mojolearn.OptimizedTheta#

class mojolearn.OptimizedTheta(season_length=1, decomposition_type='multiplicative', model=None, initial_smoothed=None, alpha=None, theta=None, numeric_mode=None)[source]#

Bases: AutoTheta

The optimized theta model (OTM). Follows statsforecast’s OptimizedTheta.

fit takes one series of shape (n_obs,) or a batch of shape (batch_size, n_obs); the model is estimated when predict() is called.

Parameters:

  • season_length (int, default 1) – Number of observations per season. 1 means no seasonality.

  • decomposition_type ({“multiplicative”, “additive”}, default “multiplicative”) – Seasonal decomposition used when the series tests as seasonal.

  • model (ignored) – This class always uses the OTM model; the argument is accepted for signature compatibility with AutoTheta.

  • initial_smoothed (float or None, default None) – Fixes the initial smoothed level; None estimates it.

  • alpha (float or None, default None) – Fixes the smoothing parameter; None estimates it.

  • theta (float or None, default None) – Fixes the theta coefficient; None estimates it.

  • numeric_mode (str or None, default None) – Numeric mode for this model ('identical', 'deterministic' or 'fast'); None uses the process default (see mojolearn.set_numeric_mode()).

Variables:

  • model_ (list of str) – The theta model used for each series ("STM", "OTM", "DSTM" or "DOTM"). Set by predict().

  • info_ (ndarray of shape (batch_size, 8), float32) – Per-series fit summary; column 4 is the index of the chosen model in ("STM", "OTM", "DSTM", "DOTM"). Set by predict().

Notes

Input must be float32; float64 raises TypeError. Each series needs more than 3 observations. Prediction intervals (level), fitted values, non-normal error distributions and exogenous regressors are not supported and raise NotImplementedError.

Examples

>>> import numpy as np, mojolearn
>>> t = np.arange(96, dtype=np.float32)
>>> y = 10 + 0.1 * t + np.sin(2 * np.pi * t / 12).astype(np.float32)
>>> mojolearn.OptimizedTheta(season_length=12).fit(y).predict(12)["mean"].shape
(12,)
__init__(season_length=1, decomposition_type='multiplicative', model=None, initial_smoothed=None, alpha=None, theta=None, numeric_mode=None)#

Methods

fit(y[, X])

Store one series or a batch of series for forecasting.

forecast(y, h[, X, X_future, level, fitted])

Fit y and forecast h steps in one call.

predict(h[, X, level])

Fit the theta model and forecast h steps ahead.