Feat/specify lags per component for RegressionModel #1962
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…component-specific lags
…same number of components
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Thanks a lot @madtoinou, this looks great 🚀
Only had some suggestions about simplifying the lag handling in the model constructor, and some docs rephrasing here and there.
Co-authored-by: Dennis Bader <[email protected]>
… check and processing of the values
… check and processing of the values
… limit iteration of the series
… tests parametrization
| # cannot use 'default_lags' because it's converted in `fit()`, before calling `_created_lagged_data` | ||
| model_instance = RegressionModel( | ||
| lags={"0-trgt-0": [-4, -3], "0-trgt-1": [-3, -2], "0-trgt-2": [-2, -1]}, | ||
| lags_past_covariates={"0-pcov-0": [-10], "0-pvoc-1": [-7]}, |
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Shouldn't the second component's name be "0-pcov-1"? Is it a bug that the model doesn't raise an error for a wrong component name?
| lags_past_covariates={"0-pcov-0": [-10], "0-pvoc-1": [-7]}, | |
| lags_past_covariates={"0-pcov-0": [-10], "0-pcov-1": [-7]}, |
Co-authored-by: Dennis Bader <[email protected]>
…hen using dict to define the lags
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Looks great now, thanks a lot @madtoinou 🚀
After we check the issue from our discussion today, we can merge this one
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Very nice, thanks a lot @madtoinou, everything looks great now 💯
🚀
Fixes #1110.
Summary
RegressionModel's constructor acceptsDict[str, Sequence[int]]for the argumentslags,lags_past_covariatesandlags_future_covariates. The keys in the dictionary must correspond to the name of the components of the series used for training (or the first series when using multiple series) as well as the components generated by the encoders (when applicable).lagged_features_nameattribute was updated accordinglyOther Information
_create_lagged_data_by_moving_windowsupports extracting the values for each component independently, it's the function used by default inRegressionModel._create_lagged_dataand the user cannot change it from the API.ShapExplaineris working as intented with component-specific lags.