tfp.sts.SmoothSeasonal

Formal representation of a smooth seasonal effect model.

Inherits From: StructuralTimeSeries

tfp.sts.SmoothSeasonal(
    period, frequency_multipliers, allow_drift=True, drift_scale_prior=None,
    initial_state_prior=None, observed_time_series=None, name=None
)

The smooth seasonal model uses a set of trigonometric terms in order to capture a recurring pattern whereby adjacent (in time) effects are similar. The model uses frequencies calculated via:

frequencies[j] = 2. * pi * frequency_multipliers[j] / period

and then posits two latent states for each frequency. The two latent states associated with frequency j drift over time via:

effect[t] = (effect[t - 1] * cos(frequencies[j]) +
             auxiliary[t - 1] * sin(frequencies[j]) +
             Normal(0., drift_scale))

auxiliary[t] = (-effect[t - 1] * sin(frequencies[j]) +
                auxiliary[t - 1] * cos(frequencies[j]) +
                Normal(0., drift_scale))

where effect is the smooth seasonal effect and auxiliary only appears as a matter of construction. The interpretation of auxiliary is thus not particularly important.

Examples

A smooth seasonal effect model representing smooth weekly seasonality on daily data:

component = SmoothSeasonal(
    period=7,
    frequency_multipliers=[1, 2, 3],
    initial_state_prior=tfd.MultivariateNormalDiag(scale_diag=tf.ones([6])),
)

period positive scalar float Tensor giving the number of timesteps required for the longest cyclic effect to repeat.
frequency_multipliers One-dimensional float Tensor listing the frequencies (cyclic components) included in the model, as multipliers of the base/fundamental frequency 2. * pi / period. Each component is specified by the number of times it repeats per period, and adds two latent dimensions to the model. A smooth seasonal model that can represent any periodic function is given by frequency_multipliers = [1, 2, ..., floor(period / 2)]. However, it is often desirable to enforce a smoothness assumption (and reduce the computational burden) by dropping some of the higher frequencies.
allow_drift optional Python bool specifying whether the seasonal effects can drift over time. Setting this to False removes the drift_scale parameter from the model. This is mathematically equivalent to drift_scale_prior = tfd.Deterministic(0.), but removing drift directly is preferred because it avoids the use of a degenerate prior. Default value: True.
drift_scale_prior optional tfd.Distribution instance specifying a prior on the drift_scale parameter. If None, a heuristic default prior is constructed based on the provided observed_time_series. Default value: None.
initial_state_prior instance of tfd.MultivariateNormal representing the prior distribution on the latent states. Must have event shape [2 * len(frequency_multipliers)]. If None, a heuristic default prior is constructed based on the provided observed_time_series.
observed_time_series optional float Tensor of shape batch_shape + [T, 1] (omitting the trailing unit dimension is also supported when T > 1), specifying an observed time series. Any priors not explicitly set will be given default values according to the scale of the observed time series (or batch of time series). May optionally be an instance of tfp.sts.MaskedTimeSeries, which includes a mask Tensor to specify timesteps with missing observations. Default value: None.
name the name of this model component. Default value: 'SmoothSeasonal'.

allow_drift Whether the seasonal effects are allowed to drift over time.
batch_shape Static batch shape of models represented by this component.
frequency_multipliers Multipliers of the fundamental frequency.
initial_state_prior Prior distribution on the initial latent states.
latent_size Python int dimensionality of the latent space in this model.
name Name of this model component.
parameters List of Parameter(name, prior, bijector) namedtuples for this model.
period The seasonal period.

Methods

batch_shape_tensor

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batch_shape_tensor()

Runtime batch shape of models represented by this component.

Returns
batch_shape int Tensor giving the broadcast batch shape of all model parameters. This should match the batch shape of derived state space models, i.e., self.make_state_space_model(...).batch_shape_tensor().

joint_log_prob

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joint_log_prob(
    observed_time_series
)

Build the joint density log p(params) + log p(y|params) as a callable.

Args
observed_time_series Observed Tensor trajectories of shape sample_shape + batch_shape + [num_timesteps, 1] (the trailing 1 dimension is optional if num_timesteps > 1), where batch_shape should match self.batch_shape (the broadcast batch shape of all priors on parameters for this structural time series model). May optionally be an instance of tfp.sts.MaskedTimeSeries, which includes a mask Tensor to specify timesteps with missing observations.

Returns
log_joint_fn A function taking a Tensor argument for each model parameter, in canonical order, and returning a Tensor log probability of shape batch_shape. Note that, unlike tfp.Distributions log_prob methods, the log_joint sums over the sample_shape from y, so that sample_shape does not appear in the output log_prob. This corresponds to viewing multiple samples in y as iid observations from a single model, which is typically the desired behavior for parameter inference.

make_state_space_model

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make_state_space_model(
    num_timesteps, param_vals=None, initial_state_prior=None, initial_step=0
)

Instantiate this model as a Distribution over specified num_timesteps.

Args
num_timesteps Python int number of timesteps to model.
param_vals a list of Tensor parameter values in order corresponding to self.parameters, or a dict mapping from parameter names to values.
initial_state_prior an optional Distribution instance overriding the default prior on the model's initial state. This is used in forecasting ("today's prior is yesterday's posterior").
initial_step optional int specifying the initial timestep to model. This is relevant when the model contains time-varying components, e.g., holidays or seasonality.

Returns
dist a LinearGaussianStateSpaceModel Distribution object.

prior_sample

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prior_sample(
    num_timesteps, initial_step=0, params_sample_shape=(),
    trajectories_sample_shape=(), seed=None
)

Sample from the joint prior over model parameters and trajectories.

Args
num_timesteps Scalar int Tensor number of timesteps to model.
initial_step Optional scalar int Tensor specifying the starting timestep. Default value: 0.
params_sample_shape Number of possible worlds to sample iid from the parameter prior, or more generally, Tensor int shape to fill with iid samples. Default value: [] (i.e., draw a single sample and don't expand the shape).
trajectories_sample_shape For each sampled set of parameters, number of trajectories to sample, or more generally, Tensor int shape to fill with iid samples. Default value: [] (i.e., draw a single sample and don't expand the shape).
seed Python int random seed.

Returns
trajectories float Tensor of shape trajectories_sample_shape + params_sample_shape + [num_timesteps, 1] containing all sampled trajectories.
param_samples list of sampled parameter value Tensors, in order corresponding to self.parameters, each of shape params_sample_shape + prior.batch_shape + prior.event_shape.