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from sktime.forecasting.compose import TransformedTargetForecaster

def create_forecaster_w_detrender(degree=1):

    # creating forecaster with LightGBM
    regressor = lgb.LGBMRegressor()
    forecaster = TransformedTargetForecaster(
        [
            ("detrend", Detrender(forecaster=PolynomialTrendForecaster(degree=degree))),
            (

tomonori-masui

from sktime.datasets import load_airline
ts_al = load_airline()

tsplot(ts_al)

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ts_al_diff = (ts_al - ts_al.shift(12)).dropna()
tsplot(ts_al_diff)

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ts_al_2diff = (ts_al_diff - ts_al_diff.shift(1)).dropna()
tsplot(ts_al_2diff)

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test_len = int(len(ts_al) * 0.3)
al_train, al_test = ts_al.iloc[:-test_len], ts_al.iloc[-test_len:]

forecaster = AutoARIMA(sp=12, suppress_warnings=True)
forecaster.fit(al_train)
forecaster.summary()

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fh = np.arange(test_len) + 1
forecast = forecaster.predict(fh=fh)
forecast_int = forecaster.predict_interval(fh=fh, coverage=coverage)['Coverage'][coverage]
al_arima_mae, al_arima_mape = plot_forecast(al_train, al_test, forecast, forecast_int)

tomonori-masui

from sktime.transformations.series.detrend import Deseasonalizer

def create_forecaster_w_desesonalizer(sp=12, degree=1):

    # creating forecaster with LightGBM
    regressor = lgb.LGBMRegressor()
    forecaster = TransformedTargetForecaster(
        [
            ("deseasonalize", Deseasonalizer(model="multiplicative", sp=sp)),
            ("detrend", Detrender(forecaster=PolynomialTrendForecaster(degree=degree))),

tomonori-masui

from fbprophet import Prophet

al_train_pp = al_train.to_timestamp(freq="M").reset_index()
# Prophet requires specific column names: ds and y
al_train_pp.columns = ["ds", "y"]

# turning on only yearly seasonality as this is monthly data.
# As the seasonality effects varies across years, we need multiplicative seasonality mode
m = Prophet(
    seasonality_mode="multiplicative",

tomonori-masui

class CustomGradientBoostingRegressor:
    
    def __init__(self, learning_rate, n_estimators, max_depth=1):
        self.learning_rate = learning_rate
        self.n_estimators = n_estimators
        self.max_depth = max_depth
        self.trees = []
        
    def fit(self, X, y):
        

tomonori-masui

from sklearn.ensemble import GradientBoostingRegressor
from sklearn.metrics import mean_squared_error

custom_gbm = CustomGradientBoostingRegressor(
    n_estimators=20, 
    learning_rate=0.1, 
    max_depth=1
)
custom_gbm.fit(x, y)
custom_gbm_rmse = mean_squared_error(y, custom_gbm.predict(x), squared=False)