feat: Added frequency aware one-hot and relative cyclic encoding. #2893
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Checklist before merging this PR:
Fixes #2842 .
Summary
Changes in this PR give users more options for encoding datetime attributes. This includes:
daywas encoded relative to the number of days in a month, while other attributes with a variable maximum (dayofyear,day_of_year,week,weekofyear,week_of_year) were encoded relative to the maximum on the specified time index.minute). Useres are now given the option to use a frequency aware one-hot-encoding. The frequency aware option considers the start of the time index and the frequency of the index to determine possible values (e.g.(0, 15, 30, 45)when start is noramlized for an hour and frequency is15min). This reduces the number of covariates, which may be critical for models who can't handle high dimensional feature spaces.OneHotTemporalEncoderclass, which uses the functionality from (2) and integrates intoSequentialEncoder. This requires changing the attributes available toSingleEncoder(encoders must be aware of the frequency and start time of the data).CyclicTemporalEncoderto reflect the changes in (1).Other Information
Draft Progress
OneHotTemporalEncoderCyclicTemporalEncoder