"""Transformer that delays input features and target variable for time series problems."""
import numpy as np
import pandas as pd
import woodwork as ww
from featuretools.primitives import RollingMean
from scipy.signal import find_peaks
from sklearn.preprocessing import OrdinalEncoder
from skopt.space import Real
from statsmodels.tsa.stattools import acf
from woodwork import logical_types
from evalml.pipelines.components.transformers import LabelEncoder
from evalml.pipelines.components.transformers.transformer import Transformer
from evalml.utils import infer_feature_types
[docs]class TimeSeriesFeaturizer(Transformer):
"""Transformer that delays input features and target variable for time series problems.
This component uses an algorithm based on the autocorrelation values of the target variable
to determine which lags to select from the set of all possible lags.
The algorithm is based on the idea that the local maxima of the autocorrelation function indicate the lags that have
the most impact on the present time.
The algorithm computes the autocorrelation values and finds the local maxima, called "peaks", that are significant at the given
conf_level. Since lags in the range [0, 10] tend to be predictive but not local maxima, the union of the peaks is taken
with the significant lags in the range [0, 10]. At the end, only selected lags in the range [0, max_delay] are used.
Parametrizing the algorithm by conf_level lets the AutoMLAlgorithm tune the set of lags chosen so that the chances
of finding a good set of lags is higher.
Using conf_level value of 1 selects all possible lags.
Args:
time_index (str): Name of the column containing the datetime information used to order the data. Ignored.
max_delay (int): Maximum number of time units to delay each feature. Defaults to 2.
forecast_horizon (int): The number of time periods the pipeline is expected to forecast.
conf_level (float): Float in range (0, 1] that determines the confidence interval size used to select
which lags to compute from the set of [1, max_delay]. A delay of 1 will always be computed. If 1,
selects all possible lags in the set of [1, max_delay], inclusive.
rolling_window_size (float): Float in range (0, 1] that determines the size of the window used for rolling
features. Size is computed as rolling_window_size * max_delay.
delay_features (bool): Whether to delay the input features. Defaults to True.
delay_target (bool): Whether to delay the target. Defaults to True.
gap (int): The number of time units between when the features are collected and
when the target is collected. For example, if you are predicting the next time step's target, gap=1.
This is only needed because when gap=0, we need to be sure to start the lagging of the target variable
at 1. Defaults to 1.
random_seed (int): Seed for the random number generator. This transformer performs the same regardless of the random seed provided.
"""
name = "Time Series Featurizer"
hyperparameter_ranges = {
"conf_level": Real(0.001, 1.0),
"rolling_window_size": Real(0.001, 1.0),
}
"""{"conf_level": Real(0.001, 1.0),
"rolling_window_size": Real(0.001, 1.0)
}"""
needs_fitting = True
target_colname_prefix = "target_delay_{}"
"""target_delay_{}"""
def __init__(
self,
time_index=None,
max_delay=2,
gap=0,
forecast_horizon=1,
conf_level=0.05,
rolling_window_size=0.25,
delay_features=True,
delay_target=True,
random_seed=0,
**kwargs,
):
self.time_index = time_index
self.max_delay = max_delay
self.delay_features = delay_features
self.delay_target = delay_target
self.forecast_horizon = forecast_horizon
self.gap = gap
self.rolling_window_size = rolling_window_size
self.statistically_significant_lags = None
if conf_level is None:
raise ValueError("Parameter conf_level cannot be None.")
if conf_level <= 0 or conf_level > 1:
raise ValueError(
f"Parameter conf_level must be in range (0, 1]. Received {conf_level}.",
)
self.conf_level = conf_level
self.start_delay = self.forecast_horizon + self.gap
parameters = {
"time_index": time_index,
"max_delay": max_delay,
"delay_target": delay_target,
"delay_features": delay_features,
"forecast_horizon": forecast_horizon,
"conf_level": conf_level,
"gap": gap,
"rolling_window_size": rolling_window_size,
}
parameters.update(kwargs)
super().__init__(parameters=parameters, random_seed=random_seed)
[docs] def fit(self, X, y=None):
"""Fits the DelayFeatureTransformer.
