feat: initial version of the audit data feature

[ngupta23]

• Initial version of the data audit functionality.
• Merging into feat/data_audit first since @MMenchero and I are collaborating on it and may need to iron out a few things before we merge to main.

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Experiment Results

Experiment 1: air-passengers

Description:

variable	experiment
h	12
season_length	12
freq	MS
level	None
n_windows	1

Results:

metric	timegpt-1	timegpt-1-long-horizon	SeasonalNaive	Naive
mae	12.6793	11.0623	47.8333	76
mape	0.027	0.0232	0.0999	0.1425
mse	213.936	199.132	2571.33	10604.2
total_time	18.2702	1.4862	0.0043	0.0034

Plot:

Experiment 2: air-passengers

Description:

variable	experiment
h	24
season_length	12
freq	MS
level	None
n_windows	1

Results:

metric	timegpt-1	timegpt-1-long-horizon	SeasonalNaive	Naive
mae	58.1031	58.4587	71.25	115.25
mape	0.1257	0.1267	0.1552	0.2358
mse	4040.21	4110.79	5928.17	18859.2
total_time	0.4279	0.5394	0.0036	0.0033

Plot:

Experiment 3: electricity-multiple-series

Description:

variable	experiment
h	24
season_length	24
freq	H
level	None
n_windows	1

Results:

metric	timegpt-1	timegpt-1-long-horizon	SeasonalNaive	Naive
mae	178.293	268.13	269.23	1331.02
mape	0.0234	0.0311	0.0304	0.1692
mse	121589	219485	213677	4.68961e+06
total_time	0.9452	1.9612	0.0047	0.0042

Plot:

Experiment 4: electricity-multiple-series

Description:

variable	experiment
h	168
season_length	24
freq	H
level	None
n_windows	1

Results:

metric	timegpt-1	timegpt-1-long-horizon	SeasonalNaive	Naive
mae	465.497	346.972	398.956	1119.26
mape	0.062	0.0436	0.0512	0.1583
mse	835021	403760	656723	3.17316e+06
total_time	0.7867	0.4961	0.0049	0.0044

Plot:

Experiment 5: electricity-multiple-series

Description:

variable	experiment
h	336
season_length	24
freq	H
level	None
n_windows	1

Results:

metric	timegpt-1	timegpt-1-long-horizon	SeasonalNaive	Naive
mae	558.673	459.757	602.926	1340.95
mape	0.0697	0.0565	0.0787	0.17
mse	1.22723e+06	739114	1.61572e+06	6.04619e+06
total_time	0.7375	0.4673	0.0049	0.0045

Plot:

[jmoralez]

Please just open PRs when things are ready to be merged to main.

[ngupta23]

@MMenchero and I need to contribute to this feature and there is some codependence on each other's code. So we cannot merge the final product to main yet.

We can involve you when we are ready to merge to main if that is what you would prefer. At this stage we are just looking for initial feedback in case something is glaringly off so that we don't have to do a major rework at the end when we submit the PR to main.

[jmoralez]

I don't understand why you didn't just merge the branches locally and opened the PR towards main, the diff in this PR is meaningless if the base branch already has changes. Also I don't understand the difference between getting feedback in a PR towards main and here, since you've already done the work.