_static_cat is not None:
@@ -141,6 +160,8 @@ class AbstractGluonTSModel(AbstractTimeSeriesModel):
     """
 
     gluonts_model_path = "gluon_ts"
+    # we pass dummy freq compatible with pandas 2.1 & 2.2 to GluonTS models
+    _dummy_gluonts_freq = "D"
     # default number of samples for prediction
     default_num_samples: int = 250
     supports_cat_covariates: bool = False
@@ -344,7 +365,7 @@ class AbstractGluonTSModel(AbstractTimeSeriesModel):
         init_args.setdefault("early_stopping_patience", 20)
         init_args.update(
             dict(
-                freq=self.freq,
+                freq=self._dummy_gluonts_freq,
                 prediction_length=self.prediction_length,
                 quantiles=self.quantile_levels,
                 callbacks=self.callbacks,
@@ -475,6 +496,7 @@ class AbstractGluonTSModel(AbstractTimeSeriesModel):
 
             return SimpleGluonTSDataset(
                 target_df=time_series_df[[self.target]],
+                freq=self.freq,
                 target_column=self.target,
                 feat_static_cat=feat_static_cat,
                 feat_static_real=feat_static_real,

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon/timeseries/models/gluonts/torch/models.py

@@ -423,6 +423,4 @@ class WaveNetModel(AbstractGluonTSModel):
         init_kwargs.setdefault("seasonality", get_seasonality(self.freq))
         init_kwargs.setdefault("time_features", get_time_features_for_frequency(self.freq))
         init_kwargs.setdefault("num_parallel_samples", self.default_num_samples)
-        # WaveNet model fails if an unsupported frequency such as "SM" is provided. We provide a dummy freq instead
-        init_kwargs["freq"] = "D"
         return init_kwargs

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon/timeseries/predictor.py

@@ -631,7 +631,11 @@ class TimeSeriesPredictor(TimeSeriesPredictorDeprecatedMixin):
             This argument has no effect if ``tuning_data`` is provided.
         refit_every_n_windows: int or None, default = 1
             When performing cross validation, each model will be retrained every ``refit_every_n_windows`` validation
-            windows. If set to ``None``, model will only be fit once for the first validation window.
+            windows, where the number of validation windows is specified by `num_val_windows`. Note that in the
+            default setting where `num_val_windows=1`, this argument has no effect.
+
+            If set to ``None``, models will only be fit once for the first (oldest) validation window. By default,
+            `refit_every_n_windows=1`, i.e., all models will be refit for each validation window.
         refit_full : bool, default = False
             If True, after training is complete, AutoGluon will attempt to re-train all models using all of training
             data (including the data initially reserved for validation). This argument has no effect if ``tuning_data``
@@ -717,6 +721,12 @@ class TimeSeriesPredictor(TimeSeriesPredictorDeprecatedMixin):
         if num_val_windows == 0 and tuning_data is None:
             raise ValueError("Please set num_val_windows >= 1 or provide custom tuning_data")
 
+        if num_val_windows <= 1 and refit_every_n_windows > 1:
+            logger.warning(
+                f"\trefit_every_n_windows provided as {refit_every_n_windows} but num_val_windows is set to {num_val_windows}."
+                " Refit_every_n_windows will have no effect."
+            )
+
         if not skip_model_selection:
             train_data = self._filter_useless_train_data(
                 train_data, num_val_windows=num_val_windows, val_step_size=val_step_size

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon/timeseries/utils/warning_filters.py

@@ -7,14 +7,12 @@ import re
 import sys
 import warnings
 
-from statsmodels.tools.sm_exceptions import ConvergenceWarning, ValueWarning
-
 __all__ = ["warning_filter", "disable_root_logger", "disable_tqdm"]
 
 
 @contextlib.contextmanager
 def warning_filter(all_warnings: bool = False):
-    categories = [RuntimeWarning, UserWarning, ConvergenceWarning, ValueWarning, FutureWarning]
+    categories = [RuntimeWarning, UserWarning, FutureWarning]
     if all_warnings:
         categories.append(Warning)
     with warnings.catch_warnings():

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon/timeseries/version.py

@@ -1,3 +1,3 @@
 """This is the autogluon version file."""
-__version__ = '1.1.0b20240412'
+__version__ = '1.1.0b20240414'
 __lite__ = False

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon.timeseries.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: autogluon.timeseries
-Version: 1.1.0b20240412
+Version: 1.1.0b20240414
 Summary: Fast and Accurate ML in 3 Lines of Code
 Home-page: https://github.com/autogluon/autogluon
 Author: AutoGluon Community

{autogluon.timeseries-1.1.0b20240412 → autogluon.timeseries-1.1.0b20240414}/src/autogluon.timeseries.egg-info/requires.txt

@@ -7,7 +7,6 @@ lightning<2.2,>=2.1
 pytorch_lightning<2.2,>=2.1
 transformers[sentencepiece]<4.39.0,>=4.38.0
 accelerate<0.22.0,>=0.21.0
-statsmodels<0.15,>=0.13.0
 gluonts<0.14.4,>=0.14.0
 networkx<4,>=3.0
 statsforecast<1.5,>=1.4.0
@@ -16,9 +15,9 @@ utilsforecast<0.0.11,>=0.0.10
 tqdm<5,>=4.38
 orjson~=3.9
 tensorboard<3,>=2.9
-autogluon.core[raytune]==1.1.0b20240412
-autogluon.common==1.1.0b20240412
-autogluon.tabular[catboost,lightgbm,xgboost]==1.1.0b20240412
+autogluon.core[raytune]==1.1.0b20240414
+autogluon.common==1.1.0b20240414
+autogluon.tabular[catboost,lightgbm,xgboost]==1.1.0b20240414
 
 [all]
 optimum[onnxruntime]<1.19,>=1.17