https://github.com/unit8co/darts
Tip revision: 78ba7d452a84752f9e9573e410e351e998d97669 authored by Julien Herzen on 28 November 2021, 09:27:39 UTC
update readme
update readme
Tip revision: 78ba7d4
README.md
# Time Series Made Easy in Python
---
[](https://badge.fury.io/py/darts)
[](https://anaconda.org/conda-forge/u8darts-all)
[](https://pepy.tech/project/u8darts)
[](https://pepy.tech/project/darts)
**darts** is a Python library for easy manipulation and forecasting of time series.
It contains a variety of models, from classics such as ARIMA to deep neural networks.
The models can all be used in the same way, using `fit()` and `predict()` functions,
similar to scikit-learn. The library also makes it easy to backtest models,
and combine the predictions of several models and external regressors. Darts supports both
univariate and multivariate time series and models. The neural networks can be trained
on multiple time series, and some of the models offer probabilistic forecasts.
## Documentation
* [Examples & Tutorials](https://unit8co.github.io/darts/examples.html)
* [API Documentation](https://unit8co.github.io/darts/generated_api/darts.html)
##### High Level Introductions
* [Introductory Blog Post](https://medium.com/unit8-machine-learning-publication/darts-time-series-made-easy-in-python-5ac2947a8878)
* [Introductory Video](https://www.youtube.com/watch?v=Sx-uI-PypmU&t=8s&ab_channel=Unit8)
##### Articles on Selected Topics
* [Training Models on Multiple Time Series](https://medium.com/unit8-machine-learning-publication/training-forecasting-models-on-multiple-time-series-with-darts-dc4be70b1844)
* [Using Past and Future Covariates](https://medium.com/unit8-machine-learning-publication/time-series-forecasting-using-past-and-future-external-data-with-darts-1f0539585993)
* [Temporal Convolutional Networks and Forecasting](https://medium.com/unit8-machine-learning-publication/temporal-convolutional-networks-and-forecasting-5ce1b6e97ce4)
## Quick Install
We recommend to first setup a clean Python environment for your project with at least Python 3.7 using your favorite tool ([conda](https://docs.conda.io/projects/conda/en/latest/user-guide/tasks/manage-environments.html "conda-env"), [venv](https://docs.python.org/3/library/venv.html), [virtualenv](https://virtualenv.pypa.io/en/latest/) with or without [virtualenvwrapper](https://virtualenvwrapper.readthedocs.io/en/latest/)).
Once your environment is set up you can install darts using pip:
pip install darts
For more detailed install instructions you can refer to our [installation guide](#installation-guide) at the end of this page.
## Example Usage
Create a `TimeSeries` object from a Pandas DataFrame, and split it in train/validation series:
```python
import pandas as pd
from darts import TimeSeries
# Read a pandas DataFrame
df = pd.read_csv('AirPassengers.csv', delimiter=",")
# Create a TimeSeries, specifying the time and value columns
series = TimeSeries.from_dataframe(df, 'Month', '#Passengers')
# Set aside the last 36 months as a validation series
train, val = series[:-36], series[-36:]
```
Fit an exponential smoothing model, and make a (probabilistic) prediction over the validation series' duration:
```python
from darts.models import ExponentialSmoothing
model = ExponentialSmoothing()
model.fit(train)
prediction = model.predict(len(val), num_samples=1000)
```
Plot the median, 5th and 95th percentiles:
```python
import matplotlib.pyplot as plt
series.plot()
prediction.plot(label='forecast', low_quantile=0.05, high_quantile=0.95)
plt.legend()
```
<div style="text-align:center;">
<img src="https://github.com/unit8co/darts/raw/master/static/images/example.png" alt="darts forecast example" />
</div>
We invite you to go over the example and tutorial notebooks in
the [examples](https://github.com/unit8co/darts/tree/master/examples) directory.
## Features
Currently, the library contains the following features:
**Forecasting Models:** A large collection of forecasting models; from statistical models (such as
ARIMA) to deep learning models (such as N-BEATS). See table of models below.
**Data processing:** Tools to easily apply (and revert) common transformations on time series data (scaling, boxcox, …)
**Metrics:** A variety of metrics for evaluating time series' goodness of fit;
from R2-scores to Mean Absolute Scaled Error.
