Skip to content

Instantly share code, notes, and snippets.

@rcslight

rcslight/2023_05_23_statsforecast_cv_example.ipynb Secret

Created May 23, 2023 12:34
Show Gist options
  • Save rcslight/81651ff9d8e372026100ebd32a6789e8 to your computer and use it in GitHub Desktop.
Save rcslight/81651ff9d8e372026100ebd32a6789e8 to your computer and use it in GitHub Desktop.
Download ZIP
quick statsforecast cross validation example.
Display the source blob
Display the rendered blob
Raw
2023_05_23_statsforecast_cv_example.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>ds</th>\n",
" <th>cutoff</th>\n",
" <th>y</th>\n",
" <th>SESOpt</th>\n",
" </tr>\n",
" <tr>\n",
" <th>unique_id</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1958-12-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>360.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-01-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>342.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-02-28</td>\n",
" <td>1958-11-30</td>\n",
" <td>406.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-03-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>396.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-04-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>420.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-05-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>472.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-06-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>548.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-07-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>559.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-08-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>463.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-09-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>407.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-10-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>362.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-11-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>405.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1959-12-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>417.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-01-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>391.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-02-29</td>\n",
" <td>1958-11-30</td>\n",
" <td>419.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-03-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>461.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-04-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>472.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-05-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>535.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-06-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>622.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-07-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>606.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-08-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>508.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-09-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>461.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-10-31</td>\n",
" <td>1958-11-30</td>\n",
" <td>390.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AirPassengers</th>\n",
" <td>1960-11-30</td>\n",
" <td>1958-11-30</td>\n",
" <td>432.0</td>\n",
" <td>336.734955</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" ds cutoff y SESOpt\n",
"unique_id \n",
"AirPassengers 1958-12-31 1958-11-30 360.0 336.734955\n",
"AirPassengers 1959-01-31 1958-11-30 342.0 336.734955\n",
"AirPassengers 1959-02-28 1958-11-30 406.0 336.734955\n",
"AirPassengers 1959-03-31 1958-11-30 396.0 336.734955\n",
"AirPassengers 1959-04-30 1958-11-30 420.0 336.734955\n",
"AirPassengers 1959-05-31 1958-11-30 472.0 336.734955\n",
"AirPassengers 1959-06-30 1958-11-30 548.0 336.734955\n",
"AirPassengers 1959-07-31 1958-11-30 559.0 336.734955\n",
"AirPassengers 1959-08-31 1958-11-30 463.0 336.734955\n",
"AirPassengers 1959-09-30 1958-11-30 407.0 336.734955\n",
"AirPassengers 1959-10-31 1958-11-30 362.0 336.734955\n",
"AirPassengers 1959-11-30 1958-11-30 405.0 336.734955\n",
"AirPassengers 1959-12-31 1958-11-30 417.0 336.734955\n",
"AirPassengers 1960-01-31 1958-11-30 391.0 336.734955\n",
"AirPassengers 1960-02-29 1958-11-30 419.0 336.734955\n",
"AirPassengers 1960-03-31 1958-11-30 461.0 336.734955\n",
"AirPassengers 1960-04-30 1958-11-30 472.0 336.734955\n",
"AirPassengers 1960-05-31 1958-11-30 535.0 336.734955\n",
"AirPassengers 1960-06-30 1958-11-30 622.0 336.734955\n",
"AirPassengers 1960-07-31 1958-11-30 606.0 336.734955\n",
"AirPassengers 1960-08-31 1958-11-30 508.0 336.734955\n",
"AirPassengers 1960-09-30 1958-11-30 461.0 336.734955\n",
"AirPassengers 1960-10-31 1958-11-30 390.0 336.734955\n",
"AirPassengers 1960-11-30 1958-11-30 432.0 336.734955"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"from statsforecast import StatsForecast\n",
"from statsforecast.models import SimpleExponentialSmoothingOptimized\n",
"import pandas as pd\n",
"\n",
"df = pd.read_csv('https://datasets-nixtla.s3.amazonaws.com/air-passengers.csv')\n",
"df.head()\n",
"\n",
"models = [\n",
" SimpleExponentialSmoothingOptimized()\n",
"\n",
"]\n",
"sf = StatsForecast(\n",
" models = models,\n",
" freq = 'M'\n",
")\n",
"\n",
"sf.fit(df)\n",
"sf.cross_validation(h=24)"
]
}
],
"metadata": {
"kernelspec": {
"display_name": ".venv",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.10.6"
},
"orig_nbformat": 4
},
"nbformat": 4,
"nbformat_minor": 2
}
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment