data format - from pandas to gluonts data format for both uni-variate and multivariate data

Hi @kashif

I hope your well! I am just trying to get familiar with the library and I generally work with the pandas data format. Could you help me format my data and create a basic uni-variate model for prediction into the future.

import numpy as np

import pandas as pd
import yfinance as yf
data = yf.download("SPY", start="2012-01-01", end="2017-04-30")['Adj Close']
data=pd.DataFrame(data)
data

from gluonts.dataset.common import ListDataset
training_data = ListDataset(
    [{"start": data.index[0], "target": data.values[:1300]}],
    freq = "1D"
)

from gluonts.dataset.common import ListDataset
test_data = ListDataset(
    [{"start": data.index[1301], "target": data.values[1301:1339]}],
    freq = "1D"
)


from gluonts.model.simple_feedforward import SimpleFeedForwardEstimator
from gluonts.mx.trainer import Trainer

estimator = SimpleFeedForwardEstimator(
    num_hidden_dimensions=[10],
    prediction_length=38,
    context_length=100,
    freq='1D',
    trainer=Trainer(ctx="cpu", 
                    epochs=5, 
                    learning_rate=1e-3, 
                    num_batches_per_epoch=100
                   )
)
predictor = estimator.train(training_data=training_data)

[kashif]

@andrewcztrack you just make a list of dicts with "target": [1, 4,2, ....] and "start" being the start date and this list you use to instantiate the train_ds = ListDataset(...) So just loop over you pandas dataframe assuming it has multiple time series and for each time series just make the target and start dictonary…

[andrewcztrack]

Hi @kashif ! my laptop is about to die. can I touch base in a few hours. Kind regards and thanks, Andrew