awslabs/gluonts

Change seasonality of "D" to 7, and 52 for "W"

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#975 创建于 2020年8月4日

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 (2 评论) (0 反应) (0 负责人)Python (3,888 star) (753 fork)batch import
enhancementgood first issue

描述

Description

  • currently we have DEFAULT_SEASONALITIES = {"H": 24, "D": 1, "W": 1, "M": 12, "B": 5}
  • however, having a seasonality of 1 has no real benefit to my knowledge (please correct me if I'm mistaken)
    • I base my knowledge on NBEATSEstimator and Naive2Predictor
  • therefore I suggest seasonality of 7 for Daily data "D"
    • to me this makes sense since this would capture the seasonality of workdays and weekends and in general the work week
  • additionally we could think of a seasonality of 52 (or 4) for weekly data "W"

Examples

  • Wavenet:
                {
                    "H": 7 * 24,
                    "D": 7,
                    "W": 52,
                    "M": 12,
                    "B": 7 * 5,
                    "min": 24 * 60,
                },
  • DeepState:
FREQ_LONGEST_PERIOD_DICT = {
    "M": 12,  # yearly seasonality
    "W-SUN": 52,  # yearly seasonality
    "D": 31,  # monthly seasonality
    "B": 22,  # monthly seasonality
    "H": 168,  # weekly seasonality
    "T": 1440,  # daily seasonality
}

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