# Author: Antoine Carme <antoine.carme@laposte.net>

# License: BSD 3 clause

PyAF (Python Automatic Forecasting)

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PyAF is an Open Source Python library for Automatic Forecasting built on top of popular data science python modules : numpy, scipy, pandas and scikit-learn.

PyAF works as an automated process for predicting future values of a signal using a machine learning approach. It provides a set of features that is comparable to some popular commercial automatic forecasting products.

PyAF is distributed under the 3-Clause BSD license.

Features

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PyAF allows forecasting a time series for future values in a fully automated way.

PyAF uses Pandas as a data access layer. It consumes data from a pandas data-frame (with time and signal columns), builds a time series model, and outputs the forecasts in a pandas data-frame. Pandas is an excellent data access layer, it allows reading/writing a huge set of file formats, accessing various data sources (databases) and has an extensive set of algorithms to handle data-frames (aggregation, statistics, linear algebra, plotting etc).

PyAF statistical time series models are built/estimated/trained using scikit-learn library (http://scikit-learn.org).

The following features are available :

1. Training a model to forecast a time series (given in a pandas data-frame with time and signal columns).

• PyAF uses a machine learning approach (The signal is cut into Estimation and validation parts, respectively, 80% and 20% of the signal).

2. Forecasting a time series model on a given horizon (forecast result is also pandas data-frame) and computes prediction/confidence intervals for the forecasts.

3. Generic training features

• Signal decomposition as the sum of a trend, periodic and AR component (https://en.wikipedia.org/wiki/Decomposition_of_time_series)

• PyAF works as a competition between a comprehensive set of possible signal transformations and linear decompositions. For each transformed signal , a set of possible trends, periodic components and AR models is generated and all the possible combinations are estimated. The best decomposition in term of performance is kept to forecast the signal (the performance is computed on a part of the signal that was not used for the estimation).

• Signal transformation is supported before signal decompositions. Four transformations are supported by default. Other transformation are available (Box-Cox etc).

• All Models are estimated using standard procedures and state-of-the-art time series modeling. For example, trend regressions and AR/ARX models are estimated using scikit-learn linear regression models.

• Standard performance measures are used (L1, RMSE, MAPE, etc)

3. Exogenous Data Support

• Exogenous data can be provided to improve the forecasts. These are expected to be stored in an external data-frame (this data-frame will be merged with the training data-frame).

• Exogenous data are integrated in the modeling process through their past values (ARX models, https://en.wikipedia.org/wiki/Autoregressive%E2%80%93moving-average_model).

• Exogenous variables can be of any type (numeric, string , date, or object).

• Exogenous variables are dummified for the non-numeric types, and standardized for the numeric types.

5. PyAF implements hierarchical forecasting. It follows the excellent Rob J Hyndman and George Athanasopoulos book approach (https://www.otexts.org/fpp/9/4).

• Hierarchies and grouped time series are supported.

• Bottom-Up, Top-Down (using proportions) and Optimal Combinations are implemented.

6. The modeling process is customizable and has a huge set of options. The default values of these options should however be OK.

7. A benchmarking process is progressing (using M1, M2, M3 competitions, NN3, NN5 data).

8. Basic plotting functions using matplotlib with standard time series and forecasts plots.

9. Software Quality Highlights

• An object-oriented approach is used for the system design. Separation of concerns is the key factor here.

• Fully written in python with numpy, scipy, pandas and scikit-learn objects. Tries to be column-based everywhere for performance reasons.

• A test-driven approach is used. Test scripts are available in the test directory.

  • Some jupyter notebooks are available for demo purposes with standard time series and forecasts plots.

• Very simple API for training and forecasting.

10. A basic REST Web Service (Flask) effort is starting.

11. A project for SQL generation is started (using core SLQAlchemy expressions). The goal is to be able to export the forecasts as a SQL code to ease the production mode. SLQAlchemy provides agnostic support of a large set of databases.

PyAF is a work in progress. The set of features is evolving. Your feature requests, comments, help, hints are welcome.

Installation

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Use the source !!!!

Dependencies

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PyAF requires::

- scikit-learn.

- Pandas

- Python (>= 3.5),

- NumPy,

- SciPy.

- matplotlib

- SQLAlchemy (for code generation , optional).

Development

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Code contributions are welcome. Bug reports, request for new features and documentation, tests are welcome. Please use Github platform for these tasks.

Source code

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You can check the latest sources of PyAF from Github with the command::

git clone https://github.com/antoinecarme/pyaf.git

Project history

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This project was started in summer 2016 as a POC to check the feasibility of an automatic forecasting tool based only on python available data science software (numpy, scipy, pandas, scikit-learn etc).

PyAF is provided as an open source library (BSD-3 License).

See the AUTHORS.rst file for a complete list of contributors.

Help and Support

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PyAF is currently maintained by the original developer. PyAF support will be provided when possible.

Bug reports, Improvement requests, Documentation, Hints and Test scripts are welcome. Please use the Github platform for these tasks.

Documentation

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The code is not yet fully documented. This is a top priority. The sample notebooks can be seen as tutorials.

Communication

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Comments , appreciations, remarks , etc .... are welcome. Your feedback is welcome if you use this library in a project or a publication.