tsfresh uses Semantic Versioning
- All the below changes from 0.18.0 to 0.20.0
- black formatted earthgecko/tsfresh
- Disabled new features - absolute_maximum, mean_n_absolute_max, matrix_profile, query_similarity_count and root_mean_square
- Breaking Change
- The matrixprofile package becomes an optional dependency
- Bugfixes/Typos/Documentation:
- Fix feature extraction of Friedrich coefficients for pandas>1.3.5
- Fix file paths after example notebooks were moved
- Breaking Change
- Drop Python 3.6 support due to dependency on statsmodels 0.13
- Added Features
- Improve documentation (#831, #834, #851, #853, #870)
- Add absolute_maximum and mean_n_absolute_max features (#833)
- Make settings pickable (#845, #847, #910)
- Disable multiprocessing for n_jobs=1 (#852)
- Add black, isort, and pre-commit (#876)
- Bugfixes/Typos/Documentation:
- Fix conversion of time-series into sequence for lempel_ziv_complexity (#806)
- Fix range count config (#827)
- Reword documentation (#893)
- Fix statsmodels deprecation issues (#898, #912)
- Fix typo in requirements (#903)
- Bump statsmodels to v0.13 (#
- Updated references
- Added Features
- Allow arbitrary rolling sizes (#766)
- Allow for multiclass significance tests (#762)
- Add multiclass option to RelevantFeatureAugmenter (#782)
- Addition of matrix_profile feature (#793)
- Added new query similarity counter feature (#798)
- Add root mean square feature (#813)
- Bugfixes/Typos/Documentation:
- Do not send coverage of notebook tests to codecov (#759)
- Fix typos in notebook (#757, #780)
- Fix output format of make_forecasting_frame (#758)
- Fix badges and remove benchmark test
- Fix BY notebook plot (#760)
- Ts forecast example improvement (#763)
- Also surpress warnings in dask (#769)
- Update relevant_feature_augmenter.py (#779)
- Fix column names in quick_start.rst (#778)
- Improve relevance table function documentation (#781)
- Fixed #789 Typo in "how to add custom feature" (#790)
- Convert to the correct type on warnings (#799)
- Fix minor typos in the docs (#802)
- Add unwanted filetypes to gitignore (#819)
- Fix build and test failures (#815)
- Fix imputing docu (#800)
- Bump the scikit-learn version (#822)
- Readded the original percentage_of_reoccurring_datapoints_to_all_datapoints before the feature name change to percentage_of_reoccurring_values_to_all_values implemented in v0.17.0 (feature names should be immutable) blue-yonder#725 https://github.com/blue-yonder/tsfresh/commit/6f9c7950d92ca84c9a4a44829d3aef283715a361 blue-yonder#724
- Rename the new feature percentage_of_reoccurring_values_to_all_values to v0170_percentage_of_reoccurring_values_to_all_values and disabled
- Readded the original percentage_of_reoccurring_values_to_all_values before the feature name change to percentage_of_reoccurring_datapoints_to_all_datapoints implemented in v0.17.0 (feature names should be immutable)
- Rename the new feature percentage_of_reoccurring_datapoints_to_all_datapoints to v0170_percentage_of_reoccurring_datapoints_to_all_datapoints and disabled
- Disabled lempel_ziv_complexity,fourier_entropy and permutation_entropy features that were added in v0.17.0
- Revert to the original cwt_coefficients feature names changed in v0.16.0
- Renamed the new sample_entropy introduced in v0.16.0 to v0160_sample_entropy and readded sample_entropy from v0.15.1 as this is a breaking change as per: blue-yonder#681 and https://github.com/blue-yonder/tsfresh/pull/681/commits/ce493e5735bea79424f8bb357a4e357caebdb369
- Hardcoded TSFRESH_BASELINE_VERSION = '0.17.9' in tests
We changed the default branch from "master" to "main".
- Breaking Change
- Changed constructed id in roll_time_series from string to tuple (#700)
- Same for add_sub_time_series_index (#720)
- Added Features
- Implemented the Lempel-Ziv-Complexity and the Fourier Entropy (#688)
- Prevent #524 by adding an assert for common identifiers (#690)
- Added permutation entropy (#691)
- Added a logo :-) (#694)
- Implemented the benford distribution feature (#689)
- Reworked the notebooks (#701, #704)
- Speed up the result pivoting (#705)
- Add a test for the dask bindings (#719)
- Refactor input data iteration to need less memory (#707)
- Added benchmark tests (#710)
- Make dask a possible input format (#736)
- Bugfixes:
- Fixed a bug in the selection, that caused all regression tasks with un-ordered index to be wrong (#715)
- Fixed readthedocs (#695, #696)
- Fix spark and dask after #705 and for non-id named id columns (#712)
- Fix in the forecasting notebook (#729)
- Let tsfresh choose the value column if possible (#722)
- Move from coveralls github action to codecov (#734)
- Improve speed of data processing (#735)
- Fix for newer, more strict pandas versions (#737)
- Fix documentation for feature calculators (#743)
- Disabled count_above and count_below features that were added in v0.15.0
- Merged previous v0.15.2 changes
- Breaking Change
- Fix the sorting of the parameters in the feature names (#656) The feature names consist of a sorted list of all parameters now. That used to be true for all non-combiner features, and is now also true for combiner features. If you relied on the actual feature name, this is a breaking change.
