Time series feature engineering: lags and windows aggregations

Time series feature engineering: lags and windows aggregations | BigML.com

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Created	Thu, 8 Oct 2026 15:01:19 +0000
Published	Thu, 8 Oct 2026 17:26:19 +0000

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Created using BigMLer

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BigMLer BigMLer_ThuOct0826_170119

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https://bigml.com/user/whizzml/gallery/script/6ac7b03f944055c6d74afbb8

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;; Adds lags to a normalized timeseries file by creating a new field that
;; reflects the value of the field in the previous [x, y, z, ...] records
;; Inputs:
;;   field-lags: map corresponding to the fields to be used and the
;;               lags to be applied. E.g.
;;               {"steps" [1 3 7 14]}
;;               will create columns that contain the steps in the previous
;;               record, the third before, the 7th before and the
;;               14th before
(define (lags-new-fields field-lags)
  (flatten
    (for (field (keys field-lags))
      (for (lag (field-lags field))
        (let (name (str field "-" lag)
              expr (flatline "(f {{field}} -{lag})"))
          {"names" [name]
           "field" expr})))))

;; Adds windows to a normalized timeseries file by creating a new field that
;; reflects the aggregated value of the field in the previous records range
;; Inputs:
;;   field-windows: map corresponding to the fields to be used and the
;;                  windows to be applied. E.g.
;;                  {"steps" {"mean" [[-3 -1] [-7 -1] [-14 -1]]}}
;;                  will compute the mean value of the steps in the rows
;;                  -1 to -3 (both included), -1 to -7 and -1 to -14
(define (windows-new-fields field-windows)
  (flatten
    (for (field (keys field-windows))
      (for (aggr-fn (keys (field-windows field)))
        (for (wrange ((field-windows field) aggr-fn))
        (let (name (str field "_" aggr-fn wrange)
              [start end] wrange
              expr (flatline "(window-{aggr-fn} {{field}} {start} {end})"))
          {"names" [name]
           "field" expr}))))))

(define (ts-feature-engineering ds-id field-lags field-windows)
  (let (new_fields (lags-new-fields field-lags)
        new_fields (concat new_fields (windows-new-fields field-windows)))
    (create-dataset {"origin_dataset" ds-id
                     "new_fields" new_fields})))

(define expanded-ts-ds (ts-feature-engineering ds-id field-lags field-windows))

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Time series feature engineering: lags and windows aggregations | BigML.com

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