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Add one time feature and extract the dates in the forecasting horizon - #676

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stephanielees wants to merge 10 commits into
zhouhaoyi:mainfrom
stephanielees:fin_econ
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Add one time feature and extract the dates in the forecasting horizon#676
stephanielees wants to merge 10 commits into
zhouhaoyi:mainfrom
stephanielees:fin_econ

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@stephanielees

@stephanielees stephanielees commented Jan 8, 2026

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There are two big changes I made in my branch fin_econ.

Firstly, I added one time feature, which is CustomBusinessDay. This addition will allow users to apply the Informer to daily business time series that might not be regular, which is very common in financial data. For example, the data of the gold price (XAUUSD) is not available on Christmas days even if Christmas is on a weekday. So, the feature CustomBusinessDay is for daily business and observed days.

Secondly, I also added a new property self.pred_dates. This is for visualization purposes. When I first used the Informer, I realized that I couldn't extract the dates of the forecasted series out of the model. Thus, plotting the forecasts (which can be very useful in presentations) is a bit difficult. Adding this property is really helpful because the users then will not need to make their own time series index.

Finally, the other little detail I modified is about np.inf. The latest numpy doesn't use np.Inf anymore, and using it gave me errors. So, I have to change it.

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