time_series_regression_pipeline#

Pipeline base class for time series regression problems.

Module Contents#

Classes Summary#

TimeSeriesRegressionPipeline

Pipeline base class for time series regression problems.

Contents#

class evalml.pipelines.time_series_regression_pipeline.TimeSeriesRegressionPipeline(component_graph, parameters=None, custom_name=None, random_seed=0)[source]#

Pipeline base class for time series regression problems.

Parameters
  • component_graph (ComponentGraph, list, dict) – ComponentGraph instance, list of components in order, or dictionary of components. Accepts strings or ComponentBase subclasses in the list. Note that when duplicate components are specified in a list, the duplicate component names will be modified with the component’s index in the list. For example, the component graph [Imputer, One Hot Encoder, Imputer, Logistic Regression Classifier] will have names [“Imputer”, “One Hot Encoder”, “Imputer_2”, “Logistic Regression Classifier”]

  • parameters (dict) – Dictionary with component names as keys and dictionary of that component’s parameters as values. An empty dictionary {} implies using all default values for component parameters. Pipeline-level parameters such as time_index, gap, and max_delay must be specified with the “pipeline” key. For example: Pipeline(parameters={“pipeline”: {“time_index”: “Date”, “max_delay”: 4, “gap”: 2}}).

  • random_seed (int) – Seed for the random number generator. Defaults to 0.

Example

>>> pipeline = TimeSeriesRegressionPipeline(component_graph=["Simple Imputer", "Linear Regressor"],
...                                                       parameters={"Simple Imputer": {"impute_strategy": "mean"},
...                                                                   "pipeline": {"gap": 1, "max_delay": 1, "forecast_horizon": 1, "time_index": "date"}},
...                                                       custom_name="My TimeSeriesRegression Pipeline")
...
>>> assert pipeline.custom_name == "My TimeSeriesRegression Pipeline"
>>> assert pipeline.component_graph.component_dict.keys() == {'Simple Imputer', 'Linear Regressor'}

The pipeline parameters will be chosen from the default parameters for every component, unless specific parameters were passed in as they were above.

>>> assert pipeline.parameters == {
...     'Simple Imputer': {'impute_strategy': 'mean', 'fill_value': None},
...     'Linear Regressor': {'fit_intercept': True, 'n_jobs': -1},
...     'pipeline': {'gap': 1, 'max_delay': 1, 'forecast_horizon': 1, 'time_index': "date"}}

Attributes

NO_PREDS_PI_ESTIMATORS

ProblemTypes.TIME_SERIES_REGRESSION

problem_type

None

Methods

can_tune_threshold_with_objective

Determine whether the threshold of a binary classification pipeline can be tuned.

clone

Constructs a new pipeline with the same components, parameters, and random seed.

create_objectives

Create objective instances from a list of strings or objective classes.

custom_name

Custom name of the pipeline.

dates_needed_for_prediction

Return dates needed to forecast the given date in the future.

dates_needed_for_prediction_range

Return dates needed to forecast the given date in the future.

describe

Outputs pipeline details including component parameters.

feature_importance

Importance associated with each feature. Features dropped by the feature selection are excluded.

fit

Fit a time series pipeline.

fit_transform

Fit and transform all components in the component graph, if all components are Transformers.

get_component

Returns component by name.

get_forecast_period

Generates all possible forecasting time points based on latest data point in X.

get_forecast_predictions

Generates all possible forecasting predictions based on last period of X.

get_hyperparameter_ranges

Returns hyperparameter ranges from all components as a dictionary.

get_prediction_intervals

Find the prediction intervals using the fitted regressor.

graph

Generate an image representing the pipeline graph.

graph_dict

Generates a dictionary with nodes consisting of the component names and parameters, and edges detailing component relationships. This dictionary is JSON serializable in most cases.

graph_feature_importance

Generate a bar graph of the pipeline's feature importance.

inverse_transform

Apply component inverse_transform methods to estimator predictions in reverse order.

load

Loads pipeline at file path.

model_family

Returns model family of this pipeline.

name

Name of the pipeline.

new

Constructs a new instance of the pipeline with the same component graph but with a different set of parameters. Not to be confused with python's __new__ method.

parameters

Parameter dictionary for this pipeline.

predict

Predict on future data where target is not known.

predict_in_sample

Predict on future data where the target is known, e.g. cross validation.

save

Saves pipeline at file path.

score

Evaluate model performance on current and additional objectives.

summary

A short summary of the pipeline structure, describing the list of components used.

transform

Transform the input.

transform_all_but_final

Transforms the data by applying all pre-processing components.

can_tune_threshold_with_objective(self, objective)#

Determine whether the threshold of a binary classification pipeline can be tuned.

