pymc-forecast 0.0.1

Bayesian time-series forecasting with PyMC: train/forecast plumbing, backtesting, and metrics.

pymc_forecast

Bayesian time-series forecasting with PyMC: you write the generative model; the package handles the train/forecast plumbing, inference, backtesting, and evaluation.

A PyMC port of numpyro_forecast (itself a port of Pyro's pyro.contrib.forecast) — redesigned around PyMC idioms rather than a 1:1 translation.

Status: early development. The design and roadmap live in PLAN.md and the issue tracker.

Documentation: https://pymc-labs.github.io/pymc_forecast/ — API reference and executed example notebooks (univariate, hierarchical, covariates, state-space).

Quickstart

Write a model with one predict() call, fit it, and forecast:

import numpy as np, pandas as pd, pymc as pm, pytensor.tensor as pt
from pymc_forecast import Forecaster, backtest, evaluate_forecast, predict, time_series

# a trending weekly series; hold out the last 8 weeks
dates = pd.date_range("2024-01-07", periods=60, freq="W")
y = pd.Series(np.cumsum(np.random.default_rng(0).normal(0.2, 1.0, 60)) + 10, index=dates)
train, test = y.iloc[:52], y.iloc[52:]

def model(h, covariates):
    # a per-step drift latent; time_series adds the matching `_future` latent
    drift = time_series(h, "drift", lambda name, dims: pm.Normal(name, 0.0, 0.5, dims=dims))
    sigma = pm.HalfNormal("sigma", 1.0)
    predict(
        h,
        lambda name, mu, dims, obs: pm.Normal(name, mu, sigma, dims=dims, observed=obs),
        pt.cumsum(drift),                       # local-linear trend
    )

fc = Forecaster(model, train, num_steps=5_000, random_seed=0)   # ADVI
idata = fc.forecast(horizon=8, num_samples=500, random_seed=0)
forecast = idata["predictions"]["forecast"]     # dims: (chain, draw, time_future)

# score against the held-out weeks (aligned by dim name, not axis position)
truth = test.to_xarray().rename({"index": "time_future"})
print(evaluate_forecast(forecast, truth))       # {'mae': ..., 'rmse': ..., 'crps': ..., 'coverage': ...}

# rolling-origin backtest over the whole series
results = backtest(y, None, model, min_train_window=48, test_window=4, stride=4,
                   num_samples=200, forecaster_options={"num_steps": 3_000}, random_seed=0)

Swap Forecaster for HMCForecaster (NUTS, with nuts_sampler="nutpie"/"numpyro"/...) or PathfinderForecaster (pymc-extras) — the fit/forecast interface is identical. For models with real covariates, pass full-horizon covariates to .forecast() instead of horizon=. See markov_time_series for state-space latents and predict_mvn for observation noise correlated across time.

pymc-extras statespace structural models (level/trend, seasonality, SARIMAX, ...) are first-class citizens too: define one as a StatespaceModel and fit it with StatespaceForecaster — the same forecast (including exogenous-regression covariates), predict_in_sample, backtest, and metrics calls apply, with the Kalman filter marginalizing the latent states instead of sampling them (see docs/examples/scan_vs_statespace_local_level.ipynb). The pymc-extras integrations (PathfinderForecaster, StatespaceForecaster) are an optional extra: install with pip install 'pymc-forecast[extras]'.

Design principles

• One model trains and forecasts. In-sample time latents are fitted; the forecast horizon uses separate {name}_future variables that pm.sample_posterior_predictive draws from the prior while replaying the posterior for everything else.
• Dims and coords everywhere. No positional axis conventions: variables carry named dims ("time", "time_future", "obs", batch dims), results are arviz.InferenceData / xarray objects with real coordinates, and metrics are dim-aware.
• Not AutoML. No model zoo, no automatic feature pipelines — a clean path from a hand-written PyMC model to probabilistic forecasts and scores.
• Leverage the ecosystem. ADVI/NUTS from PyMC core, Pathfinder and state-space models from pymc-extras, diagnostics and storage from ArviZ.

Development

Requires Python >= 3.11 and uv:

uv sync --all-extras
uv run pytest
uv run ruff check .

To build the documentation (the example notebooks are committed fully executed; CI re-executes them with reduced sampling settings):

uv sync --all-extras --group docs
uv run sphinx-build -b html docs docs/_build/html

License

Apache-2.0. Portions derived from numpyro_forecast (Apache-2.0).