- Change the id after the rolling (#668) Now, the old id of your data is still kept. Additionally, we improved the way dataframes without a time column are rolled and how the new sub-time series are named. Also, the documentation was improved a lot.
- Added Features
- Added variation coefficient (#654)
- Added the datetimeindex explanation from the notebook to the docs (#661)
- Optimize RelevantFeatureAugmenter to avoid re-extraction (#669)
- Added a function add_sub_time_series_index (#666)
- Added Dockerfile
- Speed optimizations and speed testing script (#681)
- Bugfixes
- Increase the extracted ar coefficients to the full parameter range. (#662)
- Documentation fixes (#663, #664, #665)
- Rewrote the sample_entropy feature calculator (#681) It is now faster and (hopefully) more correct. But your results will change!
- Disabled new features count_above and count_below
- Changelog and documentation fixes
- Added Features
- Add count_above and count_below feature (#632)
- Add convenience bindings for dask dataframes and pyspark dataframes (#651)
- Bugfixes
- Fix documentation build and feature table in sphinx (#637, #631, #627)
- Add scripts to API documentation
- Skip dask test for older python versions (#649)
- Add missing distributor keyword (#648)
- Fix tuple input for cwt (#645)
- Merged 0.14.0 changes
- Fix travis deployment
- Breaking Change
- Replace Benjamini-Hochberg implementation with statsmodels implementation (#570)
- Refactoring and Documentation
- travis.yml (#605)
- gitignore (#608)
- Fix docstring of c3 (#590)
- Feature/pep8 (#607)
- Added Features
- Improve test coverage (#609)
- Add "autolag" parameter to augmented_dickey_fuller() (#612)
- Bugfixes
- Feature/pep8 (#607)
- Fix filtering on warnings with multiprocessing on Windows (#610)
- Remove outdated logging config (#621)
- Replace Benjamini-Hochberg implementation with statsmodels implementation (#570)
- Fix the kernel and the naming of a notebook (#626)
- Reverted to the v0.11.1 value_count setting
- Drop python 2.7 support (#568)
- Fixed bugs
- Fix cache in friedrich_coefficients and agg_linear_trend (#593)
- Added a check for wrong column names and a test for this check (#586)
- Make sure to not install the tests folder (#599)
- Make sure there is at least a single column which we can use for data (#589)
- Avoid division by zero in energy_ratio_by_chunks (#588)
- Ensure that get_moment() uses float computations (#584)
- Preserve index when column_value and column_kind not provided (#576)
- Add @set_property("input", "pd.Series") when needed (#582)
- Fix off-by-one error in longest strike features (fixes #577) (#578)
- Add set_property import (#572)
- Fix typo (#571)
- Fix indexing of melted normalized input (#563)
- Fix travis (#569)
- Remove warnings (#583)
- Update to newest python version (#594)
- Optimizations
- Early return from change_quantiles if ql >= qh (#591)
- Optimize mean_second_derivative_central (#587)
- Improve performance with Numpy's sum function (#567)
- Optimize mean_change (fixes issue #542) and correct documentation (#574)
- Disabled linear_trend_timewise added in v0.12.0
- Readded tsfresh/examples/test_tsfresh_baseline_dataset.py which was removed in v0.12.0
- fixed bugs
- wrong calculation of friedrich coefficients
- feature selection selected too many features
- an ignored max_timeshift parameter in roll_time_series
- add deprecation warning for python 2
- added support for index based features
- new feature calculator
- linear_trend_timewise
- enable the RelevantFeatureAugmenter to be used in cross validated pipelines
- increased scipy dependency to 1.2.0
- Disabled new feature calculators:
- fft_aggregated
- cid_ce
- reverted to the original mean_second_derivate_central from mean_second_derivative_central
- change chunking in energy_ratio_by_chunks to use all data points
- fix warning for spkt_welch_density
- adapt default settings for "value_count" and "range_count"
- added
- maxlag parameter to agg_autocorrelation function
- now, the kind column of the input DataFrame is cast as str, old derived FC_Settings can become invalid
- only set default_fc_parameters to ComprehensiveFCParameters() if also kind_to_fc_parameters is set None in extract_features
- removed pyscaffold
- use asymptotic algorithm to derive kendal tau
- general performance improvements
- removed hard pinning of dependencies
- fixed bugs
- the stock price forecasting notebook
- the multi classification notebook
- new feature calculators:
- fft_aggregated
- cid_ce
- renamed mean_second_derivate_central to mean_second_derivative_central
- add warning if no relevant features were found in feature selection
- add columns_to_ignore parameter to from_columns method
- add distribution module, contains support for distributed feature extraction on Dask
- split test suite into unit and integration tests
- fixed the following bugs
- use name of value column as time series kind
- prevent the spawning of subprocesses which lead to high memory consumption
