Data Science Asked by SpanishBoy on December 18, 2020
Have some issue with understanding how to use TSFERSH-library (version 0.4.0) to forecast next N-values of particular series. Below my code:
# load data train/test datasets
train, Y, test, YY = prepare_train_test()
# add series ID
train['TS_ID'] = pd.Categorical(train['QTR_HR_START']).codes
test['TS_ID'] = pd.Categorical(test['QTR_HR_START']).codes
# add ordered id for concrete event of series
for id in sorted(train['TS_ID'].unique()):
train.ix[train.TS_ID == id, 'TIME_ORDER_ID'] = pd.Categorical(train[train.TS_ID == id]['DATETIME']).codes
for id in sorted(test['TS_ID'].unique()):
test.ix[test.TS_ID == id, 'TIME_ORDER_ID'] = pd.Categorical(test[test.TS_ID == id]['DATETIME']).codes
# perform feature extraction for my signal
extraction_settings = FeatureExtractionSettings()
extraction_settings.IMPUTE = impute # Fill in Infs and NaNs
X = extract_features(train, column_id='TS_ID', feature_extraction_settings=extraction_settings).values
XT = extract_features(test, column_id='TS_ID', feature_extraction_settings=extraction_settings).values
# there should be as example
# model = xgb.DMatrix(X, label=Y, missing=np.nan)
# model.fit()
# model.predict(XT)
However, after line X = extract_features(...)
I see at debugger following results
It’s mean that initial X-dataset/features
(shape=(722,10) were transformed to shape (80, 1899).
Where does ’80’ come from? I guess from train.TS_ID
comes. But my XT
-dataset still contains 722-rows (9 days * 80 different series per day).
So, how can I predict for 9 days in advance? or is there only forecast for next period?
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