tinkoff-ai/etna 1.5.0

etna 1.5.0

on GitHub

Highlights:

• We extend our family of loggers by adding S3FileLogger and LocalFileLogger. They partially duplicate behaviour of WandbLogger: you can run multiple experiments (via Optuna, HyperOpt or cutom loop as example) with different hyperparameters and transformers, save results locally or on S3 and analyze results afterwards.
• HolidayTransfrom on the base of holidays library.
• Bug fixies for prediction intervals - now they change after inverse_transform like target.
• We change behaviour of fit_transform:
  • before we raised error if some timeseries ended on NaN values
  • now checking will be made only before forecasting phase, so you can fill NaNs with TimeSeriesImputerTransform and make predictions without raised errors.

N.B.

Special thanks to @Gewissta and his videos about timeseries analysis with ETNA library

• Part 1 (Russian)
• Part 2 (Russian)

Full changelog:

Added

• Holiday Transform (#359)
• S3FileLogger and LocalFileLogger (#372)
• Parameter changepoint_prior_scale to ProphetModel (#408)

Changed

• Set strict_optional = True for mypy (#381)
• Move checking the series endings to make_future step (#413)

Fixed

• Sarimax bug in future prediction with quantiles (#391)
• Catboost version too high (#394)
• Add sorting of classes in left bar in docs (#397)
• nn notebook in docs (#396)
• SklearnTransform column name generation (#398)
• Inverse transform doesn't affect quantiles (#395)