- fix deployment from travis to pypi
- new feature calculators:
- partial autocorrelation
- added list of calculated features to documentation
- added two ipython notebooks to
- illustrate PCA on features
- illustrate the Benjamini Yekutieli procedure
- fixed the following bugs
- improperly quotation of dickey fuller settings
- new feature calculators:
- ratio_beyond_r_sigma
- energy_ratio_by_chunks
- number_crossing_m
- c3
- angle & abs for fft coefficients
- agg_autocorrelation
- p-Value and usedLag for augmented_dickey_fuller
- change_quantiles
- changed the calculation of the following features:
- fft_coefficients
- autocorrelation
- time_reversal_asymmetry_statistic
- removed the following feature calculators:
- large_number_of_peak
- mean_autocorrelation
- mean_abs_change_quantiles
- add support for multi classification in the feature selection
- improved description of the rolling mechanism
- added function make_forecasting_frame method for forecasting tasks
- internally ditched the pandas representation of the time series, yielding drastic speed improvements
- replaced feature calculator types from aggregate/aggregate with parameter/apply to simple/combiner
- add test for the ipython notebooks
- added notebook to inspect dft features
- make sure that RelevantFeatureAugmentor always imputes
- fixed the following bugs
- impute was replacing whole columns by mean
- fft coefficient were only calculated on truncated part
- allow to suppress warnings from impute function
- added missing lag in time_reversal_asymmetry_statistic
- new features:
- linear trend
- agg trend
- new sklearn compatible transformers
- PerColumnImputer
- fixed bugs
- make mannwhitneyu method compatible with scipy > v0.18.0
- added caching to travis
- internally, added serial calculation of features
- Breaking API changes:
- removing of feature extraction settings object, replaced by keyword arguments and a plain dictionary (fc_parameters)
- removing of feature selection settings object, replaced by keyword arguments
- added notebook with examples of new API
- added chapter in docs about the new API
- adjusted old notebooks and documentation to new API
- added a maximum shift parameter to the rolling utility
- added a FAQ entry about how to use tsfresh on windows
- drastically decreased the runtime of the following features
- cwt_coefficient
- index_mass_quantile
- number_peaks
- large_standard_deviation
- symmetry_looking
- removed baseline unit tests
- bugfixes:
- per sample parallel imputing was done on chunks which gave non deterministic results
- imputing on dtypes other that float32 did not work properly
- several improvements to documentation
- new rolling utility to use tsfresh for time series forecasting tasks
- bugfixes:
- index_mass_quantile was using global index of time series container
- an index with same name as id_column was breaking parallelization
- friedrich_coefficients and max_langevin_fixed_point were occasionally stalling
- progress bar for feature selection
- new feature: estimation of largest fixed point of deterministic dynamics
- new notebook: demonstration how to use tsfresh in a pipeline with train and test datasets
- remove no logging handler warning
- fixed bug in the RelevantFeatureAugmenter regarding the evaluate_only_added_features parameters
- new example: driftbif simulation
- further improvements of the parallelization
- language improvements in the documentation
- performance improvements for some features
- performance improvements for the impute function
- new feature and feature renaming: sum_of_recurring_values, sum_of_recurring_data_points
- fixed several bugs: checking of UCI dataset, out of index error for mean_abs_change_quantiles
- added a progress bar denoting the progress of the extraction process
- added parallelization per sample
- added unit tests for comparing results of feature extraction to older snapshots
- added "high_comp_cost" attribute
- added ReasonableFeatureExtraction settings only calculating features without "high_comp_cost" attribute
- fixed several bugs: closing multiprocessing pools / index out of range cwt calculator / division by 0 in index_mass_quantile
- now all warnings are disabled by default
- for a singular type time series data, the name of value column is used as feature prefix
- fixed bug with parsing of "NUMBER_OF_CPUS" environment variable
- now features are calculated in parallel for each type
- now p-values are calculated in parallel
- fixed bugs for constant features
- allow time series columns to be named 0
- moved uci repository datasets to github mirror
- added feature calculator sample_entropy
- added MinimalFeatureExtraction settings
- fixed bug in calculation of fourier coefficients
- added support for python 3.5.2
- fixed bug with the naming of the features that made the naming of features non-deterministic
- mainly fixes for the read-the-docs documentation, the pypi readme and so on
- Initial version :)