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Add confidence intervals to SARIMA #172

Merged
merged 6 commits into from
Oct 12, 2021
Merged

Add confidence intervals to SARIMA #172

merged 6 commits into from
Oct 12, 2021

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alex-hse-repository
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@alex-hse-repository alex-hse-repository commented Oct 11, 2021

IMPORTANT: Please do not create a Pull Request without creating an issue first.

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  • Did you read the contribution guide?
  • Did you update the docs? We use Numpy format for all the methods and classes.
  • Did you write any new necessary tests?
  • Did you update the CHANGELOG?

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  • Examples / docs / tutorials / contributors update
  • Bug fix (non-breaking change which fixes an issue)
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Add confidence intervals to SARIMA

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@alex-hse-repository alex-hse-repository added the enhancement New feature or request label Oct 11, 2021
@alex-hse-repository alex-hse-repository self-assigned this Oct 11, 2021
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codecov-commenter commented Oct 11, 2021

Codecov Report

Merging #172 (1bfbd5d) into master (8d09303) will decrease coverage by 0.81%.
The diff coverage is 97.56%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master     #172      +/-   ##
==========================================
- Coverage   87.22%   86.40%   -0.82%     
==========================================
  Files          74       74              
  Lines        3272     3311      +39     
==========================================
+ Hits         2854     2861       +7     
- Misses        418      450      +32     
Impacted Files Coverage Δ
etna/models/sarimax.py 94.89% <97.56%> (+1.01%) ⬆️
etna/models/nn/deepar.py 75.51% <0.00%> (-24.49%) ⬇️
etna/models/nn/tft.py 76.47% <0.00%> (-23.53%) ⬇️
etna/transforms/pytorch_forecasting.py 92.40% <0.00%> (-7.60%) ⬇️
etna/loggers/base.py 92.30% <0.00%> (-1.93%) ⬇️

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@iKintosh
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Docs fixes 👍

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@iKintosh iKintosh left a comment

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It will work, but may need some changes in the future.

for segment in self._segments:
model = self._models[segment]

segment_predict = self._forecast_segment(model, segment, ts, confidence_interval)
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Have you considered possibility to use standard forecast method?

As I understand confidence_interval parameter makes it impossible if _forecast_segment is staticmethod, but it is not necessary to keep it static.

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We can use standard methods in the future when we add ci to the rest of the models, but now Julia advised me to do it this way

@iKintosh iKintosh merged commit f82f5e5 into master Oct 12, 2021
@iKintosh iKintosh deleted the ETNA-812 branch October 15, 2021 11:19
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3 participants