[BUG] ValueError in metric calculation at series intersect slicing with custom frequency about darts

[dennisbader]

Hi @nejox, thanks for this issue and very detailed report. I'll ivestigate it next week and come up with a fix.

[dennisbader]

Hi @nejox, which pandas version are you using?
With pandas==2.2.2 for me your code snippet raises the following error:

Traceback (most recent call last):
  File "/Users/dennisbader/projects/unit8/darts_test_code/bug_fixes/bug_2352.py", line 12, in <module>
    rmse(test, preds)
  File "/Users/dennisbader/projects/unit8/darts/darts/metrics/metrics.py", line 142, in wrapper_multi_ts_support
    vals = _parallel_apply(
  File "/Users/dennisbader/projects/unit8/darts/darts/utils/utils.py", line 175, in _parallel_apply
    returned_data = Parallel(n_jobs=n_jobs)(
  File "/Users/dennisbader/miniconda3/envs/darts310_test/lib/python3.10/site-packages/joblib/parallel.py", line 1863, in __call__
    return output if self.return_generator else list(output)
  File "/Users/dennisbader/miniconda3/envs/darts310_test/lib/python3.10/site-packages/joblib/parallel.py", line 1792, in _get_sequential_output
    res = func(*args, **kwargs)
  File "/Users/dennisbader/projects/unit8/darts/darts/metrics/metrics.py", line 212, in wrapper_multivariate_support
    vals = func(*input_series, *args[num_series_in_args:], **kwargs)
  File "/Users/dennisbader/projects/unit8/darts/darts/metrics/metrics.py", line 1453, in rmse
    _get_wrapped_metric(mse)(
  File "/Users/dennisbader/projects/unit8/darts/darts/metrics/metrics.py", line 1160, in mse
    _get_wrapped_metric(se)(
  File "/Users/dennisbader/projects/unit8/darts/darts/metrics/metrics.py", line 1087, in se
    y_true, y_pred = _get_values_or_raise(
  File "/Users/dennisbader/projects/unit8/darts/darts/metrics/metrics.py", line 317, in _get_values_or_raise
    vals_a_common = series_a.slice_intersect_values(series_b, copy=make_copy)
  File "/Users/dennisbader/projects/unit8/darts/darts/timeseries.py", line 2517, in slice_intersect_values
    start, end = self._slice_intersect_bounds(other)
  File "/Users/dennisbader/projects/unit8/darts/darts/timeseries.py", line 2523, in _slice_intersect_bounds
    shift_start = n_steps_between(
  File "/Users/dennisbader/projects/unit8/darts/darts/utils/utils.py", line 367, in n_steps_between
    raise_log(
  File "/Users/dennisbader/projects/unit8/darts/darts/logging.py", line 132, in raise_log
    raise exception
ValueError: Cannot infer period alias for `freq=<CustomBusinessDay>`. Is it a valid pandas offset/frequency alias?

[nejox]

Ah, I'm using pandas==1.5.3 - that's interesting..