Probabilistic time series modeling in Python

GluonTS - Probabilistic Time Series Modeling in Python

GluonTS is a Python toolkit for probabilistic time series modeling, built around Apache MXNet (incubating).

GluonTS provides utilities for loading and iterating over time series datasets, state of the art models ready to be trained, and building blocks to define your own models and quickly experiment with different solutions.

• Documentation (stable version)
• Documentation (latest)
• Paper

Installation

GluonTS requires Python 3.6, and the easiest way to install it is via pip:

pip install --upgrade mxnet==1.4.1 gluonts

Quick start guide

This simple example illustrates how to train a model from GluonTS on some data, and then use it to make predictions. As a first step, we need to collect some data: in this example we will use the volume of tweets mentioning the AMZN ticker symbol.

import pandas as pd
url = "https://raw.githubusercontent.com/numenta/NAB/master/data/realTweets/Twitter_volume_AMZN.csv"
df = pd.read_csv(url, header=0, index_col=0)

The first 100 data points look like follows:

import matplotlib.pyplot as plt
df[:100].plot(linewidth=2)
plt.grid(which='both')
plt.show()

We can now prepare a training dataset for our model to train on. Datasets in GluonTS are essentially iterable collections of dictionaries: each dictionary represents a time series with possibly associated features. For this example, we only have one entry, specified by the "start" field which is the timestamp of the first datapoint, and the "target" field containing time series data. For training, we will use data up to midnight on April 5th, 2015.

from gluonts.dataset.common import ListDataset
training_data = ListDataset(
    [{"start": df.index[0], "target": df.value[:"2015-04-05 00:00:00"]}],
    freq = "5min"
)

A forecasting model in GluonTS is a predictor object. One way of obtaining predictors is by training a correspondent estimator. Instantiating an estimator requires specifying the frequency of the time series that it will handle, as well as the number of time steps to predict. In our example we’re using 5 minutes data, so freq="5min", and we will train a model to predict the next hour, so prediction_length=12. We also specify some minimal training options.

from gluonts.model.deepar import DeepAREstimator
from gluonts.trainer import Trainer

estimator = DeepAREstimator(freq="5min", prediction_length=12, trainer=Trainer(epochs=10))
predictor = estimator.train(training_data=training_data)

During training, useful information about the progress will be displayed. To get a full overview of the available options, please refer to the documentation of DeepAREstimator (or other estimators) and Trainer.

We’re now ready to make predictions: we will forecast the hour following the midnight on April 15th, 2015.

test_data = ListDataset(
    [{"start": df.index[0], "target": df.value[:"2015-04-15 00:00:00"]}],
    freq = "5min"
)

from gluonts.dataset.util import to_pandas

for test_entry, forecast in zip(test_data, predictor.predict(test_data)):
    to_pandas(test_entry)[-60:].plot(linewidth=2)
    forecast.plot(color='g', prediction_intervals=[50.0, 90.0])
plt.grid(which='both')

Note that the forecast is displayed in terms of a probability distribution: the shaded areas represent the 50% and 90% prediction intervals, respectively, centered around the median (dark green line).

Further examples

The following are good entry-points to understand how to use many features of GluonTS:

• Quick Start Tutorial: a quick start guide.
• Extended Forecasting Tutorial: a detailed tutorial on forecasting.
• evaluate_model.py: how to train a model and compute evaluation metrics.
• benchmark_m4.py: how to evaluate and compare multiple models on multiple datasets.

The following modules illustrate how custom models can be implemented:

• gluonts.model.seasonal_naive: how to implement simple models using just NumPy and Pandas.
• gluonts.model.simple_feedforward: how to define a trainable, Gluon-based model.

Contributing

If you wish to contribute to the project, please refer to our contribution guidelines.

Citing

If you use GluonTS in a scientific publication, we encourage you to add the following reference to the associated paper:

@article{gluonts,
  title={{GluonTS: Probabilistic Time Series Modeling in Python}},
  author={Alexandrov, A. and Benidis, K. and Bohlke-Schneider, M. and
          Flunkert, V. and Gasthaus, J. and Januschowski, T. and Maddix, D. C.
          and Rangapuram, S. and Salinas, D. and Schulz, J. and Stella, L. and
          Türkmen, A. C. and Wang, Y.},
  journal={arXiv preprint arXiv:1906.05264},
  year={2019}
}

Further Reading

• Collected Papers from the group behind GluonTS: a bibliography.
• Tutorial at SIGMOD 2019
• Tutorial at KDD 2019
• Tutorial at VLDB 2018