Args:
X (pd.DataFrame or np.ndarray): The input training data of shape [n_samples, n_features]
y (pd.Series, optional): The target training data of length [n_samples]
Returns:
self
Raises:
ValueError: if self.time_index is None
"""
if self.time_index is None:
raise ValueError("time_index cannot be None!")
self.statistically_significant_lags = self._find_significant_lags(
y,
conf_level=self.conf_level,
start_delay=self.start_delay,
max_delay=self.max_delay,
)
return self
@staticmethod
def _encode_y_while_preserving_index(y):
y_encoded = LabelEncoder().fit_transform(None, y)[1]
y = pd.Series(y_encoded, index=y.index)
return y
@staticmethod
def _get_categorical_columns(X):
return list(X.ww.select(["category", "boolean"], return_schema=True).columns)
@staticmethod
def _encode_X_while_preserving_index(X_categorical):
return pd.DataFrame(
OrdinalEncoder().fit_transform(X_categorical),
columns=X_categorical.columns,
index=X_categorical.index,
)
@staticmethod
def _find_significant_lags(y, conf_level, start_delay, max_delay):
all_lags = np.arange(start_delay, start_delay + max_delay + 1)
if y is not None:
# Compute the acf and find its peaks
acf_values, ci_intervals = acf(
y,
nlags=len(y) - 1,
fft=True,
alpha=conf_level,
)
peaks, _ = find_peaks(acf_values)
# Significant lags are the union of:
# 1. the peaks (local maxima) that are significant
# 2. The significant lags among the first 10 lags.
# We then filter the list to be in the range [start_delay, start_delay + max_delay]
index = np.arange(len(acf_values))
significant = np.logical_or(ci_intervals[:, 0] > 0, ci_intervals[:, 1] < 0)
first_significant_10 = index[:10][significant[:10]]
significant_lags = (
set(index[significant]).intersection(peaks).union(first_significant_10)
)
# If no lags are significant get the first lag
significant_lags = sorted(significant_lags.intersection(all_lags)) or [
start_delay,
]
else:
significant_lags = all_lags
return significant_lags
def _compute_rolling_transforms(self, X, y, original_features):
"""Compute the rolling features from the original features.
Args:
X (pd.DataFrame or None): Data to transform.
y (pd.Series, or None): Target.
Returns:
pd.DataFrame: Data with rolling features. All new features.
"""
size = int(self.rolling_window_size * self.max_delay)
rolling_mean = RollingMean(
window_length=size + 1,
gap=self.start_delay,
min_periods=size + 1,
)
rolling_mean = rolling_mean.get_function()
numerics = sorted(
set(X.ww.select(["numeric"], return_schema=True).columns).intersection(
original_features,
),
)
data = pd.DataFrame(
{f"{col}_rolling_mean": rolling_mean(X.index, X[col]) for col in numerics},
)
if y is not None and "numeric" in y.ww.semantic_tags:
data[f"target_rolling_mean"] = rolling_mean(y.index, y)
data.index = X.index
data.ww.init(
logical_types={col: "Double" for col in data.columns},
)
return data
def _compute_delays(self, X_ww, y):
"""Computes the delayed features for numeric/categorical features in X and y.
Use the autocorrelation to determine delays.
Args:
X (pd.DataFrame): Data to transform.
y (pd.Series, or None): Target.
Returns:
pd.DataFrame: Data with original features and delays.
"""
cols_to_delay = list(
X_ww.ww.select(
["numeric", "category", "boolean"],
return_schema=True,
).columns,
)
categorical_columns = self._get_categorical_columns(X_ww)
cols_derived_from_categoricals = []
lagged_features = {}
if self.delay_features and len(X_ww) > 0:
X_categorical = self._encode_X_while_preserving_index(
X_ww[categorical_columns],
)
for col_name in cols_to_delay:
col = X_ww[col_name]
if col_name in categorical_columns:
col = X_categorical[col_name]
for t in self.statistically_significant_lags:
feature_name = f"{col_name}_delay_{t}"
lagged_features[f"{col_name}_delay_{t}"] = col.shift(t)
if col_name in categorical_columns:
cols_derived_from_categoricals.append(feature_name)
# Handle cases where the target was passed in
if self.delay_target and y is not None:
if type(y.ww.logical_type) == logical_types.Categorical:
y = self._encode_y_while_preserving_index(y)
for t in self.statistically_significant_lags:
lagged_features[self.target_colname_prefix.format(t)] = y.shift(t)
# Features created from categorical columns should no longer be categorical
lagged_features = pd.DataFrame(lagged_features)
lagged_features.ww.init(
logical_types={col: "Double" for col in lagged_features.columns},
)
lagged_features.index = X_ww.index
return ww.concat_columns([X_ww, lagged_features])