Package: tablespoon
tablespoonTime-seriesBenchmark methods that areSimple andProbabilisticDocumentation and quick linksDocumentation and quick linksIntroductionWhy Run Simple MethodsQuick ExampleSeasonal ExampleStock PredictionGoals of this packageNon-GoalsInstallationPythonCitationReferencesRecommended probabilistic forecasting packagesLearn more about forecastingBuilt with poetry and pushed to pypiIntroductionMany methods exist for probabilistic forecasting. If you are looking for an
impressive probabilistic forecasting package see the list of recommendation at
the bottom of this README. This package isexceptionally ordinary. It is
expected that this package may be used as a compliment to what is already out
there.Why Run Simple MethodsWe have found, by experience, many good uses for the methods in this package.
To often we see that forecast methods go in production without a naive method to
accompany it. This is a missed opportunity.Naive May Be Good Enough: How good is good enough? I have almost never started a project where the firm receiving the forecast knew the answer to this question, but it is important to get to it early. I think all of us would agree that a forecast error of 0 is best, but in reality how much time should be spent spinning our wheels to get there. Further, many business applications can’t be improved upon even with significant forecast error reduction. I remember hearing a story of a firm which ordered units on pallets. The firm paid by the pallet, not the unit. The forecast team was able to reduce the forecast error, but in the end this did not change the outcome. This is the ‘pallet problem’. As data scientists it is easy to think of error reduction as a continuous function, but this need not map the same way to business value. In this example the continuous error reduction mapped to a discrete pallet. This is a long way of saying, “A naive forecast may be good enough”. What is a naive forecasting method? I typically think of two methods. The mean forecast and the naive forecast. I will go over these in more detail below. There are also some applications where naive methods have been shown to be hard to beat.Get A Denominator for Relative Metrics: Though naive methods can usually
be beat it is good to know the relative improvement over the benchmark. This
can allow a forecasting team to market their alternative forecast when the
'skill score' is impressive.Easy to productionize and get expectations: Get a sense forhow good is
good enough. In many applications a forecast team is asked to forecast, but
stakeholders provide no line-in-the-sand for when the forecasting work needs
to stop. One reasonable approach is to run the benchmarks found in this
package then beat the best performing benchmark by a margin that is
statistically significant.Resilience in Production - Why not have many models?: Sometimes, despite
best efforts the production model does something unexpected. In this
case it is nice to have a simple backup that is cheap to generate and good
enough to fall back on. In this way a production forecast pipeline gains
strength from a diversity of models.Easy Uncertainty Quantification: Recently we see that applications
are not about forecast accuracy, but instead about forecasting uncertainty.
Capturing the full distribution helps firms set "service levels" aka
percentiles of the distribution for which they are prepared to serve. Even
if you have the worlds most accurate unbiased forecast the median point is
, by definition, an underforecast half the time. For this reason it is best to provide a
distribution of simulated future values and the firm may decide for
themselves what risks they are or are not willing to take.Quick ExampleWe show a quick example below.For more examples seeSimple Example,Extended ExampleThere are also some Notebook examplesIntroTime Series Cross Validation & Skill ScoreSeasonal Exampleimporttablespoonastbspfromtablespoon.dataimportSEASsn=tbsp.Snaive()df_sn=sn.predict(SEAS,horizon=7*4,frequency="D",lag=7,uncertainty_samples=8000).assign(model="snaive")print(df_sn.head(10))Stock Predictionimporttablespoonastbspfromtablespoon.dataimportAPPLn=tbsp.Naive()df_n=n.predict(APPL,horizon=7*4,frequency="D",lag=1,uncertainty_samples=8000).assign(model="naive")print(df_n.head(10))dsrepy_simmodel02022-01-0205.20006naive12022-01-0215.16789naive22022-01-0225.17641naive32022-01-0235.19340naive42022-01-0245.20075naive52022-01-0255.17681naive62022-01-0265.20302naive72022-01-0275.18896naive82022-01-0285.19622naive92022-01-0295.17469naiveGoals of this package♙Simple: Not just in the forecasts themselves, but also from the
users perspective.♝Documented: It should be very clear exactly how forecasts are getting
generated. We document the parameterization of the models to make this as
obvious and uninteresting as possible. SeeForecast Method Math Documentation♜Stable: We want this package to feel rock solid. For this to happen
we keep the feature set relatively small. We believe that after the initial
development of this package we should spend out time maintaining the code as
oppose to thinking of new features.♞Distributional: Quantification of uncertainty is the name of
the game.Non-Goals🔥Circut Melting Focus on Speed: Not to say this is a slow package. In fact, it is very fast!
We just don't put any extra effort to make it faster thannumpy.🤖New/Complex Forecast Models: Again, this is out of scope. If you are
looking for recommendations please see the bottom of the page.InstallationPythonpip3 install tablespoonCitationIf you would like to citetablespoon, please cite it as follows:Alex Hallam.tablespoon: Time-series Benchmark methods that are Simple and Probabilistichttps://github.com/alexhallam/tablespoon, 2022. Version 0.4.6.@misc{tablespoon,
  author={Alex Hallam},
  title={{tablespoon}: {Time-series Benchmark methods that are Simple and Probabilistic},
  howpublished={https://github.com/alexhallam/tablespoon},
  note={Version 0.4.6,
  year={2022}
}ReferencesHyndman, R.J., & Athanasopoulos, G. (2021) Forecasting: principles and practice, 3rd edition, OTexts: Melbourne, Australia. OTexts.com/fpp3. Accessed on 2021-09-26.Recommended probabilistic forecasting packagesThere are many packages that can complimenttablespoonforecast: The king of forecasting
packages. Rob Hyndman is a professor of forecasting and has served as editor of
the journal "International Journal of Forecasting". If you are new to
forecasting please read his free ebookfpp3.prophet: A very capable and reliable
forecasting package. I have never seen a bad forecast come out of prophet.gluonts. If you are itching to use neural nets for
forecasting this is a good one to pick.Learn more about forecastingReadfpp3Join theInternational Institute of Forecastingand read their publications.Built with poetry and pushed to pypipoetrypublish-u<username>-p<password>--build