使用sktime进行时间序列分类（接力）

时间序列相信大家都有接触了，废话不说，最近在研究informer 里边涉及一个sktime库    看到后挺方便  放一些学习资料吧(使用sktime进行时间序列分类第2部分_weixin_26704853的博客-CSDN博客这个大佬没有写第一部分  将第一部分分享给大家)

Learn All About Using Sktime For Time Series

Forecasting (Part 1)

What is Sktime?

It is a new open-source scikit-learns compatible python library which provides a

unified interface for machine learning with time-series related tasks, these tasks

are closely related to learning-based tasks such as:

Time-Series Forecasting;

Time-Series Regression;

Time-Series Classification.

Sktime extends the machine learning capabilities of the scikit learns library which is used

to reduce the complex relation between Time-Series tasks into related simpler tasks

and hence it can be solved efficiently and easily.

Performing Reductions with Time-Series

Time-series tasks are closely related, each with distinct learning settings can be

solved via Reductions . Using Reduction , any algorithm for a particular task gets

converted into a learning algorithm for the new task and if any changes are made to

the original algorithm, changes are immediately transferred to the new task.

Reductions usually involve segmenting task to be performed into simpler sub-tasks

and all the segments solutions are composed to give the solution of the original

task, hence Reductions are good ways to reduce confusion between tasks and help

us better understand the relationships between tasks and it can be used to solve

more complicated tasks.

An example of reduction can be solving classical forecasting tasks through time-series

regression via a sliding windows approach and iterating over the forecasting horizon.

Task-Specific Estimators and Transformers

As we all know in scikit-learn we use the fit method to learn training data for a

model and predict to make any predictions based on the model and test-data,

similarly, estimators in sktime are task-specific means they extend scikit-learns

regressor and classifiers to their own time-series as well. They have their own estimators

also such as forecasters and supervised forecasters with the same fit and predict

method.

Similar to estimators we have transformers in sktime which also consists of a fit

method to fit and learn the training data and a transform method that transforms

the input data. There are different types of data transformations available for different

types of tasks such as:

1. Tabular: Similar to transformers in scikit-learn.

2. Series-to-Primitives: Transforms time series for each instance into a primitive

number.

3. Series-to-Series: Transforms time series for each instance into a series i.e the output

of the transformation is itself a series instead of a primitive number.

4. Detrending: transforms an input time series into a detrended time series in the same

range/domain as the input series.

Time-Series Forecasting with Sktime

Let past observations for a single time-series be represented as:

y = [y(t1), y(t2), ....., y(tn)]

The task here is to learn a forecaster F which can make accurate temporal

predictions in future out of all the observations at a given time in point hj of the

forecasting horizon, where predictions are represented by:

Y = F(hj) or Y = [Y(h1), Y(h2), ....., Y(hj)]

Key points to remember

We can apply any scikit-learns regressor to solve our forecasting problem that

means it is compatible with scikit-learn python library.

Easy to tune hyperparameters like the length of sliding window.

To tune and to properly evaluate our model it can adapt scikit-learn estimators

interface to that of forecasters.

The package is available via PyPI using:

pip install sktime

Importing all the required packages and the dataset used for this article is the Box

Jenkins airline data set , which shows the number of international airline

passengers per month from the year 1949–1960.

import numpy as np
from sktime.datasets import load_airline
from sktime.forecasting.theta import ThetaForecaster
from sktime.forecasting.model_selection import temporal_train_test_split
from sktime.performance_metrics.forecasting import smape_loss
y = load_airline()
fig, ax = plot_ys(y)
ax.set(xlabel="Time"
, ylabel="Number of airline passengers"
,
title='Box-Jenkins International Airline passengers per month' )


y = load_airline()
y_train, y_test = temporal_train_test_split(y)
fh = np.arange(1, len(y_test) + 1) # forecasting horizon
forecaster = ThetaForecaster(sp=12) # monthly seasonal periodicity
forecaster.fit(y_train)
y_pred = forecaster.predict(fh)
plot_ys(y_train, y_test, y_pred, labels=["y_train"
,
"y_test"
,
"y_pred"]);
smape_loss(y_test, y_pred)

Note: Sktime comes with several forecasting algorithms, all of which share a

common interface. These forecasters are trained on a single series of data and make

forecasts for the provided forecasting horizon.

Why cannot we use Scikit-learn for forecasting?

Using scikit-learn for forecasting is possible but it comes with many demerits, let us

see why can't we use scikit-learn for forecasting.

1. How to apply the regression algorithm?

In order to perform forecasting, we need to apply regression (also called

reduction) . If we are using scikit-learn, first we need to transform the data into the

required tabular format then fit the regressor and finally generate the forecasts

but this requires a lot of written code which often leads to more error-prone code,

wastes a lot of time and may also involve many implicit hyper-parameters.

2. How to generate forecasts?

If we are using scikit-learn, we can not make multi-step ahead forecasts as we are

making a single step ahead forecasts every time using the most recent data.

Note: Sktime also has a number of statistical forecasting algorithms as well which

are based on implementations in stats models such as:

Exponential smoothing

ARIMA model

Note: Sktime also provides a set of modular APIs for composite model building for

forecasting:

Ensemble

Pipeline

Reducing

Stacking

Summary

To make forecasts with sktime we need to first build a model or specify a model,

then fit the model to learn training data and then predict to generate future

forecasts for the given forecasting horizon.

Sktime also comes with a number of statistical forecasting algorithms for use

and tools for composite model buildings.

References

1. If you want to get your hands dirty, do check out the documentation of sktime.

2. Markus Löning, Anthony Bagnall, Sajaysurya Ganesh, Viktor Kazakov, Jason

Lines, Franz Király (2019): “sktime: A Unified Interface for Machine Learning

with Time Series”

3. https://github.com/alan-turing-institute/sktime

4. https://awesomeopensource.com/project/alan-turing-institute/sktime

参考这个佬使用sktime进行时间序列分类第2部分_weixin_26704853的博客-CSDN博客

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