Module counterfactual

Counterfactual trajectory analysis.

Given a detected change point, extrapolates the pre-change trajectory beyond the change point and compares with the actual post-change trajectory. Answers: “What would have happened if the change hadn’t occurred?”

References

• Brodersen, K. H. et al. (2015). Causal impact. Annals of Applied Statistics.
• Abadie, A. (2021). Synthetic controls. JEL, 59(2).

Structs

CounterfactualResult

Counterfactual analysis result.

Enums

CounterfactualMethod

Method used for counterfactual extrapolation.

Functions

counterfactual_trajectory

Compute a counterfactual trajectory analysis.

fit_linear_per_dim 🔒

Fit a linear model y_d = slope_d * t + intercept_d for each dimension.

trapezoidal_integral 🔒

Trapezoidal rule integration of a (timestamp, value) curve.