randomstatsmodels 1.6.1

Tools for benchmarking, metrics, and models.

randomstatsmodels

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Lightweight utilities for benchmarking, forecasting, and statistical modeling — with simple Auto* model wrappers that tune hyperparameters for you.

Installation

pip install randomstatsmodels

Requires: Python 3.9+ and NumPy.

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Quick Start

from randomstatsmodels import AutoNEO, AutoFourier, AutoKNN, AutoPolymath, AutoThetaAR
import numpy as np

# Toy data: sine wave + noise
rng = np.random.default_rng(42)
t = np.arange(200)
y = np.sin(2*np.pi*t/24) + 0.1*rng.normal(size=t.size)

h = 12  # forecast horizon

model = AutoNEO().fit(y)
yhat = model.predict(h)
print("Forecast:", yhat[:5])

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Models

Each Auto* class:

• accepts a parameter grid (or uses sensible defaults),
• fits/evaluates candidates using a chosen metric,
• exposes a unified API: .fit(y[, X]) and .predict(h).

AutoNEO

from randomstatsmodels import AutoNEO

neo = AutoNEO(
    param_grid={"n_components": [8, 16, 32]},
    metric="mae",
)
neo.fit(y)
print("Best params:", neo.best_params_)
print("Prediction:", neo.predict(h))

AutoFourier

from randomstatsmodels import AutoFourier

fourier = AutoFourier(
    param_grid={"season_length": [12, 24], "n_terms": [3, 5]},
    metric="smape",
)
fourier.fit(y)
print("Prediction:", fourier.predict(h))

AutoKNN

from randomstatsmodels import AutoKNN

knn = AutoKNN(
    param_grid={"k": [3, 5, 7], "window": [12, 24]},
    metric="rmse",
)
knn.fit(y)
print("Prediction:", knn.predict(h))

AutoPolymath

from randomstatsmodels import AutoPolymath

poly = AutoPolymath(
    param_grid={"degree": [2, 3], "ridge": [0.0, 0.1]},
    metric="mae",
)
poly.fit(y)
print("Prediction:", poly.predict(h))

AutoThetaAR

from randomstatsmodels import AutoThetaAR

theta = AutoThetaAR(
    param_grid={"theta": [0.5, 1.0, 2.0]},
    metric="mape",
)
theta.fit(y)
print("Prediction:", theta.predict(h))

AutoHybridForecaster

from randomstatsmodels import AutoHybridForecaster

hybrid = AutoHybridForecaster(
    candidate_fourier=(0, 3, 6),
    candidate_trend=(0, 1),
    candidate_ar=(0, 3, 5),
    candidate_hidden=(8, 16, 32),
)
hybrid.fit(y)
print("Best config:", hybrid.best_config)
print("Prediction:", hybrid.predict(h))

AutoMELD

from randomstatsmodels import AutoMELD

meld = AutoMELD(
    lags_grid=(8, 12),
    scales_grid=((1, 3, 7), (1, 2, 4, 8)),
    rff_features_grid=(64, 128),
)
meld.fit(y)
print("Best config:", meld.best_["config"])
print("Prediction:", meld.predict(h))

AutoPALF

from randomstatsmodels import AutoPALF

palf = AutoPALF(
    p_candidates=(4, 8, 12),
    penalties=("huber", "l2"),
)
palf.fit(y)
print("Validation score:", palf.best_["val_score"])
print("Prediction:", palf.predict(h))

AutoNaive

Essential baseline forecasters for proper model evaluation.

from randomstatsmodels import AutoNaive

naive = AutoNaive(
    method_options=("last", "seasonal", "drift", "mean"),
    seasonal_periods=(1, 7, 12, 24),
)
naive.fit(y)
print("Best config:", naive.best_["config"])
print("Prediction:", naive.predict(h))

Methods:

• "last": Repeat the last observed value
• "seasonal": Repeat values from one seasonal period ago
• "drift": Linear extrapolation from first to last value
• "mean": Rolling or global mean

AutoHoltWinters

Classic Holt-Winters exponential smoothing with level, trend, and seasonal components.

from randomstatsmodels import AutoHoltWinters

hw = AutoHoltWinters(
    seasonal_periods=(12, 24),
    trend_options=("add", "none", "damped"),
    seasonal_options=("add", "none"),
)
hw.fit(y)
print("Best config:", hw.best_["config"])
print("Prediction:", hw.predict(h))

AutoSSA

Singular Spectrum Analysis - decomposes time series using SVD to discover adaptive oscillatory modes.

from randomstatsmodels import AutoSSA

ssa = AutoSSA(
    window_fracs=(0.25, 0.33, 0.5),
    n_components_grid=(None, 2, 4, 8),
)
ssa.fit(y)
print("Best config:", ssa.best_["config"])
print("Prediction:", ssa.predict(h))

AutoLocalLinear

Weighted local regression with exponential decay for older observations.

from randomstatsmodels import AutoLocalLinear

ll = AutoLocalLinear(
    decay_grid=(0.9, 0.95, 0.98, 1.0),
    degree_grid=(1, 2),
)
ll.fit(y)
print("Best config:", ll.best_["config"])
print("Prediction:", ll.predict(h))

AutoEnsemble

Combines multiple base forecasters with learned weights using validation performance.

from randomstatsmodels import AutoEnsemble

ensemble = AutoEnsemble(
    weighting_options=("uniform", "validation", "optimal"),
)
ensemble.fit(y)
print("Best config:", ensemble.best_["config"])
print("Base model scores:", ensemble.base_scores_)
print("Prediction:", ensemble.predict(h))

Weighting methods:

• "uniform": Equal weights for all models
• "validation": Weights inversely proportional to validation error
• "optimal": Solve for weights that minimize validation error

AutoRIFT (Novel: Recursive Information Flow Tensor)

A cutting-edge forecasting model based on original "Predictive Information Field Dynamics" theory.

