Code for "Long Range Probabilistic Forecasting in Time-Series using High Order Statistics"

Overview

Long Range Probabilistic Forecasting in Time-Series using High Order Statistics

This is the code produced as part of the paper Long Range Probabilistic Forecasting in Time-Series using High Order Statistics

Long Range Probabilistic Forecasting in Time-Series using High Order Statistics.

Prathamesh Deshpande and Sunita Sarawagi. arXiv:2111.03394v1.

How to work with Command Line Arguments?

  • If an optional argument is not passed, it's value will be extracted from configuration specified in the file main.py (based on dataset_name, model_name).
  • If a valid argument value is passed through command line arguments, the code will use it further. That is, it will ignore the value assigned in the configuration.

Command Line Arguments Information

Argument name Type Valid Assignments Default
dataset_name str azure, ett, etthourly, Solar, taxi30min, Traffic911 positional argument
saved_models_dir str - None
output_dir str - None
N_input int >0 -1
N_output int >0 -1
epochs int >0 -1
normalize str same, zscore_per_series, gaussian_copula, log None
learning_rate float >0 -1.0
hidden_size int >0 -1
num_grulstm_layers int >0 -1
batch_size int >0 -1
v_dim int >0 -1
t2v_type str local, idx, mdh_lincomb, mdh_parti None
K_list [int,...,int ] [>0,...,>0 ] []
device str - None

Datasets

All the datasets can be found here.

Add the dataset files/directories in data directory before running the code.

Output files

Targets and Forecasts

Following output files are stored in the <output_dir>/<dataset_name>/ directory.

File name Description
inputs.npy Test input values, size: number of time-series x N_input
targets.npy Test target/ground-truth values, size: number of time-series x N_output
<model_name>_pred_mu.npy Mean forecast values. The size of the matrix is number of time-series x number of time-steps
<model_name>_pred_std.npy Standard-deviation of forecast values. The size of the matrix is number of time-series x number of time-steps

Metrics

All the evaluation metrics on test data are stored in <output_dir>/results_<dataset_name>.json in the following format:

{
  <model_name1>: 
    {
      'crps':<crps>,
      'mae':<mae>,
      'mse':<mse>,
      'smape':<smape>,
      'dtw':<dtw>,
      'tdi':<tdi>,
    }
  <model_name2>: 
    {
      'crps':<crps>,
      'mae':<mae>,
      'mse':<mse>,
      'smape':<smape>,
      'dtw':<dtw>,
      'tdi':<tdi>,
    }
    .
    .
    .
}

Here <model_name1>, <model_name2>, ... are different models under consideration.

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