Nan handling

src/timesfm/timesfm_base.py

@@ -51,15 +51,65 @@ def freq_map(freq: str):
   """Returns the frequency map for the given frequency string."""
   freq = str.upper(freq)
   if (freq.endswith("H") or freq.endswith("T") or freq.endswith("MIN") or
-      freq.endswith("D") or freq.endswith("B") or freq.endswith("U")):
+      freq.endswith("D") or freq.endswith("B") or freq.endswith("U") or
+      freq.endswith("S")):
     return 0
   elif freq.endswith(("W", "M", "MS")):
     return 1
-  elif freq.endswith("Y") or freq.endswith("Q"):
+  elif freq.endswith("Y") or freq.endswith("Q") or freq.endswith("A"):
     return 2
   else:
     raise ValueError(f"Invalid frequency: {freq}")
 
+def strip_leading_nans(arr):
+  """
+  Removes contiguous NaN values from the beginning of a NumPy array.
+
+  Args:
+    arr: The input NumPy array.
+
+  Returns:
+    A new NumPy array with leading NaN values removed.
+    If the array is all NaNs or empty, returns an empty array.
+  """
+
+  isnan = np.isnan(arr)
+  first_valid_index = np.argmax(~isnan)
+  return arr[first_valid_index:]
+
+def linear_interpolation(arr):
+  """
+    Performs linear interpolation to fill NaN values in a 1D numpy array.
+
+    Args:
+        arr: The 1D numpy array containing NaN values.
+
+    Returns:
+        A new numpy array with NaN values filled using linear interpolation, 
+        or the original array if no NaNs are present. 
+        Returns None if the input is not a 1D array.
+        Returns the original array if there are no NaN values.
+    """
+
+  nans = np.isnan(arr)
+  if not np.any(nans):  # Check if there are any NaNs
+    return arr
+
+  x = lambda z: z.nonzero()[0]
+  nans_indices = x(nans)
+  non_nans_indices = x(~nans)
+  non_nans_values = arr[~nans]
+
+  try:
+    arr[nans] = np.interp(nans_indices, non_nans_indices, non_nans_values)
+  except ValueError:
+    if len(non_nans_values) > 0:
+      mu = np.nanmean(arr)
+    else:
+      mu = 0.0
+    arr = np.where(np.isfinite(arr), arr, mu)
+  return arr
+
 
 # Per time series normalization: forward.
 def _normalize(batch):
@@ -313,6 +363,17 @@ def forecast(
     ValueError: If the checkpoint is not properly loaded.
     """
     stats = None
+
+    tmp_inputs = []
+    for each_input in inputs:
+      arr = np.array(each_input)
+      if not np.isfinite(arr).all():
+        arr = np.where(np.isfinite(arr), arr, np.nan)
+        arr = strip_leading_nans(arr)
+        arr = linear_interpolation(arr)
+      tmp_inputs.append(arr)
+
+    inputs = tmp_inputs
     if normalize:
       inputs, stats = _normalize(inputs)
     mean_forecast, quantile_forecast = self._forecast(