Parameters

objective (ObjectiveBase) – Primary AutoMLSearch objective.

Returns

True if the pipeline threshold can be tuned.

Return type

bool

clone(self)#

Constructs a new pipeline with the same components, parameters, and random seed.

Returns

A new instance of this pipeline with identical components, parameters, and random seed.

static create_objectives(objectives)#

Create objective instances from a list of strings or objective classes.

property custom_name(self)#

Custom name of the pipeline.

dates_needed_for_prediction(self, date)#

Return dates needed to forecast the given date in the future.

Parameters

date (pd.Timestamp) – Date to forecast in the future.

Returns

Range of dates needed to forecast the given date.

Return type

dates_needed (tuple(pd.Timestamp))

dates_needed_for_prediction_range(self, start_date, end_date)#

Return dates needed to forecast the given date in the future.

Parameters
  • start_date (pd.Timestamp) – Start date of range to forecast in the future.

  • end_date (pd.Timestamp) – End date of range to forecast in the future.

Returns

Range of dates needed to forecast the given date.

Return type

dates_needed (tuple(pd.Timestamp))

Raises

ValueError – If start_date doesn’t come before end_date

describe(self, return_dict=False)#

Outputs pipeline details including component parameters.

Parameters

return_dict (bool) – If True, return dictionary of information about pipeline. Defaults to False.

Returns

Dictionary of all component parameters if return_dict is True, else None.

Return type

dict

property feature_importance(self)#

Importance associated with each feature. Features dropped by the feature selection are excluded.

Returns

Feature names and their corresponding importance

Return type

pd.DataFrame

fit(self, X, y)[source]#

Fit a time series pipeline.

Parameters
  • X (pd.DataFrame or np.ndarray) – The input training data of shape [n_samples, n_features].

  • y (pd.Series, np.ndarray) – The target training targets of length [n_samples].

Returns

self

Raises

ValueError – If the target is not numeric.

fit_transform(self, X, y)#

Fit and transform all components in the component graph, if all components are Transformers.

Parameters
  • X (pd.DataFrame) – Input features of shape [n_samples, n_features].

  • y (pd.Series) – The target data of length [n_samples].

Returns

Transformed output.

Return type

pd.DataFrame

Raises

ValueError – If final component is an Estimator.

get_component(self, name)#

Returns component by name.

Parameters

name (str) – Name of component.

Returns

Component to return

Return type

Component

get_forecast_period(self, X)[source]#

Generates all possible forecasting time points based on latest data point in X.

Parameters

X (pd.DataFrame, np.ndarray) – Data the pipeline was trained on of shape [n_samples_train, n_feautures].

Raises

ValueError – If pipeline is not trained.

Returns

Datetime periods out to forecast_horizon + gap.

Return type

pd.Series

Example

>>> X = pd.DataFrame({'date': pd.date_range(start='1-1-2022', periods=10, freq='D'), 'feature': range(10, 20)})
>>> y = pd.Series(range(0, 10), name='target')
>>> gap = 1
>>> forecast_horizon = 2
>>> pipeline = TimeSeriesRegressionPipeline(component_graph=["Linear Regressor"],
...                                         parameters={"Simple Imputer": {"impute_strategy": "mean"},
...                                                     "pipeline": {"gap": gap, "max_delay": 1, "forecast_horizon": forecast_horizon, "time_index": "date"}},
...                                        )
>>> pipeline.fit(X, y)
pipeline = TimeSeriesRegressionPipeline(component_graph={'Linear Regressor': ['Linear Regressor', 'X', 'y']}, parameters={'Linear Regressor':{'fit_intercept': True, 'n_jobs': -1}, 'pipeline':{'gap': 1, 'max_delay': 1, 'forecast_horizon': 2, 'time_index': 'date'}}, random_seed=0)
>>> dates = pipeline.get_forecast_period(X)
>>> expected = pd.Series(pd.date_range(start='2022-01-11', periods=(gap + forecast_horizon), freq='D'), name='date', index=[10, 11, 12])
>>> assert dates.equals(expected)
get_forecast_predictions(self, X, y)[source]#

Generates all possible forecasting predictions based on last period of X.

