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I am trying to forecast some variables of a dataset (time series) with Dynamical Bayesian Networks (DBN) using pgmpy. I could be mistaken, but what is being called "forecasting" in the bibliography (like the paper "A Tool for Learning Dynamic Bayesian Networks for Forecasting", which uses a network very similar to mine) is actually using the DBN as a classifier, since it makes use of all of the variables of the timestamp $t+1$, except the one it wants to predict. Pgmpy documentation also uses this same logic of removing only the desired variable from the dataset to predict it:

    def predict(self, data, n_jobs=-1):
        """
        Predicts states of all the missing variables.

        Parameters
        ----------
        data : pandas DataFrame object
            A DataFrame object with column names same as the variables in the model.

        Examples
        --------
        >>> import numpy as np
        >>> import pandas as pd
        >>> from pgmpy.models import BayesianModel
        >>> values = pd.DataFrame(np.random.randint(low=0, high=2, size=(1000, 5)),
        ...                       columns=['A', 'B', 'C', 'D', 'E'])
        >>> train_data = values[:800]
        >>> predict_data = values[800:]
        >>> model = BayesianModel([('A', 'B'), ('C', 'B'), ('C', 'D'), ('B', 'E')])
        >>> model.fit(train_data)
        >>> predict_data = predict_data.copy()
        >>> predict_data.drop('E', axis=1, inplace=True)
        >>> y_pred = model.predict(predict_data)
        >>> y_pred
            E
        800 0
        801 1
        802 1
        803 1
        804 0
        ... ...
        993 0
        994 0
        995 1
        996 1
        997 0
        998 0
        999 0
        """
        from pgmpy.inference import VariableElimination

        if set(data.columns) == set(self.nodes()):
            raise ValueError("No variable missing in data. Nothing to predict")

        elif set(data.columns) - set(self.nodes()):
            raise ValueError("Data has variables which are not in the model")

        data_unique = data.drop_duplicates()
        missing_variables = set(self.nodes()) - set(data_unique.columns)
        #         pred_values = defaultdict(list)
        pred_values = []

        # Send state_names dict from one of the estimated CPDs to the inference class.
        model_inference = VariableElimination(self)
        pred_values = Parallel(n_jobs=n_jobs)(
            delayed(model_inference.map_query)(
                variables=missing_variables,
                evidence=data_point.to_dict(),
                show_progress=False,
            )
            for index, data_point in tqdm(
                data_unique.iterrows(), total=data_unique.shape[0]
            )
        )

        df_results = pd.DataFrame(pred_values, index=data_unique.index)
        data_with_results = pd.concat([data_unique, df_results], axis=1)
        return data.merge(data_with_results, how="left").loc[:, missing_variables]

I tried to follow pgmpy logic, and it returns me a very good predictor. However, when I try to predict all of the variables in my timestamp $t+1$, it performs really poor. So, my question is: is there an algorithm or approach to forecasting with DBNs? Any paper or reference would be much appreciated.

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  • $\begingroup$ have you solved this problem? And I am also facing the problem of using DBN in pgmpy, maybe we can discuss by emails? my account is z_yichuan@163.com $\endgroup$ – 张一川 Feb 22 at 3:08

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