CompositeSSM¶

class CompositeSSM(seasonal_ssms: List[etna.models.nn.deepstate.state_space_model.SeasonalitySSM], nonseasonal_ssm: Optional[Union[etna.models.nn.deepstate.state_space_model.LevelSSM, etna.models.nn.deepstate.state_space_model.LevelTrendSSM]] = None)[source]¶

Bases: etna.models.nn.deepstate.state_space_model.SSM

Class to compose several State Space Models.

Create instance of CompositeSSM.

Parameters

seasonal_ssms (List[etna.models.nn.deepstate.state_space_model.SeasonalitySSM]) – List with the instances of Seasonality State Space Models.
nonseasonal_ssm (Optional[Union[etna.models.nn.deepstate.state_space_model.LevelSSM, etna.models.nn.deepstate.state_space_model.LevelTrendSSM]]) – Instance of Level or Level-Trend State Space Model.

Inherited-members

Methods

`emission_coeff`(datetime_index)	Emission coefficient matrix.
`generate_datetime_index`(timestamps)	Generate datetime index to use in the State Space Model.
`innovation_coeff`(datetime_index)	Innovation coefficient matrix.
`latent_dim`()	Dimension of the latent space.
`set_params`(**params)	Return new object instance with modified parameters.
`to_dict`()	Collect all information about etna object in dict.
`transition_coeff`(datetime_index)	Transition coefficient matrix.

emission_coeff(datetime_index: torch.Tensor) → torch.Tensor[source]¶

Emission coefficient matrix.

Parameters: datetime_index (torch.Tensor) – Tensor with the index values. Values should be from 0 to seasonal period.
Returns: Emission coefficient matrix.
Return type: torch.Tensor

generate_datetime_index(timestamps: numpy.ndarray) → numpy.ndarray[source]¶

Generate datetime index to use in the State Space Model.

Parameters: timestamps (numpy.ndarray) – Array with timestamps.
Returns: Datetime index for State Space Model.
Return type: numpy.ndarray

innovation_coeff(datetime_index: torch.Tensor) → torch.Tensor[source]¶

Innovation coefficient matrix.

Parameters: datetime_index (torch.Tensor) – Tensor with the index values. Values should be from 0 to seasonal period.
Returns: Innovation coefficient matrix.
Return type: torch.Tensor

latent_dim() → int[source]¶

Dimension of the latent space.

Returns: Dimension of the latent space.
Return type: int

set_params(**params: dict) → etna.core.mixins.TMixin¶

Return new object instance with modified parameters.

Method also allows to change parameters of nested objects within the current object. For example, it is possible to change parameters of a model in a Pipeline.

Nested parameters are expected to be in a <component_1>.<...>.<parameter> form, where components are separated by a dot.

Parameters

**params – Estimator parameters
self (etna.core.mixins.TMixin) –
params (dict) –

Returns

New instance with changed parameters

Return type

etna.core.mixins.TMixin

Examples

>>> from etna.pipeline import Pipeline
>>> from etna.models import NaiveModel
>>> from etna.transforms import AddConstTransform
>>> model = model=NaiveModel(lag=1)
>>> transforms = [AddConstTransform(in_column="target", value=1)]
>>> pipeline = Pipeline(model, transforms=transforms, horizon=3)
>>> pipeline.set_params(**{"model.lag": 3, "transforms.0.value": 2})
Pipeline(model = NaiveModel(lag = 3, ), transforms = [AddConstTransform(in_column = 'target', value = 2, inplace = True, out_column = None, )], horizon = 3, )

to_dict()¶: Collect all information about etna object in dict.

transition_coeff(datetime_index: torch.Tensor) → torch.Tensor[source]¶

Transition coefficient matrix.

Parameters: datetime_index (torch.Tensor) – Tensor with the index values. Values should be from 0 to seasonal period.
Returns: Transition coefficient matrix.
Return type: torch.Tensor