Franz Kiraly: sktime - python toolbox for time series: advanced forecasting - probabilistic, glob...

Develop advanced time series forecasting techniques with SKTime, a Python toolbox, and explore its hierarchical and probabilistic methods, including compositors, evaluation, and metrics, perfect for panel data and global forecasting.

Key takeaways
  • SKTime is a Python toolbox for time series forecasting, aiming to provide a vast range of advanced forecasting techniques, including probabilistic and hierarchical methods.
  • It is designed to be a Scikit-learn-like toolbox, with similar interfaces and architecture for learning with time series data.
  • Hierarchical forecasting allows modeling multiple levels of the hierarchy, such as product-level and total-level forecasts, and can be used for coping with irregular sampling or missing data.
  • Probabilistic forecasting can be achieved through various methods, including compositors, such as pipelines and transformers, which allow combining multiple forecasts and integrity functions.
  • SKTime provides an evaluation interface for evaluating both point and interval forecasts, as well as quantile forecasts.
  • The toolkit also offers a range of metrics for interval and quantile forecasting, including the pinball loss.
  • It supports various formats, including panel data, which allows for multiple observations over time of multiple systems or independent experimental units.
  • SKTime is a community-based project, and contributors are encouraged to participate in community operations and events.
  • Hierarchical global forecasting and panel forecasting are some of the key potential applications of SKTime.