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Adds a moving average forecast model

Open shaido987 opened this issue 3 years ago • 1 comments

Fixes #951.

Summary

Adds a moving average forecast model as it is currently missing (although there exists a moving average filter model). The added model is named MovingAverageForecaster to not be confused with the filtering model.

Other Information

  • Renames the models.filtering.MovingAverage model to models.filtering.MovingAverageFilter. The naming follows the same naming scheme as KalmarFilter/KalmerForecaster which also has both one filtering and one forecasting model.
  • This implementation extends ForecastingModel so only supports univariate time series. This maybe could be extended to the multivariate case if wanted.

shaido987 avatar Sep 09 '22 08:09 shaido987

Codecov Report

Base: 93.74% // Head: 93.74% // Increases project coverage by +0.00% :tada:

Coverage data is based on head (b3d1e32) compared to base (28ca88d). Patch coverage: 100.00% of modified lines in pull request are covered.

Additional details and impacted files
@@           Coverage Diff           @@
##           master    #1201   +/-   ##
=======================================
  Coverage   93.74%   93.74%           
=======================================
  Files          83       84    +1     
  Lines        8407     8413    +6     
=======================================
+ Hits         7881     7887    +6     
  Misses        526      526           
Impacted Files Coverage Δ
darts/models/__init__.py 90.00% <100.00%> (+0.25%) :arrow_up:
darts/models/filtering/moving_average.py 100.00% <100.00%> (ø)
darts/models/forecasting/moving_average.py 100.00% <100.00%> (ø)
darts/timeseries.py 92.23% <0.00%> (-0.07%) :arrow_down:
...arts/models/forecasting/torch_forecasting_model.py 87.45% <0.00%> (-0.05%) :arrow_down:
darts/models/forecasting/block_rnn_model.py 98.24% <0.00%> (-0.04%) :arrow_down:
darts/models/forecasting/nhits.py 99.27% <0.00%> (-0.01%) :arrow_down:
darts/datasets/__init__.py 100.00% <0.00%> (ø)

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codecov-commenter avatar Sep 12 '22 19:09 codecov-commenter

I'm closing this one for now. There's a discussion ongoing here https://github.com/unit8co/darts/issues/951 We can reopen this PR later on if it makes sense.

hrzn avatar Feb 10 '23 12:02 hrzn