tinkoff-ai/etna 1.6.0

etna 1.6.0

on GitHub

Highlights:

• New transforms for feature engineering: DifferencingTransform, OneHotEncoderTransform, LabelEncoderTransform, MADTransform.
• New transform for feature selection: MRMRFeatureSelectionTransform.
• Warnings in docstrings about possible look-ahead bias in case of using some transfroms.
• Version update of sklearn, pytorch-forecasting and PytorchForecastingTransform api minor changes.
• Fixes for SARIMAX non-default parameters.
• TSDataset.describe method for high-level information about provided time series: % of missing values, number of segments, first and last dates and etc.

Full changelog:

Added

• Method TSDataset.info (#409)
• DifferencingTransform (#414)
• OneHotEncoderTransform and LabelEncoderTransform (#431)
• MADTransform (#441)
• MRMRFeatureSelectionTransform (#439)
• Possibility to change metric representation in backtest using Metric.name (#454)
• Warning section in documentation about look-ahead bias (#464)
• Parameter figsize to all the plotters #465

Changed

• Change method TSDataset.describe (#409)
• Group Transforms according to their impact (#420)
• Change the way LagTransform, DateFlagsTransform and TimeFlagsTransform generate column names (#421)
• Clarify the behaviour of TimeSeriesImputerTransform in case of all NaN values (#427)
• Fixed bug in title in sample_acf_plot method (#432)
• Pytorch-forecasting and sklearn version update + some pytroch transform API changing (#445)

Fixed

• Add relevance_params in GaleShapleyFeatureSelectionTransform (#410)
• Docs for statistics transforms (#441)
• Handling NaNs in trend transforms (#456)
• Logger fails with StackingEnsemble (#460)
• SARIMAX parameters fix (#459)
• [BUG] Check pytorch-forecasting models with freq > "1D" (#463)