Time Series forecasting

[wieczorekmichal1]

System information

• **OS version/distro Windows 10:
• **.NET Version (eg., dotnet --info) Core 2.0 - 2.2:

Issue

I am looking for time series prediction possibility, but can't find one example. There are a lot of posts about forecasting - all from 2018. So my question is: Is time series forecasting included into ml.net 0.11 or do you plan to add it in the future versions?

[wschin]

The public API to time series in ML.NET doesn't support forecasting yet. If you are looking for anomaly detection in time series, maybe those example could be helpful.

[wieczorekmichal1]

Accidentally I found that there is a nuget package named Microsoft.ML.TimeSeries in 0.11 version. Do you know where can I find its code?

[codemzs]

https://github.com/dotnet/machinelearning/tree/master/src/Microsoft.ML.TimeSeries

[rdzidziguri]

@Byq96 despite your finding, unfortunate for now ML.NET does not support TS forecasting and does not have things like long short term memory time series. this is something we need on our side as well but i can not even find any sign of this features being planed so it is definitely wanted but not available feature inside ML.NET for noe.

[codemzs]

@rdzidziguri @Byq96 It does now: https://github.com/dotnet/machinelearning/blob/master/docs/samples/Microsoft.ML.Samples/Dynamic/Transforms/TimeSeries/Forecasting.cs and will be part of 1.1 release

[rdzidziguri]

@codemzs Thank you very much for providing this to us. ML.NET is moving really fast good job team!!!.

I have one question regarding API surface for example https://github.com/dotnet/machinelearning/blob/master/docs/samples/Microsoft.ML.Samples/Dynamic/Transforms/TimeSeries/Forecasting.cs#L53

we can see that method is named train while in all other areas we call it Fit. so what is the difference here? I do not mean it is extremely hard to remember to use the train instead of fit, but i though approach here would be to follow same conventions across all API surfaces. does not this break the core philosophy behind ML.NET Load -> Transform -> Train

[wieczorekmichal1]

@codemzs Thank You for this information. Also do You plan to add another forecasting methods in the future?

[codemzs]

@Byq96 Np, what do you mean another forecasting method? did you mean model? We may refine the API but we plan to make time series nuget a release nuget end of this month.

[wieczorekmichal1]

I was thinking about Moving Average or ARMA implementation. It could be also helpful to fill the gaps in the dataseries before SSA model training.