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135 lines
3.7 KiB
135 lines
3.7 KiB
from typing import List
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import numpy as np
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import pandas as pd
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from pandas.tseries import offsets
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from pandas.tseries.frequencies import to_offset
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class TimeFeature:
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def __init__(self):
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pass
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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pass
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def __repr__(self):
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return self.__class__.__name__ + "()"
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class SecondOfMinute(TimeFeature):
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"""Minute of hour encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return index.second / 59.0 - 0.5
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class MinuteOfHour(TimeFeature):
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"""Minute of hour encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return index.minute / 59.0 - 0.5
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class HourOfDay(TimeFeature):
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"""Hour of day encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return index.hour / 23.0 - 0.5
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class DayOfWeek(TimeFeature):
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"""Hour of day encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return index.dayofweek / 6.0 - 0.5
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class DayOfMonth(TimeFeature):
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"""Day of month encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return (index.day - 1) / 30.0 - 0.5
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class DayOfYear(TimeFeature):
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"""Day of year encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return (index.dayofyear - 1) / 365.0 - 0.5
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class MonthOfYear(TimeFeature):
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"""Month of year encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return (index.month - 1) / 11.0 - 0.5
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class WeekOfYear(TimeFeature):
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"""Week of year encoded as value between [-0.5, 0.5]"""
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def __call__(self, index: pd.DatetimeIndex) -> np.ndarray:
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return (index.isocalendar().week - 1) / 52.0 - 0.5
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def time_features_from_frequency_str(freq_str: str) -> List[TimeFeature]:
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"""
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Returns a list of time features that will be appropriate for the given frequency string.
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Parameters
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----------
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freq_str
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Frequency string of the form [multiple][granularity] such as "12H", "5min", "1D" etc.
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"""
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features_by_offsets = {
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offsets.YearEnd: [],
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offsets.QuarterEnd: [MonthOfYear],
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offsets.MonthEnd: [MonthOfYear],
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offsets.Week: [DayOfMonth, WeekOfYear],
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offsets.Day: [DayOfWeek, DayOfMonth, DayOfYear],
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offsets.BusinessDay: [DayOfWeek, DayOfMonth, DayOfYear],
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offsets.Hour: [HourOfDay, DayOfWeek, DayOfMonth, DayOfYear],
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offsets.Minute: [
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MinuteOfHour,
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HourOfDay,
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DayOfWeek,
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DayOfMonth,
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DayOfYear,
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],
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offsets.Second: [
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SecondOfMinute,
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MinuteOfHour,
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HourOfDay,
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DayOfWeek,
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DayOfMonth,
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DayOfYear,
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],
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}
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offset = to_offset(freq_str)
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for offset_type, feature_classes in features_by_offsets.items():
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if isinstance(offset, offset_type):
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return [cls() for cls in feature_classes]
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supported_freq_msg = f"""
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Unsupported frequency {freq_str}
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The following frequencies are supported:
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Y - yearly
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alias: A
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M - monthly
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W - weekly
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D - daily
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B - business days
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H - hourly
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T - minutely
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alias: min
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S - secondly
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"""
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raise RuntimeError(supported_freq_msg)
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def time_features(dates, freq="h"):
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return np.vstack([feat(dates) for feat in time_features_from_frequency_str(freq)])
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