Reproducing "DeepAR-SPL" from ICML workshop?

awslabs / gluonts

Probabilistic time series modeling in Python

https://ts.gluon.ai

Apache License 2.0

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Reproducing "DeepAR-SPL" from ICML workshop? #523

Open lotsoffood opened 4 years ago

lotsoffood commented 4 years ago

Is there code associate with the DeepAR-SPL model from the ICML workshop paper? Particularly reproducing the quantile regression spline output distribution function.

timoschowski commented 4 years ago

You can use this: https://github.com/awslabs/gluon-ts/blob/master/src/gluonts/distribution/piecewise_linear.py

in DeepAR and this should help you run it. More details on this model are here: http://proceedings.mlr.press/v89/gasthaus19a/gasthaus19a.pdf

lotsoffood commented 4 years ago

@timoschowski Thank you!

I see that PieceWiseLinearOutput requires a number of pieces to be specified. In the paper, I didn't see this referenced - is number of pieces a hyperparameter that should be tuned (and what would sane defaults be)?