Feat/lagged features names (#1679)

* feat: create and store the lagged features names in the regression models

* feat: adding corresponding tests in tabularization

* fix: support any kind of Sequence to generate the lagged features name

* feat: verify that the number of lagged feature names matches the feature_importances in the relevant regression models

* fix: if any of the variate is a sequence of ts with different components names, create generic name for the corresponding variate, updated the tests

* fix: using the same naming convention for the lagged components as the explainability module

* refactor and fix some type hint warnings

* simplified lagged feature name generation and moved out of regression model

* fix regr model tests

* fix create lagged data tests

* fix small bug in unit test

* fix bug in unittest from last PR

---------

Co-authored-by: dennisbader <[email protected]>

Author: madtoinou

darts/models/forecasting/regression_model.py

@@ -37,6 +37,7 @@
 from darts.timeseries import TimeSeries
 from darts.utils.data.tabularization import (
     add_static_covariates_to_lagged_data,
+    create_lagged_component_names,
     create_lagged_training_data,
 )
 from darts.utils.multioutput import MultiOutputRegressor
@@ -136,6 +137,7 @@ def __init__(
         self.multi_models = multi_models
         self._considers_static_covariates = use_static_covariates
         self._static_covariates_shape: Optional[Tuple[int, int]] = None
+        self._lagged_feature_names: Optional[List[str]] = None
 
         # model checks
         if self.model is None:
@@ -407,6 +409,19 @@ def _fit_model(
             training_labels = training_labels.ravel()
         self.model.fit(training_samples, training_labels, **kwargs)
 
+        # generate and store the lagged components names (for feature importance analysis)
+        self._lagged_feature_names, _ = create_lagged_component_names(
+            target_series=target_series,
+            past_covariates=past_covariates,
+            future_covariates=future_covariates,
+            lags=self.lags.get("target"),
+            lags_past_covariates=self.lags.get("past"),
+            lags_future_covariates=self.lags.get("future"),
+            output_chunk_length=self.output_chunk_length,
+            concatenate=False,
+            use_static_covariates=self.uses_static_covariates,
+        )
+
     def fit(
         self,
         series: Union[TimeSeries, Sequence[TimeSeries]],
@@ -766,6 +781,24 @@ def _predict_and_sample(
 
         return prediction.reshape(k, self.pred_dim, -1)
 
+    @property
+    def lagged_feature_names(self) -> Optional[List[str]]:
+        """The lagged feature names the model has been trained on.
+
+        The naming convention for target, past and future covariates is: ``"{name}_{type}_lag{i}"``, where:
+
+            - ``{name}`` the component name of the (first) series
+            - ``{type}`` is the feature type, one of "target", "pastcov", and "futcov"
+            - ``{i}`` is the lag value
+
+        The naming convention for static covariates is: ``"{name}_statcov_target_{comp}"``, where:
+
+            - ``{name}`` the static covariate name of the (first) series
+            - ``{comp}`` the target component name of the (first) that the static covariate act on. If the static
+                covariate acts globally on a multivariate target series, will show "global".
+        """
+        return self._lagged_feature_names
+
     def __str__(self):
         return self.model.__str__()
 

darts/tests/models/forecasting/test_regression_models.py

@@ -772,17 +772,23 @@ def test_optional_static_covariates(self):
             assert not model.uses_static_covariates
             assert model._static_covariates_shape is None
             preds = model.predict(n=2, series=series)
-            assert preds.static_covariates.equals(series.static_covariates)
+            # there seem to be some dtype issues with python=3.7
+            np.testing.assert_almost_equal(
+                preds.static_covariates.values,
+                series.static_covariates.values,
+            )
 
             # with `use_static_covariates=True`, static covariates are included
             model = model_cls(lags=4, use_static_covariates=True)
             model.fit([series, series])
             assert model.uses_static_covariates
             assert model._static_covariates_shape == series.static_covariates.shape
             preds = model.predict(n=2, series=[series, series])
-            assert all(
-                [p.static_covariates.equals(series.static_covariates) for p in preds]
-            )
+            for pred in preds:
+                np.testing.assert_almost_equal(
+                    pred.static_covariates.values,
+                    series.static_covariates.values,
+                )
 
     def test_static_cov_accuracy(self):
         """
@@ -834,7 +840,6 @@ def test_static_cov_accuracy(self):
         model_static_cov = RandomForest(lags=period // 2, bootstrap=False)
         model_static_cov.fit(fitting_series)
         pred_static_cov = model_static_cov.predict(n=period, series=fitting_series)
-
         # then
         for series, ps_no_st, ps_st_cat in zip(
             train_series_static_cov, pred_no_static_cov, pred_static_cov
@@ -855,13 +860,35 @@ def test_static_cov_accuracy(self):
         pred_no_static_cov = model_no_static_cov.predict(
             n=period, series=fitting_series
         )
+        # multiple series with different components names ("smooth" and "irregular"),
+        # will take first target name
+        expected_features_in = [
+            f"smooth_target_lag{str(-i)}" for i in range(period // 2, 0, -1)
+        ]
+        self.assertEqual(model_no_static_cov.lagged_feature_names, expected_features_in)
+        self.assertEqual(
+            len(model_no_static_cov.model.feature_importances_),
+            len(expected_features_in),
+        )
 
         fitting_series = [
             train_series_static_cov[0][: (60 - period)],
             train_series_static_cov[1][:60],
         ]
         model_static_cov = RandomForest(lags=period // 2, bootstrap=False)
         model_static_cov.fit(fitting_series)
+
+        # multiple univariates series with different names with same static cov, will take name of first series
+        expected_features_in = [
+            f"smooth_target_lag{str(-i)}" for i in range(period // 2, 0, -1)
+        ] + ["curve_type_statcov_target_smooth"]
+
+        self.assertEqual(model_static_cov.lagged_feature_names, expected_features_in)
+        self.assertEqual(
+            len(model_static_cov.model.feature_importances_),
+            len(expected_features_in),
+        )
+
         pred_static_cov = model_static_cov.predict(n=period, series=fitting_series)
 
         # then

darts/tests/utils/tabularization/test_add_static_covariates.py

@@ -17,7 +17,7 @@ class AddStaticToLaggedDataTestCase(DartsBaseTestClass):
         pd.DataFrame({"a": [0.0], "b": [1.0]})
     )
     series_stcov_multivar = series.with_static_covariates(
-        pd.DataFrame({"a": [0.0, 1.0], "b": [1.0, 2.0]})
+        pd.DataFrame({"a": [0.0, 1.0], "b": [10.0, 20.0]})
     )
     features = np.empty(shape=(len(series), 2))
 
@@ -104,6 +104,9 @@ def test_add_static_covs_train(self):
         )
         assert [features_.shape == expected_shape for features_ in features]
         assert last_shape == self.series_stcov_multivar.static_covariates.shape
+        assert np.all(
+            features[0][:, -sum(last_shape) :] == np.array([0.0, 1.0, 10.0, 20.0])
+        )
 
     def test_add_static_covs_predict(self):
         # predicting when `last_shape` other than `None`
@@ -179,3 +182,6 @@ def test_add_static_covs_predict(self):
         )
         assert [features_.shape == expected_shape for features_ in features]
         assert last_shape == self.series_stcov_multivar.static_covariates.shape
+        assert np.all(
+            features[0][:, -sum(last_shape) :] == np.array([0.0, 1.0, 10.0, 20.0])
+        )