RIFT introduces a fundamentally new paradigm: instead of modeling values directly, it models how predictive information flows and transforms between different temporal channels (level, trend, curvature, oscillations) as the forecast horizon increases.

from randomstatsmodels import AutoRIFT

rift = AutoRIFT(
    n_frequencies_grid=(2, 4, 6),
    embedding_dim_grid=(2, 3),
    regularization_grid=(0.001, 0.01),
)
rift.fit(y)
print("Best config:", rift.best_["config"])
print("Prediction:", rift.predict(h))

# Analyze which channels hold predictive information
info = rift.get_information_analysis(horizon=5)
print("Information by channel:", info)

Theoretical Innovation:

• Information Channels: Decomposes predictive power into orthogonal channels (level, trend, curvature, spectral components)
• Information Flow Matrix: Learns how information transfers between channels as horizon increases
• Fisher Information Estimation: Uses local variance reduction to estimate channel informativeness
• Adaptive Reconstruction: Combines channel extrapolations weighted by propagated information state

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Benchmarks

Comprehensive evaluation of all 13 models across 12 real-world time series datasets with 12-step ahead forecasting.

Overall Model Rankings

Model	Avg Rank	#1 Finishes	Top 3 Finishes
AutoLocalLinear	5.2	4	5
AutoPolymath	5.4	1	6
AutoNaive	5.8	0	3
AutoNEO	5.8	0	5
AutoSSA	6.2	1	3
AutoMELD	6.2	2	4
AutoKNN	6.8	1	2
AutoThetaAR	7.8	1	2
AutoHoltWinters	7.9	0	1
AutoPALF	8.0	1	1
AutoEnsemble	8.2	0	1
AutoRIFT	8.6	1	2
AutoFourier	8.8	0	1

1. US GDP Growth

Quarterly US GDP growth rate (1947-1960). Economic indicator.

Rank	Model	MAE	RMSE
1	AutoPolymath	2.68	3.71
2	AutoFourier	3.25	4.00
3	AutoNEO	3.29	4.06

2. US Unemployment

Monthly US unemployment rate (1948-1952). Labor market.

Rank	Model	MAE	RMSE
1	AutoThetaAR	0.15	0.17
2	AutoNaive	0.18	0.21
3	AutoEnsemble	0.21	0.24

3. Gold Prices

Monthly gold prices USD/oz (1979-1984). Commodity prices.

Rank	Model	MAE	RMSE
1	AutoRIFT	13.68	15.90
2	AutoHoltWinters	16.55	19.04
3	AutoSSA	22.83	26.73

4. Electricity Production

Monthly US electricity production (1973-1978). Energy sector.

Rank	Model	MAE	RMSE
1	AutoMELD	3.11	3.75
2	AutoNEO	4.04	4.38
3	AutoPolymath	4.48	4.86

5. Wine Sales

Monthly Australian wine sales in litres (1980-1985). Retail.

Rank	Model	MAE	RMSE
1	AutoLocalLinear	1689.65	2074.68
2	AutoNEO	2194.88	2553.63
3	AutoPolymath	2195.09	2554.02

6. Lynx Trappings

Annual Canadian lynx trappings (1821-1900). Ecological cycles.

Rank	Model	MAE	RMSE
1	AutoKNN	803.05	1158.40
2	AutoNaive	835.83	1563.64
3	AutoThetaAR	841.47	1566.57

7. Lake Erie Level

Monthly Lake Erie water level (1921-1925). Environmental.

Rank	Model	MAE	RMSE
1	AutoLocalLinear	0.27	0.32
2	AutoSSA	0.27	0.35
3	AutoMELD	0.39	0.45

8. US Retail Sales

Monthly US retail sales index (1967-1971). Economic.

Rank	Model	MAE	RMSE
1	AutoMELD	0.62	0.90
2	AutoPolymath	0.62	0.76
3	AutoNEO	0.82	1.07

9. Australia Passengers

Monthly international passengers Australia (1991-1994). Travel.

Rank	Model	MAE	RMSE
1	AutoSSA	85.23	97.95
2	AutoMELD	96.81	113.58
3	AutoLocalLinear	113.33	120.66

10. Accidental Deaths

Monthly US accidental deaths (1973-1978). Public health.

Rank	Model	MAE	RMSE
1	AutoLocalLinear	238.24	266.90
2	AutoNaive	259.50	341.16
3	AutoKNN	259.50	341.16

11. Airline Passengers

Monthly airline passengers (1949-1960). Classic benchmark.

Rank	Model	MAE	RMSE
1	AutoLocalLinear	13.43	17.30
2	AutoPolymath	14.39	17.44
3	AutoNEO	15.85	18.89

12. Sunspots

Monthly sunspot numbers. Astronomical cycles.

Rank	Model	MAE	RMSE
1	AutoPALF	5.65	7.05
2	AutoRIFT	5.73	8.05
3	AutoPolymath	5.91	7.10

Key Findings

• AutoLocalLinear achieves the best average rank (5.2) with 4 first-place finishes
• AutoPolymath shows consistent top-3 performance (6 top-3 finishes)
• AutoRIFT wins on Gold Prices and places 2nd on Sunspots - excels on financial/cyclical data
• AutoMELD dominates on Electricity and Retail Sales
• AutoKNN performs best on ecological cycles (Lynx Trappings)
• AutoSSA excels on smooth seasonal patterns (Lake Erie, Australia Passengers)
• No single model dominates all data types - model selection matters!

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Metrics

Available out of the box:

from randomstatsmodels.metrics import mae, mse, rmse, mape, smape

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License

MIT © 2025 Jacob Wright