**Backtesting:** Utilities for simulating historical forecasts, using moving time windows.
**Regression Models:** Possibility to predict a time series from lagged versions of itself
and of some external covariate series, using arbitrary regression models (e.g. scikit-learn models).
**Multiple series training:** All neural networks, as well as `RegressionModel`s (incl. `LinearRegressionModel` and
`RandomForest`) support being trained on multiple series.
**Past and Future Covariates support:** Some models support past-observed and/or future-known covariate time series
as inputs for producing forecasts.
**Multivariate Support:** Tools to create, manipulate and forecast multivariate time series.
**Probabilistic Support:** `TimeSeries` objects can (optionally) represent stochastic
time series; this can for instance be used to get confidence intervals.
**Filtering Models:** Darts offers three filtering models: `KalmanFilter`, `GaussianProcessFilter`,
and `MovingAverage`, which allow to filter time series, and in some cases obtain probabilistic
inferences of the underlying states/values.
## Forecasting Models
Here's a breakdown of the forecasting models currently implemented in Darts. We are constantly working
on bringing more models and features.
Model | Univariate | Multivariate | Probabilistic | Multiple-series training | Past-observed covariates support | Future-known covariates support | Reference
--- | --- | --- | --- | --- | --- | --- | ---
`ARIMA` | ✅ | | ✅ | | | ✅ |
`VARIMA` | ✅ | ✅ | | | | ✅ |
`AutoARIMA` | ✅ | | | | | ✅ |
`ExponentialSmoothing` | ✅ | | ✅ | | | |
`Theta` and `FourTheta` | ✅ | | | | | | [Theta](https://robjhyndman.com/papers/Theta.pdf) & [4 Theta](https://github.com/Mcompetitions/M4-methods/blob/master/4Theta%20method.R)
`Prophet` | ✅ | | ✅ | | | ✅ | [Prophet repo](https://github.com/facebook/prophet)
`FFT` (Fast Fourier Transform) | ✅ | | | | | |
`RegressionModel` (incl `RandomForest`, `LinearRegressionModel` and `LightGBMModel`) | ✅ | ✅ | | ✅ | ✅ | ✅ |
`RNNModel` (incl. LSTM and GRU); equivalent to DeepAR in its probabilistic version | ✅ | ✅ | ✅ | ✅ | | ✅ | [DeepAR paper](https://arxiv.org/abs/1704.04110)
`BlockRNNModel` (incl. LSTM and GRU) | ✅ | ✅ | ✅ | ✅ | ✅ | |
`NBEATSModel` | ✅ | ✅ | ✅ | ✅ | ✅ | | [N-BEATS paper](https://arxiv.org/abs/1905.10437)
`TCNModel` | ✅ | ✅ | ✅ | ✅ | ✅ | | [TCN paper](https://arxiv.org/abs/1803.01271), [DeepTCN paper](https://arxiv.org/abs/1906.04397), [blog post](https://medium.com/unit8-machine-learning-publication/temporal-convolutional-networks-and-forecasting-5ce1b6e97ce4)
`TransformerModel` | ✅ | ✅ | ✅ | ✅ | ✅ | |
`TFTModel` (Temporal Fusion Transformer) | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ | [TFT paper](https://arxiv.org/pdf/1912.09363.pdf), [PyTorch Forecasting](https://pytorch-forecasting.readthedocs.io/en/latest/models.html)
Naive Baselines | ✅ | | | | | |
## Community & Contact
Anyone is welcome to join our [Discord server](https://discord.gg/Um3jBTYFsA) to
ask questions, make proposals, discuss use-cases, and more. If you spot a bug or
or have a feature request, Github issues are also welcome.
If what you want to tell us is not suitable for Discord or Github,
feel free to send us an email at <a href="mailto:darts@unit8.co">darts@unit8.co</a> for
darts related matters or <a href="mailto:info@unit8.co">info@unit8.co</a> for any other
inquiries.
### Contribute
The development is ongoing, and there are many new features that we want to add.
We welcome pull requests and issues on Github.
Before working on a contribution (a new feature or a fix),
[**check our contribution guidelines**](CONTRIBUTE.md).
## Installation Guide
Some of the models depend on `prophet` and `torch`, which have non-Python dependencies.
A Conda environment is thus recommended because it will handle all of those in one go.
### From conda-forge
Currently only the x86_64 architecture with Python 3.7-3.9
is fully supported with conda; consider using PyPI if you are running into troubles.