Parameters
  • X (pd.DataFrame, np.ndarray) – Data the pipeline was trained on of shape [n_samples_train, n_feautures].

  • y (pd.Series, np.ndarray) – Targets used to train the pipeline of shape [n_samples_train].

Returns

Predictions out to forecast_horizon + gap periods.

get_hyperparameter_ranges(self, custom_hyperparameters)#

Returns hyperparameter ranges from all components as a dictionary.

Parameters

custom_hyperparameters (dict) – Custom hyperparameters for the pipeline.

Returns

Dictionary of hyperparameter ranges for each component in the pipeline.

Return type

dict

get_prediction_intervals(self, X, y=None, X_train=None, y_train=None, coverage=None)[source]#

Find the prediction intervals using the fitted regressor.

This function takes the predictions of the fitted estimator and calculates the rolling standard deviation across all predictions using a window size of 5. The lower and upper predictions are determined by taking the percent point (quantile) function of the lower tail probability at each bound multiplied by the rolling standard deviation.

Certain estimators (Extra Trees Estimator, XGBoost Estimator, Prophet Estimator, ARIMA, and Exponential Smoothing estimator) utilize a different methodology to calculate prediction intervals. See the docs for these estimators to learn more.

Parameters
  • X (pd.DataFrame) – Data of shape [n_samples, n_features].

  • y (pd.Series) – Target data. Ignored.

  • X_train (pd.DataFrame, np.ndarray) – Data the pipeline was trained on of shape [n_samples_train, n_features].

  • y_train (pd.Series, np.ndarray) – Targets used to train the pipeline of shape [n_samples_train].

  • coverage (list[float]) – A list of floats between the values 0 and 1 that the upper and lower bounds of the prediction interval should be calculated for.

Returns

Prediction intervals, keys are in the format {coverage}_lower or {coverage}_upper.

Return type

dict

Raises

MethodPropertyNotFoundError – If the estimator does not support Time Series Regression as a problem type.

graph(self, filepath=None)#

Generate an image representing the pipeline graph.

Parameters

filepath (str, optional) – Path to where the graph should be saved. If set to None (as by default), the graph will not be saved.

Returns

Graph object that can be directly displayed in Jupyter notebooks.

Return type

graphviz.Digraph

Raises
  • RuntimeError – If graphviz is not installed.

  • ValueError – If path is not writeable.

graph_dict(self)#

Generates a dictionary with nodes consisting of the component names and parameters, and edges detailing component relationships. This dictionary is JSON serializable in most cases.

x_edges specifies from which component feature data is being passed. y_edges specifies from which component target data is being passed. This can be used to build graphs across a variety of visualization tools. Template: {“Nodes”: {“component_name”: {“Name”: class_name, “Parameters”: parameters_attributes}, …}}, “x_edges”: [[from_component_name, to_component_name], [from_component_name, to_component_name], …], “y_edges”: [[from_component_name, to_component_name], [from_component_name, to_component_name], …]}

Returns

A dictionary representing the DAG structure.

Return type

dag_dict (dict)

graph_feature_importance(self, importance_threshold=0)#

Generate a bar graph of the pipeline’s feature importance.

Parameters

importance_threshold (float, optional) – If provided, graph features with a permutation importance whose absolute value is larger than importance_threshold. Defaults to zero.

Returns

A bar graph showing features and their corresponding importance.

Return type

plotly.Figure

Raises

ValueError – If importance threshold is not valid.

inverse_transform(self, y)#

Apply component inverse_transform methods to estimator predictions in reverse order.

