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feat: support custom and integer frequencies #532

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@jmoralez jmoralez commented Nov 5, 2024

Adds support for providing custom pandas offsets as freq as well as integer timestamps and freq=some_int.

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github-actions bot commented Nov 5, 2024

Experiment Results

Experiment 1: air-passengers

Description:

variable experiment
h 12
season_length 12
freq MS
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 12.6793 11.0623 47.8333 76
mape 0.027 0.0232 0.0999 0.1425
mse 213.936 199.132 2571.33 10604.2
total_time 8.4852 1.9724 0.0054 0.004

Plot:

Experiment 2: air-passengers

Description:

variable experiment
h 24
season_length 12
freq MS
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 58.1031 58.4587 71.25 115.25
mape 0.1257 0.1267 0.1552 0.2358
mse 4040.21 4110.79 5928.17 18859.2
total_time 1.2967 1.1749 0.0045 0.0041

Plot:

Experiment 3: electricity-multiple-series

Description:

variable experiment
h 24
season_length 24
freq H
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 178.293 268.13 269.23 1331.02
mape 0.0234 0.0311 0.0304 0.1692
mse 121589 219485 213677 4.68961e+06
total_time 1.0219 2.7283 0.0054 0.0049

Plot:

Experiment 4: electricity-multiple-series

Description:

variable experiment
h 168
season_length 24
freq H
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 465.497 346.972 398.956 1119.26
mape 0.062 0.0436 0.0512 0.1583
mse 835021 403760 656723 3.17316e+06
total_time 0.4739 0.7891 0.0056 0.0052

Plot:

Experiment 5: electricity-multiple-series

Description:

variable experiment
h 336
season_length 24
freq H
level None
n_windows 1

Results:

metric timegpt-1 timegpt-1-long-horizon SeasonalNaive Naive
mae 558.673 459.757 602.926 1340.95
mape 0.0697 0.0565 0.0787 0.17
mse 1.22723e+06 739114 1.61572e+06 6.04619e+06
total_time 0.6664 0.7267 0.006 0.0056

Plot:

@jmoralez jmoralez marked this pull request as ready for review November 5, 2024 23:57
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