etna.models.StatsForecastARIMAModel#

class StatsForecastARIMAModel(order: Tuple[int, int, int] = (0, 0, 0), season_length: int = 1, seasonal_order: Tuple[int, int, int] = (0, 0, 0), **kwargs)[source]#

Bases: PerSegmentModelMixin, PredictionIntervalContextIgnorantModelMixin, PredictionIntervalContextIgnorantAbstractModel

Class for holding statsforecast.models.ARIMA.

Documentation for the underlying model.

Note

This model requires statsforecast extension to be installed. Read more about this at installation instruction.

Init model with given params.

Parameters:

order (Tuple[int, int, int]) – A specification of the non-seasonal part of the ARIMA model: the three components (p, d, q) are the AR order, the degree of differencing, and the MA order.
season_length (int) – Number of observations per unit of time. Ex: 24 Hourly data.
seasonal_order (Tuple[int, int, int]) – A specification of the seasonal part of the ARIMA model. (P, D, Q) for the AR order, the degree of differencing, the MA order.
**kwargs – Additional parameters for statsforecast.models.ARIMA.

Methods

`fit`(ts)	Fit model.
`forecast`(ts[, prediction_interval, ...])	Make predictions.
`get_model`()	Get internal models that are used inside etna class.
`load`(path)	Load an object.
`params_to_tune`()	Get default grid for tuning hyperparameters.
`predict`(ts[, prediction_interval, ...])	Make predictions with using true values as autoregression context if possible (teacher forcing).
`save`(path)	Save the object.
`set_params`(**params)	Return new object instance with modified parameters.
`to_dict`()	Collect all information about etna object in dict.

Attributes

This class stores its __init__ parameters as attributes.

context_size

Context size of the model.

fit(ts: TSDataset) → PerSegmentModelMixin[source]#

Fit model.

Parameters:: ts (TSDataset) – Dataset with features
Returns:: Model after fit
Return type:: PerSegmentModelMixin

forecast(ts: TSDataset, prediction_interval: bool = False, quantiles: Sequence[float] = (0.025, 0.975), return_components: bool = False) → TSDataset[source]#

Make predictions.

Parameters:

ts (TSDataset) – Dataset with features
prediction_interval (bool) – If True returns prediction interval for forecast
quantiles (Sequence[float]) – Levels of prediction distribution. By default 2.5% and 97.5% are taken to form a 95% prediction interval
return_components (bool) – If True additionally returns forecast components

Returns:

Dataset with predictions

Return type:

TSDataset

get_model() → Dict[str, Any][source]#

Get internal models that are used inside etna class.

Internal model is a model that is used inside etna to forecast segments, e.g. catboost.CatBoostRegressor or sklearn.linear_model.Ridge.

Returns:: dictionary where key is segment and value is internal model
Return type:: Dict[str, Any]

classmethod load(path: Path) → Self[source]#

Load an object.

Warning

This method uses dill module which is not secure. It is possible to construct malicious data which will execute arbitrary code during loading. Never load data that could have come from an untrusted source, or that could have been tampered with.

Parameters:: path (Path) – Path to load object from.
Returns:: Loaded object.
Return type:: Self

params_to_tune() → Dict[str, BaseDistribution][source]#

Get default grid for tuning hyperparameters.

This grid tunes parameters: order.0, order.1, order.2. If self.season_length is greater than one, then it also tunes parameters: seasonal_order.0, seasonal_order.1, seasonal_order.2. Other parameters are expected to be set by the user.

Returns:: Grid to tune.
Return type:: Dict[str, BaseDistribution]

predict(ts: TSDataset, prediction_interval: bool = False, quantiles: Sequence[float] = (0.025, 0.975), return_components: bool = False) → TSDataset[source]#

Make predictions with using true values as autoregression context if possible (teacher forcing).

Parameters:

ts (TSDataset) – Dataset with features
prediction_interval (bool) – If True returns prediction interval for forecast
quantiles (Sequence[float]) – Levels of prediction distribution. By default 2.5% and 97.5% are taken to form a 95% prediction interval
return_components (bool) – If True additionally returns prediction components

Returns:

Dataset with predictions

Return type:

TSDataset

save(path: Path)[source]#

Save the object.

Parameters:: path (Path) – Path to save object to.

set_params(**params: dict) → Self[source]#

Return new object instance with modified parameters.

Method also allows to change parameters of nested objects within the current object. For example, it is possible to change parameters of a model in a Pipeline.

Nested parameters are expected to be in a <component_1>.<...>.<parameter> form, where components are separated by a dot.

Parameters:: **params (dict) – Estimator parameters
Returns:: New instance with changed parameters
Return type:: Self

Examples

>>> from etna.pipeline import Pipeline
>>> from etna.models import NaiveModel
>>> from etna.transforms import AddConstTransform
>>> model = NaiveModel(lag=1)
>>> transforms = [AddConstTransform(in_column="target", value=1)]
>>> pipeline = Pipeline(model, transforms=transforms, horizon=3)
>>> pipeline.set_params(**{"model.lag": 3, "transforms.0.value": 2})
Pipeline(model = NaiveModel(lag = 3, ), transforms = [AddConstTransform(in_column = 'target', value = 2, inplace = True, out_column = None, )], horizon = 3, )

to_dict()[source]#: Collect all information about etna object in dict.

property context_size: int[source]#

Context size of the model. Determines how many history points do we ask to pass to the model.

Zero for this model.