Anofox forecast eda

Anofox Forecast — EDA & Data Quality Cheat Sheet

Extension: anofox_forecast v0.15.3 | DuckDB: v1.4.5 LTS / v1.5.4+ | Dual naming: ts_* and anofox_fcst_ts_*

Understand your data before modelling it: per-series statistics, data-quality scores, feature vectors for ML.

Statistics

ts_stats (table function) — 34 metrics per series

ts_stats(source VARCHAR, group_col COLUMN, date_col COLUMN, value_col COLUMN,
         frequency VARCHAR) → TABLE

Returns 34 columns: length, n_nulls, n_nan, n_zeros, n_positive, n_negative, n_unique_values, is_constant, n_zeros_start, n_zeros_end, plateau_size, plateau_size_nonzero, mean, median, std_dev, variance, min, max, range, sum, skewness, kurtosis, tail_index, bimodality_coef, trimmed_mean, coef_variation, q1, q3, iqr, autocorr_lag1, trend_strength, seasonality_strength, entropy, stability, plus date-derived expected_length and n_gaps.

-- Every stat for every series
SELECT * FROM ts_stats('sales', product_id, ds, y, '1d');

-- Quick sanity check
SELECT product_id, length, n_nulls, n_gaps, trend_strength, seasonality_strength
FROM ts_stats('sales', product_id, ds, y, '1d')
WHERE length < 30 OR n_gaps > 0
ORDER BY n_gaps DESC;

ts_stats_agg (aggregate)

For custom GROUP BY shapes. Takes (date, value) — DO NOT wrap in LIST(...).

ts_stats_agg(date_col TIMESTAMP, value_col DOUBLE)
    → STRUCT(length UBIGINT, n_nulls UBIGINT, …, mean DOUBLE, …)

SELECT product_id,
       ts_stats_agg(ds, y).mean AS mean,
       ts_stats_agg(ds, y).seasonality_strength AS seas_str
FROM sales GROUP BY product_id;

ts_stats_by — alias for ts_stats

ts_stats_summary — aggregate stats across all groups

Summarise the per-group stats into panel-level statistics (mean, std, min, max of each metric).

SELECT * FROM ts_stats_summary('sales', product_id, ds, y, '1d');

Data quality

ts_data_quality (table function) — per-series score card

ts_data_quality(source VARCHAR, unique_id_col COLUMN, date_col COLUMN, value_col COLUMN,
                n_short INTEGER, frequency VARCHAR) → TABLE

Returns unique_id (group column renamed — the extension normalises it to unique_id in this output, even if the input col was product_id), plus overall_score, structural_score, temporal_score, magnitude_score, behavioral_score, n_gaps, n_missing, is_constant.

n_short is the series-length threshold below which a series is flagged short (typical: 14 for daily, 12 for monthly).

SELECT * FROM ts_data_quality('sales', product_id, ds, y, 14, '1d');

-- Rank series by quality (note: output col is `unique_id`, not `product_id`)
SELECT unique_id, overall_score, structural_score, temporal_score
FROM ts_data_quality('sales', product_id, ds, y, 14, '1d')
ORDER BY overall_score;

ts_data_quality_agg (aggregate)

Same as ts_stats_agg — takes (date, value), returns a STRUCT.

SELECT product_id,
       ts_data_quality_agg(ds, y).overall_score AS q
FROM sales GROUP BY product_id;

ts_data_quality_summary — panel-level roll-up

SELECT * FROM ts_data_quality_summary('sales', product_id, ds, y, 14);

ts_quality_report — human-readable report

Feature extraction (117 tsfresh-compatible features)

ts_features_by — extract all 117 features

ts_features_by(source VARCHAR, group_col COLUMN, date_col COLUMN, value_col COLUMN) → TABLE

Returns the group column + 116 feature columns: mean, standard_deviation, skewness, kurtosis, length, linear_trend_slope, autocorrelation_lag1, …

-- Extract all features
SELECT * FROM ts_features_by('sales', product_id, ds, y);

-- Filter by feature values
SELECT product_id, mean, linear_trend_slope
FROM ts_features_by('sales', product_id, ds, y)
WHERE length > 30 AND autocorrelation_lag1 > 0.5;

ts_features (scalar)

Scalar over (date, value). Same 116 outputs as struct fields.

ts_features_list / ts_features_table

Discover the feature catalogue:

SELECT column_name, feature_name, parameter_suffix
FROM ts_features_list()
WHERE feature_name LIKE '%autocorr%';

Custom feature subsets

Configure via JSON or CSV:

-- Load a JSON config
SELECT * FROM ts_features_by('sales', id, ds, y,
    ts_features_config_from_json('{"features": ["mean", "std", "autocorrelation_lag1"]}'));

-- Or CSV
SELECT * FROM ts_features_by('sales', id, ds, y,
    ts_features_config_from_csv('mean,std,skewness'));

ts_features_agg — aggregate variant

For custom GROUP BY:

SELECT id, ts_features_agg(ds, y).mean, ts_features_agg(ds, y).autocorrelation_lag1
FROM sales GROUP BY id;

Gotchas

• ts_stats and ts_data_quality are TABLE functions — call from FROM, not SELECT. Older docs incorrectly showed them as scalars over LIST(...).
• _agg variants take (date, value) directly — no LIST() wrapping. Wrapping in LIST(...) errors as "No function matches …".
• Seasonality strength thresholds: trend_strength and seasonality_strength in ts_stats are ∈ [0, 1] — treat > 0.6 as strong, < 0.2 as weak. Use to gate model selection downstream.
• JSON extension is required by a subset of quality / feature functions. Enable auto-load once per session: SET autoinstall_known_extensions=1; SET autoload_known_extensions=1;.

Canonical EDA pipeline

-- 1. Quality gate
CREATE OR REPLACE TABLE quality AS
SELECT * FROM ts_data_quality('raw', product_id, ds, y, 14, '1d');

-- 2. Series-level stats
CREATE OR REPLACE TABLE stats AS
SELECT * FROM ts_stats('raw', product_id, ds, y, '1d');

-- 3. Filter — keep only high-quality, forecastable series
CREATE OR REPLACE TABLE forecastable AS
SELECT r.*
FROM raw r
JOIN quality q ON r.product_id = q.product_id
JOIN stats  s ON r.product_id = s.product_id
WHERE q.overall_score >= 0.6
  AND s.length >= 30
  AND NOT s.is_constant;

-- 4. Extract features for ML (optional)
CREATE OR REPLACE TABLE features AS
SELECT * FROM ts_features_by('forecastable', product_id, ds, y);

See also: anofox-forecast-data-prep (impute + drop bad series based on these stats), anofox-forecast-detection (trend_strength / seasonality_strength inform detection thresholds), anofox-forecast-models (use quality score / features to gate model selection).

Reference docs:

• docs/api/03-statistics.md
• docs/api/20-feature-extraction.md
• docs/api/21-feature-reference.md