TST add test to check max_delay nan can split two time series

examples/plot_narx_msa.py

@@ -158,8 +158,8 @@ def plot_prediction(ax, t, y_true, y_pred, title):
 # and test data are from different measurement sessions. The plot shows that the
 # prediction performance of the NARX on test data has been largely improved.
 
-u_all = np.r_[u_train, [[np.nan]]*max_delay, u_test]
-y_all = np.r_[y_train, [np.nan]*max_delay, y_test]
+u_all = np.r_[u_train, [[np.nan]] * max_delay, u_test]
+y_all = np.r_[y_train, [np.nan] * max_delay, y_test]
 narx_model = make_narx(
     X=u_all,
     y=y_all,

tests/test_narx.py

@@ -10,7 +10,9 @@
     NARX,
     fd2tp,
     make_narx,
+    make_poly_features,
     make_poly_ids,
+    make_time_shift_features,
     make_time_shift_ids,
     print_narx,
     tp2fd,
@@ -534,3 +536,43 @@ def test_make_narx_refine_print(capsys):
     )
     captured = capsys.readouterr()
     assert "No. of iterations: " in captured.out
+
+
+@pytest.mark.parametrize("max_delay", [1, 3, 7, 10])
+def test_nan_split(max_delay):
+    n_sessions = 10
+    n_samples_per_session = 100
+    X = np.random.rand(n_samples_per_session, 2)
+    y = np.random.rand(n_samples_per_session, 2)
+    for _ in range(n_sessions - 1):
+        X = np.r_[
+            X,
+            [[np.nan, np.nan]] * max_delay,
+            np.random.rand(n_samples_per_session, 2),
+        ]
+        y = np.r_[
+            y,
+            [[np.nan, np.nan]] * max_delay,
+            np.random.rand(n_samples_per_session, 2),
+        ]
+    narx = make_narx(
+        X,
+        y,
+        n_terms_to_select=10,
+        max_delay=max_delay,
+        poly_degree=3,
+        verbose=0,
+    ).fit(
+        X,
+        y,
+    )
+
+    xy_hstack = np.c_[X, y]
+    time_shift_ids, poly_ids = fd2tp(narx.feat_ids_, narx.delay_ids_)
+    time_shift_vars = make_time_shift_features(xy_hstack, time_shift_ids)
+    poly_terms = make_poly_features(time_shift_vars, poly_ids)
+    poly_terms_masked, y_masked = mask_missing_values(poly_terms, y)
+    assert poly_terms_masked.shape[0] == y_masked.shape[0]
+    assert poly_terms_masked.shape[0] == n_sessions * (
+        n_samples_per_session - narx.max_delay_
+    )