To create a conda environment for Python 3.7
(after installing [conda](https://docs.conda.io/en/latest/miniconda.html)):
conda create --name <env-name> python=3.7
Don't forget to activate your virtual environment
conda activate <env-name>
As some models have relatively heavy dependencies, we provide two conda-forge packages:
* Install darts with all available models (recommended): `conda install -c conda-forge -c pytorch u8darts-all`.
* Install core + neural networks (PyTorch): `conda install -c conda-forge -c pytorch u8darts-torch`
* Install core only (without neural networks, Prophet or AutoARIMA): `conda install -c conda-forge u8darts`
For GPU support, please follow the instructions to install CUDA in the [PyTorch installation guide](https://pytorch.org/get-started/locally/).
### From PyPI
Install darts with all available models: `pip install darts`.
If this fails on your platform, please follow the official installation guides for
[prophet](https://facebook.github.io/prophet/docs/installation.html#python)
and [torch](https://pytorch.org/get-started/locally/), then try installing Darts again.
As some models have relatively heavy (or non-Python) dependencies,
we also maintain the `u8darts` package, which provides the following alternate lighter install options:
* Install core only (without neural networks, Prophet or AutoARIMA): `pip install u8darts`
* Install core + neural networks (PyTorch): `pip install "u8darts[torch]"`
* Install core + Facebook Prophet: `pip install "u8darts[prophet]"`
* Install core + AutoARIMA: `pip install "u8darts[pmdarima]"`
#### Enabling Support for LightGBM
To enable support for LightGBM in Darts, please follow the
[installation instructions](https://lightgbm.readthedocs.io/en/latest/Installation-Guide.html) for your OS.
##### MacOS Issues with LightGBM
At the time of writing, there is an issue with ``libomp`` 12.0.1 that results in
[segmentation fault on Mac OS Big Sur](https://github.com/microsoft/LightGBM/issues/4229).
Here's the procedure to downgrade the ``libomp`` library (from the
[original Github issue](https://github.com/microsoft/LightGBM/issues/4229#issue-867528353)):
* [Install brew](https://brew.sh/) if you don't already have it.
* Install `wget` if you don't already have it : `brew install wget`.
* Run the commands below:
```
wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
brew unlink libomp
brew install libomp.rb
```
### Running the examples only, without installing:
If the conda setup is causing too many problems, we also provide a Docker image with everything set up for you and ready-to-use Python notebooks with demo examples.
To run the example notebooks without installing our libraries natively on your machine, you can use our Docker image:
```bash
./gradlew docker && ./gradlew dockerRun
```
Then copy and paste the URL provided by the docker container into your browser to access Jupyter notebook.
For this setup to work you need to have a Docker service installed. You can get it at [Docker website](https://docs.docker.com/get-docker/).
### Tests
The gradle setup works best when used in a python environment, but the only requirement is to have `pip` installed for Python 3+
To run all tests at once just run
```bash
./gradlew test_all
```
alternatively you can run
```bash
./gradlew unitTest_all # to run only unittests
./gradlew coverageTest # to run coverage
./gradlew lint # to run linter
```
To run the tests for specific flavours of the library, replace `_all` with `_core`, `_prophet`, `_pmdarima` or `_torch`.
### Documentation
To build documentation locally just run
```bash
./gradlew buildDocs
```
After that docs will be available in `./docs/build/html` directory. You can just open `./docs/build/html/index.html` using your favourite browser.
## Citation
If you are using Darts in your scientific work, we would appreciate citations to the following paper.
[Darts: User-Friendly Modern Machine Learning for Time Series](https://arxiv.org/abs/2110.03224)
Bibtex entry:
```
@misc{herzen2021darts,
title={Darts: User-Friendly Modern Machine Learning for Time Series},
author={Julien Herzen and Francesco Lässig and Samuele Giuliano Piazzetta and Thomas Neuer and Léo Tafti and Guillaume Raille and Tomas Van Pottelbergh and Marek Pasieka and Andrzej Skrodzki and Nicolas Huguenin and Maxime Dumonal and Jan Kościsz and Dennis Bader and Frédérick Gusset and Mounir Benheddi and Camila Williamson and Michal Kosinski and Matej Petrik and Gaël Grosch},
year={2021},
eprint={2110.03224},
archivePrefix={arXiv},
primaryClass={cs.LG}
}
```
