gluonts.ext.r_forecast package#
- class gluonts.ext.r_forecast.RBasePredictor(freq: str, prediction_length: int, period: Optional[int] = None, trunc_length: Optional[int] = None, save_info: bool = False, r_file_prefix: str = '')[source]#
Bases:
gluonts.model.predictor.RepresentablePredictor
The RBasePredictor is a thin wrapper for calling R packages. In order to use it you need to install R and rpy2.
Note that specific R packages need to be installed, depending on which wrapper one needs to run. See RForecastPredictor and RHierarchicalForecastPredictor to know which packages are needed.
- Parameters
freq – The granularity of the time series (e.g. ‘1H’)
prediction_length – Number of time points to be predicted.
period – The period to be used (this is called frequency in the R forecast package), result to a tentative reasonable default if not specified (for instance 24 for hourly freq ‘1H’)
trunc_length – Maximum history length to feed to the model (some models become slow with very long series).
r_file_prefix – Prefix string of the R file(s) where our forecasting wrapper methods can be found. This is to avoid loading all R files potentially having different implementations of the same method, thereby making sure the expected R method is in fact used.
- predict(dataset: gluonts.dataset.Dataset, **kwargs) Iterator[gluonts.model.forecast.Forecast] [source]#
Compute forecasts for the time series in the provided dataset. This method is not implemented in this abstract class; please use one of the subclasses. :param dataset: The dataset containing the time series to predict.
- Returns
Iterator over the forecasts, in the same order as the dataset iterable was provided.
- Return type
Iterator[Forecast]
- class gluonts.ext.r_forecast.RForecastPredictor(freq: str, prediction_length: int, method_name: str = 'ets', period: Optional[int] = None, trunc_length: Optional[int] = None, save_info: bool = False, params: Dict = {})[source]#
Bases:
gluonts.ext.r_forecast._predictor.RBasePredictor
Wrapper for calling the `R forecast package.
<http://pkg.robjhyndman.com/forecast/>`_.
In order to use it you need to install R and rpy2. You also need the R forecast package which can be installed by running:
R -e ‘install.packages(c(“forecast”, “nnfor”), repos=”https://cloud.r-project.org”)’ # noqa
- Parameters
freq – The granularity of the time series (e.g. ‘1H’)
prediction_length – Number of time points to be predicted.
method_name – The method from rforecast to be used one of “ets”, “arima”, “tbats”, “croston”, “mlp”, “thetaf”.
period – The period to be used (this is called frequency in the R forecast package), result to a tentative reasonable default if not specified (for instance 24 for hourly freq ‘1H’)
trunc_length – Maximum history length to feed to the model (some models become slow with very long series).
params – Parameters to be used when calling the forecast method default. For output_type, ‘mean’ and quantiles are supported (depending on the underlying R method).
- class gluonts.ext.r_forecast.RHierarchicalForecastPredictor(freq: str, prediction_length: int, is_hts: bool, target_dim: int, num_bottom_ts: int, nodes: List, method_name: str, fmethod: str, period: Optional[int] = None, trunc_length: Optional[int] = None, save_info: bool = False, nonnegative: bool = False, level: Optional[int] = None, algorithm: Optional[str] = 'cg', covariance: Optional[str] = 'shr', numcores: Optional[int] = None, params: Optional[Dict] = None)[source]#
Bases:
gluonts.ext.r_forecast._predictor.RBasePredictor
Wrapper for calling the R hts package.
In order to use it you need to install R and rpy2. You also need the R hts package which can be installed by running:
R -e ‘install.packages(c(“hts”), repos=”https://cloud.r-project.org”)’
- Parameters
freq – The granularity of the time series (e.g. ‘1H’)
prediction_length – Number of time points to be predicted.
is_hts – Is the time series a hierarchical one as opposed to a grouped time series. # noqa
target_dim – The dimension (size) of the multivariate target time series.
num_bottom_ts – Number of bottom time series in the hierarchy.
nodes – Node structure representing the hierarchichy as defined in the hts package. To know the exact strucutre of nodes see the help: Hierarhical: https://stackoverflow.com/questions/13579292/how-to-use-hts-with-multi-level-hierarchies Grouped: https://robjhyndman.com/hyndsight/gts/
nonnegative – Is the target non-negative?
method_name – Hierarchical forecasting or reconciliation method to be used; mutst be one of: “naive_bottom_up”, “middle_out_w_forecasts_proportions”, “top_down_w_average_historical_proportions”, “top_down_w_proportions_of_the_historical_averages”, “top_down_w_forecasts_proportions”, “mint”, “erm”
fmethod – The forecasting method to be used for generating base forecasts (i.e., un-reconciled forecasts).
period – The period to be used (this is called frequency in the R forecast package), result to a tentative reasonable default if not specified (for instance 24 for hourly freq ‘1H’)
trunc_length – Maximum history length to feed to the model (some models become slow with very long series).
params – Parameters to be used when calling the forecast method default. Note that, as output_type, only ‘samples’ is supported currently.
level – Level of hierarchy to be used as reference for middle out reconciliation (i.e. level=1 means that the level below the highest one will be used as reference to compute the forecasts of all the other levels). This value is required only for middle out.
numcores – Number of cores to be used for parallelization of ERM. If not provided, all cores will be used.