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:dizzy: Easy-to-use, powerful, and unified full pipeline automated time series toolkit. Supports forecasting, classification, regression, and anomaly detection.

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Overview

HyperTS is a Python package that provides an end-to-end time series (TS) analysis toolkit. It covers complete and flexible AutoML workflows for TS, including data clearning, preprocessing, feature engineering, model selection, hyperparamter optimization, result evaluation, and visualization.

Multi-mode drive, light-heavy combination is the highlighted features of HyperTS. Therefore, statistical models (STATS), deep learning (DL), and neural architecture search (NAS) can be switched arbitrarily to get a powerful TS estimator.

As an easy-to-use and lower-threshold API, users can get a model after simply running the experiment, and then execute .predict(), .predict_proba(), .evalute(), .plot() for various time series analysis.

Installation

Note:

• Prophet is required by HyperTS, install it from conda before installing HyperTS using pip.
• Tensorflow is an optional dependency for HyperTS, install it if using DL and NAS mode.

HyperTS is available on Pypi and can be installed with pip:

pip install hyperts

You can also install HyperTS from conda via the conda-forge channel:

conda install -c conda-forge hyperts

If you would like the most up-to-date version, you can instead install direclty from github:

git clone git@github.com:DataCanvasIO/HyperTS.git
cd HyperTS
pip install -e . 
pip install tensorflow #optional, recommended version: >=2.0.0,<=2.10.0

For more installation tips, see installation.

Tutorial

Examples

Time Series Forecasting

Users can quickly create and run() an experiment with make_experiment(), where train_data, and task are required input parameters. In the following forecast example, we define the experiment as a multivariate-forecast task, and use the statistical model (stat mode) . Besides, the mandatory arguments timestamp and covariates (if have) should also be defined in the experiment.

from hyperts import make_experiment
from hyperts.datasets import load_network_traffic

from sklearn.model_selection import train_test_split

data = load_network_traffic()
train_data, test_data = train_test_split(data, test_size=0.2, shuffle=False)

model = make_experiment(train_data.copy(),
                        task='multivariate-forecast',
                        mode='stats',
                        timestamp='TimeStamp',
                        covariates=['HourSin', 'WeekCos', 'CBWD']).run()

X_test, y_test = model.split_X_y(test_data.copy())

y_pred = model.predict(X_test)

scores = model.evaluate(y_test, y_pred)

model.plot(forecast=y_pred, actual=test_data)

from hyperts import make_experiment
from hyperts.datasets import load_basic_motions

from sklearn.metrics import f1_score
from sklearn.model_selection import train_test_split

data = load_basic_motions()
train_data, test_data = train_test_split(data, test_size=0.2)

model = make_experiment(train_data.copy(),
                        task='classification',
                        mode='dl',
                        tf_gpu_usage_strategy=1,
                        reward_metric='accuracy',
                        max_trials=30,
                        early_stopping_rounds=10).run()

X_test, y_test = model.split_X_y(test_data.copy())

y_pred = model.predict(X_test)
y_proba = model.predict_proba(X_test)

scores = model.evaluate(y_test, y_pred, y_proba=y_proba, metrics=['accuracy', 'auc', f1_score])

print(scores)

from hyperts import make_experiment
from hyperts.datasets import load_real_known_cause_dataset

from sklearn.model_selection import train_test_split

data = load_real_known_cause_dataset()
ground_truth = data.pop('anomaly')

detection_length = 15000
train_data, test_data = train_test_split(data, test_size=detection_length, shuffle=False)

model = make_experiment(train_data.copy(),
                        task='detection',
                        mode='stats',
                        reward_metric='f1',
                        max_trials=30,
                        early_stopping_rounds=10).run()

X_test, _ = model.split_X_y(test_data.copy())
y_test = ground_truth.iloc[-detection_length:]

y_pred = model.predict(X_test)
y_proba = model.predict_proba(X_test)

scores = model.evaluate(y_test, y_pred, y_proba=y_proba)

model.plot(y_pred, actual=test_data, history=train_data, interactive=False)

from hyperts.toolbox import metafeatures_from_timeseries
from hyperts.datasets import load_random_univariate_forecast_dataset

data = load_random_univariate_forecast_dataset()

metafeatures = metafeatures_from_timeseries(x=data, timestamp='ds', scale_ts=True)

More detailed guides: EXAMPLES.

Key Features

HyperTS supports the following features:

Multi-task Support: Time series forecasting, classification, regression, and anomaly detection.

Multi-mode Support: A large collection of TS models, including statistical models (Prophet, ARIMA, VAR, iForest, etc.), deep learning models(DeepAR, GRU, LSTNet, NBeats, VAE, etc.), and neural architecture search.

Multi-variate Support: From univariate to multivariate time series.

Covariates Support: Deep learning models support covariates as input featues for time series forecasting.

Probabilistic Intervals Support: Time series forecasting visualization can show confidence intervals.

Diversified Preprocessing: Outlier clipping, missing value imputing, sequence smoothing, normalization, etc.

Abundant Metrics: A variety of performance metrics to evaluate results and guide models optimization, including MSE, SMAPE, Accuracy, F1-Score,etc.

Powerful Search Strategies: Adapting Grid Search, Monte Carlo Tree Search, Evolution Algorithm combined with a meta-learner to enable a powerful and effective TS pipeline.

Ensemble: Refinement greedy emsemble glues the most powerful models.

Cross Validation: Multiple time series cross-validation strategies ensure generalization ability.

Communication

• If you wish to contribute to this project, please refer to CONTRIBUTING.
• If you have any question or idea, you can alse participate with our Discussions Community.

HyperTS Related Projects

• Hypernets: A general automated machine learning (AutoML) framework.
• HyperGBM: A full pipeline AutoML tool integrated various GBM models.
• HyperDT/DeepTables: An AutoDL tool for tabular data.
• HyperKeras: An AutoDL tool for Neural Architecture Search and Hyperparameter Optimization on Tensorflow and Keras.
• HyperBoard: A visualization tool for Hypernets.
• Cooka: Lightweight interactive AutoML system.

Citation

If you use HyperTS in your research, please cite us as follows:

Xiaojing Zhang，Haifeng Wu，Jian Yang. HyperTS: A Full-Pipeline Automated Time Series Analysis Toolkit. https://github.com/DataCanvasIO/HyperTS. 2022. Version 0.2.x.

BibTex:

@misc{hyperts,
  author={Xiaojing Zhang，Haifeng Wu，Jian Yang.},
  title={{HyperTS}: { A Full-Pipeline Automated Time Series Analysis Toolkit}},
  howpublished={https://github.com/DataCanvasIO/HyperTS},
  note={Version 0.2.x},
  year={2022}
}

DataCanvas

HyperTS is an open source project created by DataCanvas.