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StatsForecastETS now is probabilistic in the same way as StatsForecas… #1

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merged 1 commit into from
Jan 5, 2023
Merged

StatsForecastETS now is probabilistic in the same way as StatsForecas… #1

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14 changes: 12 additions & 2 deletions darts/models/forecasting/sf_ets.py
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@

from typing import Optional

import numpy as np
from statsforecast.models import ETS

from darts import TimeSeries
Expand Down Expand Up @@ -97,9 +98,18 @@ def _predict(
forecast_df = self.model.predict(
h=n,
X=future_covariates.values(copy=False) if future_covariates else None,
level=(68.27,), # ask one std for the confidence interval
)

return self._build_forecast_series(forecast_df["mean"])
mu = forecast_df["mean"]
if num_samples > 1:
std = forecast_df["hi-68.27"] - mu
samples = np.random.normal(loc=mu, scale=std, size=(num_samples, n)).T
samples = np.expand_dims(samples, axis=1)
else:
samples = mu

return self._build_forecast_series(samples)

@property
def min_train_series_length(self) -> int:
Expand All @@ -109,4 +119,4 @@ def _supports_range_index(self) -> bool:
return True

def _is_probabilistic(self) -> bool:
return False
return True