Long Range Probabilistic Forecasting in Time-Series using High Order Statistics

This is the code produced as part of the paper Long Range Probabilistic Forecasting in Time-Series using High Order Statistics

Long Range Probabilistic Forecasting in Time-Series using High Order Statistics.

Prathamesh Deshpande and Sunita Sarawagi. arXiv:2111.03394v1.

How to work with Command Line Arguments?

• If an optional argument is not passed, it's value will be extracted from configuration specified in the file main.py (based on dataset_name, model_name).
• If a valid argument value is passed through command line arguments, the code will use it further. That is, it will ignore the value assigned in the configuration.

Command Line Arguments Information

Argument name	Type	Valid Assignments	Default
dataset_name	str	azure, ett, etthourly, Solar, taxi30min, Traffic911	positional argument
saved_models_dir	str	-	None
output_dir	str	-	None
N_input	int	>0	-1
N_output	int	>0	-1
epochs	int	>0	-1
normalize	str	same, zscore_per_series, gaussian_copula, log	None
learning_rate	float	>0	-1.0
hidden_size	int	>0	-1
num_grulstm_layers	int	>0	-1
batch_size	int	>0	-1
v_dim	int	>0	-1
t2v_type	str	local, idx, mdh_lincomb, mdh_parti	None
K_list	[int,...,int ]	[>0,...,>0 ]	[]
device	str	-	None

Datasets

All the datasets can be found here.

Add the dataset files/directories in data directory before running the code.

Output files

Targets and Forecasts

Following output files are stored in the <output_dir>/<dataset_name>/ directory.

File name	Description
inputs.npy	Test input values, size: number of time-series x N_input
targets.npy	Test target/ground-truth values, size: number of time-series x N_output
<model_name>_pred_mu.npy	Mean forecast values. The size of the matrix is number of time-series x number of time-steps
<model_name>_pred_std.npy	Standard-deviation of forecast values. The size of the matrix is number of time-series x number of time-steps

Metrics

All the evaluation metrics on test data are stored in <output_dir>/results_<dataset_name>.json in the following format:

{
  <model_name1>: 
    {
      'crps':<crps>,
      'mae':<mae>,
      'mse':<mse>,
      'smape':<smape>,
      'dtw':<dtw>,
      'tdi':<tdi>,
    }
  <model_name2>: 
    {
      'crps':<crps>,
      'mae':<mae>,
      'mse':<mse>,
      'smape':<smape>,
      'dtw':<dtw>,
      'tdi':<tdi>,
    }
    .
    .
    .
}

Here <model_name1>, <model_name2>, ... are different models under consideration.