Components that implement inverse_transform are PolynomialDecomposer, LogTransformer, LabelEncoder (tbd).

Parameters

y (pd.Series) – Final component features.

Returns

The inverse transform of the target.

Return type

pd.Series

static load(file_path)#

Loads pipeline at file path.

Parameters

file_path (str) – Location to load file.

Returns

PipelineBase object

property model_family(self)#

Returns model family of this pipeline.

property name(self)#

Name of the pipeline.

new(self, parameters, random_seed=0)#

Constructs a new instance of the pipeline with the same component graph but with a different set of parameters. Not to be confused with python’s __new__ method.

Parameters
  • parameters (dict) – Dictionary with component names as keys and dictionary of that component’s parameters as values. An empty dictionary or None implies using all default values for component parameters. Defaults to None.

  • random_seed (int) – Seed for the random number generator. Defaults to 0.

Returns

A new instance of this pipeline with identical components.

property parameters(self)#

Parameter dictionary for this pipeline.

Returns

Dictionary of all component parameters.

Return type

dict

predict(self, X, objective=None, X_train=None, y_train=None)#

Predict on future data where target is not known.

Parameters
  • X (pd.DataFrame, or np.ndarray) – Data of shape [n_samples, n_features].

  • objective (Object or string) – The objective to use to make predictions.

  • X_train (pd.DataFrame or np.ndarray or None) – Training data.

  • y_train (pd.Series or None) – Training labels.

Raises

ValueError – If X_train and/or y_train are None or if final component is not an Estimator.

Returns

Predictions.

predict_in_sample(self, X, y, X_train, y_train, objective=None)#

Predict on future data where the target is known, e.g. cross validation.

Parameters
  • X (pd.DataFrame or np.ndarray) – Future data of shape [n_samples, n_features]

  • y (pd.Series, np.ndarray) – Future target of shape [n_samples]

  • X_train (pd.DataFrame, np.ndarray) – Data the pipeline was trained on of shape [n_samples_train, n_feautures]

  • y_train (pd.Series, np.ndarray) – Targets used to train the pipeline of shape [n_samples_train]

  • objective (ObjectiveBase, str, None) – Objective used to threshold predicted probabilities, optional.

Returns

Estimated labels.

Return type

pd.Series

Raises

ValueError – If final component is not an Estimator.

save(self, file_path, pickle_protocol=cloudpickle.DEFAULT_PROTOCOL)#

Saves pipeline at file path.

Parameters
  • file_path (str) – Location to save file.

  • pickle_protocol (int) – The pickle data stream format.

score(self, X, y, objectives, X_train=None, y_train=None)[source]#

Evaluate model performance on current and additional objectives.

Parameters
  • X (pd.DataFrame or np.ndarray) – Data of shape [n_samples, n_features].

  • y (pd.Series) – True labels of length [n_samples].

  • objectives (list) – Non-empty list of objectives to score on.

  • X_train (pd.DataFrame, np.ndarray) – Data the pipeline was trained on of shape [n_samples_train, n_feautures].

  • y_train (pd.Series, np.ndarray) – Targets used to train the pipeline of shape [n_samples_train].

Returns

Ordered dictionary of objective scores.

Return type

dict

property summary(self)#

A short summary of the pipeline structure, describing the list of components used.

Example: Logistic Regression Classifier w/ Simple Imputer + One Hot Encoder

Returns

A string describing the pipeline structure.

transform(self, X, y=None)#

Transform the input.

Parameters
  • X (pd.DataFrame, or np.ndarray) – Data of shape [n_samples, n_features].

  • y (pd.Series) – The target data of length [n_samples]. Defaults to None.

Returns

Transformed output.

Return type

pd.DataFrame

transform_all_but_final(self, X, y=None, X_train=None, y_train=None)#

Transforms the data by applying all pre-processing components.

Parameters
  • X (pd.DataFrame) – Input data to the pipeline to transform.

  • y (pd.Series) – Targets corresponding to the pipeline targets.

  • X_train (pd.DataFrame) – Training data used to generate generates from past observations.

  • y_train (pd.Series) – Training targets used to generate features from past observations.

Returns

New transformed features.

Return type

pd.DataFrame