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Description

Probabilistic Time Series Modeling in Python

Programming language: Python
License: Apache License 2.0

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README

GluonTS - Probabilistic Time Series Modeling in Python

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GluonTS is a Python package for probabilistic time series modeling, focusing on deep learning based models, based on PyTorch and MXNet.

Installation

GluonTS requires Python 3.6 or newer, and the easiest way to install it is via pip:

# support for mxnet models, faster datasets
pip install "gluonts[mxnet,pro]"

# support for torch models, faster datasets
pip install "gluonts[torch,pro]"

Simple Example

To illustrate how to use GluonTS, we train a DeepAR-model and make predictions using the simple "airpassengers" dataset. The dataset consists of a single time series, containing monthly international passengers between the years 1949 and 1960, a total of 144 values (12 years * 12 months). We split the dataset into train and test parts, by removing the last three years (36 month) from the train data. Thus, we will train a model on just the first nine years of data.

import matplotlib.pyplot as plt
from gluonts.dataset.util import to_pandas
from gluonts.dataset.pandas import PandasDataset
from gluonts.dataset.repository.datasets import get_dataset
from gluonts.mx import DeepAREstimator, Trainer

dataset = get_dataset("airpassengers")

deepar = DeepAREstimator(prediction_length=12, freq="M", trainer=Trainer(epochs=5))
model = deepar.train(dataset.train)

# Make predictions
true_values = to_pandas(list(dataset.test)[0])
true_values.to_timestamp().plot(color="k")

prediction_input = PandasDataset([true_values[:-36], true_values[:-24], true_values[:-12]])
predictions = model.predict(prediction_input)

for color, prediction in zip(["green", "blue", "purple"], predictions):
    prediction.plot(color=f"tab:{color}")

plt.legend(["True values"], loc="upper left", fontsize="xx-large")

[train-test]

Note that the forecasts are displayed in terms of a probability distribution: The shaded areas represent the 50% and 90% prediction intervals, respectively, centered around the median.

Contributing

If you wish to contribute to the project, please refer to our contribution guidelines.

Citing

If you use GluonTS in a scientific publication, we encourage you to add the following references to the related papers, in addition to any model-specific references that are relevant for your work:

@article{gluonts_jmlr,
  author  = {Alexander Alexandrov and Konstantinos Benidis and Michael Bohlke-Schneider
    and Valentin Flunkert and Jan Gasthaus and Tim Januschowski and Danielle C. Maddix
    and Syama Rangapuram and David Salinas and Jasper Schulz and Lorenzo Stella and
    Ali Caner Türkmen and Yuyang Wang},
  title   = {{GluonTS: Probabilistic and Neural Time Series Modeling in Python}},
  journal = {Journal of Machine Learning Research},
  year    = {2020},
  volume  = {21},
  number  = {116},
  pages   = {1-6},
  url     = {http://jmlr.org/papers/v21/19-820.html}
}
@article{gluonts_arxiv,
  author  = {Alexandrov, A. and Benidis, K. and Bohlke-Schneider, M. and
    Flunkert, V. and Gasthaus, J. and Januschowski, T. and Maddix, D. C.
    and Rangapuram, S. and Salinas, D. and Schulz, J. and Stella, L. and
    Türkmen, A. C. and Wang, Y.},
  title   = {{GluonTS: Probabilistic Time Series Modeling in Python}},
  journal = {arXiv preprint arXiv:1906.05264},
  year    = {2019}
}

Links

Documentation

References

Tutorials and Workshops


*Note that all licence references and agreements mentioned in the GluonTS README section above are relevant to that project's source code only.