anofox-forecast

Technical depth grading and code quality analysis powered by pmat

Time series forecasting library for Rust.

Provides 35+ forecasting models, 76+ statistical features, seasonality decomposition, changepoint detection, anomaly detection, and bootstrap confidence intervals.

Features

• Forecasting Models (35+)

  • ARIMA and AutoARIMA with automatic order selection
  • Exponential Smoothing: Simple (SES), Holt's Linear, Holt-Winters
  • ETS (Error-Trend-Seasonal) state-space framework with AutoETS
  • Baseline methods: Naive, Seasonal Naive, Random Walk with Drift, Simple Moving Average
  • Theta method for forecasting
  • Intermittent demand models: Croston, ADIDA, TSB
  • Ensemble methods with multiple combination strategies

• Time Series Feature Extraction (76+ features)

  • Basic statistics (mean, variance, quantiles, energy, etc.)
  • Distribution features (skewness, kurtosis, symmetry)
  • Autocorrelation and partial autocorrelation
  • Entropy features (approximate, sample, permutation, binned, Fourier)
  • Complexity measures (C3, CID, Lempel-Ziv)
  • Trend analysis and stationarity tests (ADF, KPSS)

• Seasonality & Decomposition

  • STL (Seasonal-Trend decomposition using LOESS)
  • MSTL (Multiple Seasonal-Trend decomposition) for complex seasonality

• Spectral Analysis

  • Welch's periodogram for reduced variance spectral estimation
  • For comprehensive periodicity detection, see fdars

• Changepoint Detection

  • PELT algorithm with O(n) average complexity
  • Multiple cost functions: L1, L2, Normal, Poisson, LinearTrend, MeanVariance, Cusum

• Anomaly Detection

  • Statistical methods (IQR, z-score)
  • Automatic threshold selection
  • Seasonality-aware detection

• Bootstrap Confidence Intervals

  • Residual bootstrap and block bootstrap methods
  • Empirical confidence intervals for any model
  • Configurable sample size and reproducibility

• Probabilistic Postprocessing

  • Conformal Prediction: Distribution-free intervals with coverage guarantees
  • Historical Simulation: Non-parametric empirical error distribution
  • Normal Predictor: Gaussian error assumption baseline
  • IDR: Isotonic Distributional Regression (state-of-the-art calibration)
  • QRA: Quantile Regression Averaging for ensemble combining
  • Backtesting: Rolling/expanding window evaluation with horizon-aware calibration

• Data Transformations

  • Scaling: standardization, min-max, robust scaling
  • Box-Cox transformation with automatic lambda selection
  • Window functions: rolling mean, std, min, max, median
  • Exponential weighted moving averages

• Model Evaluation & Validation

  • Accuracy metrics: MAE, MSE, RMSE, MAPE, and more
  • Time series cross-validation
  • Residual testing and diagnostics

Installation

Add this to your Cargo.toml:

[dependencies]
anofox-forecast = "0.3"

For parallel AutoARIMA (4-8x speedup):

[dependencies]
anofox-forecast = { version = "0.3", features = ["parallel"] }

Quick Start

Creating a Time Series

use anofox_forecast::prelude::*;
use chrono::{TimeZone, Utc};

// Create timestamps
let timestamps: Vec<_> = (0..100)
    .map(|i| Utc.with_ymd_and_hms(2024, 1, 1, 0, 0, 0).unwrap() + chrono::Duration::days(i))
    .collect();

// Create values
let values: Vec<f64> = (0..100).map(|i| (i as f64 * 0.1).sin() + 10.0).collect();

// Build the time series
let ts = TimeSeries::builder()
    .timestamps(timestamps)
    .values(values)
    .build()?;

ARIMA Forecasting

use anofox_forecast::prelude::*;
use anofox_forecast::models::arima::Arima;

// Create and fit an ARIMA(1,1,1) model
let mut model = Arima::new(1, 1, 1)?;
model.fit(&ts)?;

// Generate forecasts with 95% confidence intervals
let forecast = model.predict_with_intervals(12, 0.95)?;

println!("Point forecasts: {:?}", forecast.values());
println!("Lower bounds: {:?}", forecast.lower());
println!("Upper bounds: {:?}", forecast.upper());

Holt-Winters Forecasting

use anofox_forecast::models::exponential::HoltWinters;

// Create Holt-Winters with additive seasonality (period = 12)
let mut model = HoltWinters::additive(12)?;
model.fit(&ts)?;

let forecast = model.predict(24)?;

Feature Extraction

use anofox_forecast::features::{mean, variance, skewness, approximate_entropy};

let values = ts.values();

let m = mean(values);
let v = variance(values);
let s = skewness(values);
let ae = approximate_entropy(values, 2, 0.2)?;

println!("Mean: {}, Variance: {}, Skewness: {}, ApEn: {}", m, v, s, ae);

STL Decomposition

use anofox_forecast::seasonality::Stl;

// Decompose with seasonal period of 12
let stl = Stl::new(12)?;
let decomposition = stl.decompose(&ts)?;

println!("Trend: {:?}", decomposition.trend());
println!("Seasonal: {:?}", decomposition.seasonal());
println!("Remainder: {:?}", decomposition.remainder());

Changepoint Detection

use anofox_forecast::changepoint::{Pelt, CostFunction};

let pelt = Pelt::new(CostFunction::L2, 10.0)?;
let changepoints = pelt.detect(&ts)?;

println!("Changepoints at indices: {:?}", changepoints);

Spectral Analysis

use anofox_forecast::detection::welch_periodogram;

// Welch's periodogram with overlapping windows
let psd = welch_periodogram(&values, 64, 0.5);

// Find dominant period
if let Some((period, power)) = psd.iter().max_by(|a, b| a.1.partial_cmp(&b.1).unwrap()) {
    println!("Dominant period: {}, power: {:.4}", period, power);
}

For comprehensive periodicity detection (ACF, FFT, Autoperiod, CFD-Autoperiod, SAZED), see the fdars crate.

Probabilistic Postprocessing

use anofox_forecast::postprocess::{PostProcessor, PointForecasts, BacktestConfig};

// Historical forecasts and actuals for calibration
let train_forecasts = PointForecasts::from_values(train_f);
let train_actuals = vec![/* ... */];

// Create a conformal predictor with 90% coverage
let processor = PostProcessor::conformal(0.90);

// Backtest with horizon-aware calibration
let config = BacktestConfig::new()
    .initial_window(100)
    .step(10)
    .horizon(7)
    .horizon_aware(true);

let results = processor.backtest(&train_forecasts, &train_actuals, config)?;
println!("Coverage: {:.1}%", results.coverage() * 100.0);

// Train calibrated model and predict
let trained = processor.train(&train_forecasts, &train_actuals)?;
let new_forecasts = PointForecasts::from_values(new_f);
let intervals = processor.predict_intervals(&trained, &new_forecasts)?;

println!("Lower: {:?}", intervals.lower());
println!("Upper: {:?}", intervals.upper());

API Reference

Core Types

Forecasting Models

Feature Categories

Postprocessing Types

Dependencies

• chrono - Date and time handling
• faer - Linear algebra operations
• statrs - Statistical distributions and functions
• thiserror - Error handling
• rand - Random number generation
• rustfft - Fast Fourier Transform for spectral analysis

Acknowledgments

The postprocessing module is a Rust port of PostForecasts.jl. Feature extraction is inspired by tsfresh. Forecasting models are validated against StatsForecast by Nixtla. See THIRDPARTY_NOTICE.md for full attribution and references to the research papers that inspired this implementation.

License

MIT License - see LICENSE for details.