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I have a non-stationary time series where I am trying to build a model for forecasting. So far on test set it produces multiple cycles no matter which technique I use. There's just one feature Transaction Amount and index of the dataframe is datetime. Data spans past ten years. Around 3500 samples. You can see the data here: Test and Training Data

I made the data stationary using diff, dropped the NaN and then I created additional features this way:

def create_features(df):
  
    df['date'] = df.index
    df['hour'] = df['date'].dt.hour
    df['dayofweek'] = df['date'].dt.dayofweek
    df['quarter'] = df['date'].dt.quarter
    df['month'] = df['date'].dt.month
    df['year'] = df['date'].dt.year
    df['dayofyear'] = df['date'].dt.dayofyear
    df['dayofmonth'] = df['date'].dt.day
    df['weekofyear'] = df['date'].dt.isocalendar().week
    
    X = df[['hour','dayofweek','quarter','month','year',
           'dayofyear','dayofmonth','weekofyear']]
    y = df["TRANSACTIONAMOUNT"]
        
    return X,y

I used this to separate test and train datasets' y component:

X_train, y_train = create_features(train)
X_test, y_test = create_features(test)

Then I used XGBOOST with different parameters as well as MapieTimeSeriesRegressor.

reg = xgb.XGBRegressor(n_estimators=1000,early_stopping_rounds=50)
reg.fit(X_train, y_train,
        eval_set=[(X_train, y_train), (X_test, y_test)],
        verbose=True)

produced (after converting back to original using cumsum): XGBOOSt-simple With XGBOOST having hyperparameters tuned:

best_params = {'subsample': 0.6, 'reg_lambda': 0.05, 'reg_alpha': 20, 'n_estimators': 1000, 'min_child_weight': 5, 'max_depth': 10, 'learning_rate': 0.15, 'colsample_bytree': 1.0, 'colsample_bynode': 0.7, 'colsample_bylevel': 0.9}
reg = xgb.XGBRegressor(early_stopping_rounds=50,**best_params)
reg.fit(X_train, y_train,
        eval_set=[(X_train, y_train), (X_test, y_test)],
        verbose=True)

produced: XGBOOST-tuned and finally, Mapie with and without update of residuals (taken from their tutorial on website): Mapie You can see at least three cycles in every prediction set. These are basically copies of the training set repeated multiple times. How do I get rid of them and make a better prediction?

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1 Answer 1

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This is a random walk. Machine learning cannot be used to predict it.

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  • $\begingroup$ Why do you think so? $\endgroup$
    – Ben Reiniger
    Commented Oct 22, 2023 at 1:23
  • $\begingroup$ Because it is non-stationary and the first difference produced an autocorrelation with only one peak (the first one). Basically white noise. $\endgroup$ Commented Oct 22, 2023 at 15:45
  • $\begingroup$ Also kudos to the person who downvoted. Nobody helped me for two months and when I posted my findings they got downvoted. $\endgroup$ Commented Oct 22, 2023 at 15:46
  • $\begingroup$ I downvoted the answer, because it gives no reasoning. If you elaborate, I'd be happy to change that. And I'm sorry nobody else answered; I'm not particularly expert on time series, and hadn't seen the question until your answer populated in a review queue. $\endgroup$
    – Ben Reiniger
    Commented Oct 22, 2023 at 17:13
  • $\begingroup$ I am under no obligation to answer time-wasters. Have elaborated, go look it up. $\endgroup$ Commented Oct 22, 2023 at 18:27

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