# -*- coding: utf-8 -*-
# This file as well as the whole tsfresh package are licenced under the MIT licence (see the LICENCE.txt)
# Maximilian Christ (maximilianchrist.com), Blue Yonder Gmbh, 2016
import pandas as pd
from sklearn.base import BaseEstimator, TransformerMixin
from tsfresh.feature_extraction import extract_features
from tsfresh.utilities.dataframe_functions import restrict_input_to_index
[docs]class FeatureAugmenter(BaseEstimator, TransformerMixin):
Sklearn-compatible estimator, for calculating and adding many features calculated from a given time series
to the data. It is basically a wrapper around :func:`~tsfresh.feature_extraction.extract_features`.
The features include basic ones like min, max or median, and advanced features like fourier
transformations or statistical tests. For a list of all possible features, see the module
:mod:`~tsfresh.feature_extraction.feature_calculators`. The column name of each added feature contains the name
of the function of that module, which was used for the calculation.
For this estimator, two datasets play a crucial role:
1. the time series container with the timeseries data. This container (for the format see :ref:`data-formats-label`)
contains the data which is used for calculating the
features. It must be groupable by ids which are used to identify which feature should be attached to which row
in the second dataframe.
2. the input data X, where the features will be added to. Its rows are identifies by the index and each index in
X must be present as an id in the time series container.
Imagine the following situation: You want to classify 10 different financial shares and you have their development
in the last year as a time series. You would then start by creating features from the metainformation of the
shares, e.g. how long they were on the market etc. and filling up a table - the features of one stock in one row.
This is the input array X, which each row identified by e.g. the stock name as an index.
>>> df = pandas.DataFrame(index=["AAA", "BBB", ...])
>>> # Fill in the information of the stocks
>>> df["started_since_days"] = ... # add a feature
You can then extract all the features from the time development of the shares, by using this estimator.
The time series container must include a column of ids, which are the same as the index of X.
>>> time_series = read_in_timeseries() # get the development of the shares
>>> from tsfresh.transformers import FeatureAugmenter
>>> augmenter = FeatureAugmenter(column_id="id")
>>> df_with_time_series_features = augmenter.transform(df)
The settings for the feature calculation can be controlled with the settings object.
If you pass ``None``, the default settings are used.
Please refer to :class:`~tsfresh.feature_extraction.settings.ComprehensiveFCParameters` for
This estimator does not select the relevant features, but calculates and adds all of them to the DataFrame. See the
:class:`~tsfresh.transformers.relevant_feature_augmenter.RelevantFeatureAugmenter` for calculating and selecting
For a description what the parameters column_id, column_sort, column_kind and column_value mean, please see
Create a new FeatureAugmenter instance.
:param default_fc_parameters: mapping from feature calculator names to parameters. Only those names
which are keys in this dict will be calculated. See the class:`ComprehensiveFCParameters` for
:type default_fc_parameters: dict
:param kind_to_fc_parameters: mapping from kind names to objects of the same type as the ones for
default_fc_parameters. If you put a kind as a key here, the fc_parameters
object (which is the value), will be used instead of the default_fc_parameters. This means that kinds,
for which kind_of_fc_parameters doe not have any entries, will be ignored by the feature selection.
:type kind_to_fc_parameters: dict
:param column_id: The column with the id. See :mod:`~tsfresh.feature_extraction.extraction`.
:type column_id: basestring
:param column_sort: The column with the sort data. See :mod:`~tsfresh.feature_extraction.extraction`.
:type column_sort: basestring
:param column_kind: The column with the kind data. See :mod:`~tsfresh.feature_extraction.extraction`.
:type column_kind: basestring
:param column_value: The column with the values. See :mod:`~tsfresh.feature_extraction.extraction`.
:type column_value: basestring
:param n_jobs: The number of processes to use for parallelization. If zero, no parallelization is used.
:type n_jobs: int
:param chunksize: The size of one chunk that is submitted to the worker
process for the parallelisation. Where one chunk is defined as a
singular time series for one id and one kind. If you set the chunksize
to 10, then it means that one task is to calculate all features for 10
time series. If it is set it to None, depending on distributor,
heuristics are used to find the optimal chunksize. If you get out of
memory exceptions, you can try it with the dask distributor and a
:type chunksize: None or int
:param show_warnings: Show warnings during the feature extraction (needed for debugging of calculators).
:type show_warnings: bool
:param disable_progressbar: Do not show a progressbar while doing the calculation.
:type disable_progressbar: bool
:param impute_function: None, if no imputing should happen or the function to call for imputing
the result dataframe. Imputing will never happen on the input data.
:type impute_function: None or function
:param profile: Turn on profiling during feature extraction
:type profile: bool
:param profiling_sorting: How to sort the profiling results (see the documentation of the profiling package for
:type profiling_sorting: basestring
:param profiling_filename: Where to save the profiling results.
:type profiling_filename: basestring
self.default_fc_parameters = default_fc_parameters
self.kind_to_fc_parameters = kind_to_fc_parameters
self.column_id = column_id
self.column_sort = column_sort
self.column_kind = column_kind
self.column_value = column_value
self.n_jobs = n_jobs
self.chunksize = chunksize
self.show_warnings = show_warnings
self.disable_progressbar = disable_progressbar
self.impute_function = impute_function
self.profile = profile
self.profiling_filename = profiling_filename
self.profiling_sorting = profiling_sorting
self.timeseries_container = timeseries_container
[docs] def set_timeseries_container(self, timeseries_container):
Set the timeseries, with which the features will be calculated. For a format of the time series container,
please refer to :mod:`~tsfresh.feature_extraction.extraction`. The timeseries must contain the same indices
as the later DataFrame, to which the features will be added (the one you will pass to :func:`~transform`). You
can call this function as often as you like, to change the timeseries later (e.g. if you want to extract for
:param timeseries_container: The timeseries as a pandas.DataFrame or a dict. See
:mod:`~tsfresh.feature_extraction.extraction` for the format.
:type timeseries_container: pandas.DataFrame or dict
self.timeseries_container = timeseries_container
[docs] def fit(self, X=None, y=None):
The fit function is not needed for this estimator. It just does nothing and is here for compatibility reasons.
:param X: Unneeded.
:type X: Any
:param y: Unneeded.
:type y: Any
:return: The estimator instance itself
[docs] def transform(self, X):
Add the features calculated using the timeseries_container and add them to the corresponding rows in the input
To save some computing time, you should only include those time serieses in the container, that you
need. You can set the timeseries container with the method :func:`set_timeseries_container`.
:param X: the DataFrame to which the calculated timeseries features will be added. This is *not* the
dataframe with the timeseries itself.
:type X: pandas.DataFrame
:return: The input DataFrame, but with added features.
if self.timeseries_container is None:
"You have to provide a time series using the set_timeseries_container function before."
# Extract only features for the IDs in X.index
timeseries_container_X = restrict_input_to_index(
self.timeseries_container, self.column_id, X.index
extracted_features = extract_features(
X = pd.merge(
X, extracted_features, left_index=True, right_index=True, how="left"