From 461b3bd850367f6c6de1dd638640071699b5c402 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Petr=C3=B4nio=20C=C3=A2ndido=20de=20Lima=20e=20Silva?=
<petronio.candido@gmail.com>
Date: Tue, 11 Jun 2019 13:07:27 -0300
Subject: [PATCH] Improvement on Box-Ljung text in Residual Analysis
---
pyFTS/benchmarks/ResidualAnalysis.py | 11 ++++++-----
1 file changed, 6 insertions(+), 5 deletions(-)
diff --git a/pyFTS/benchmarks/ResidualAnalysis.py b/pyFTS/benchmarks/ResidualAnalysis.py
index fbfa16a..ec42334 100644
--- a/pyFTS/benchmarks/ResidualAnalysis.py
+++ b/pyFTS/benchmarks/ResidualAnalysis.py
@@ -29,7 +29,7 @@ def chi_squared(q, h):
return p
-def compare_residuals(data, models):
+def compare_residuals(data, models, alpha=.05):
"""
Compare residual's statistics of several models
@@ -39,15 +39,16 @@ def compare_residuals(data, models):
"""
from statsmodels.stats.diagnostic import acorr_ljungbox
rows = []
- columns = ["Model","Order","AVG","STD","Box-Ljung","p-value"]
+ columns = ["Model","Order","AVG","STD","Box-Ljung","p-value","Result"]
for mfts in models:
- forecasts = mfts.forecast(data)
- res = residuals(data, forecasts, mfts.order)
+ forecasts = mfts.predict(data)
+ res = residuals(data, forecasts, mfts.order+1)
mu = np.mean(res)
sig = np.std(res)
row = [mfts.shortname, mfts.order, mu, sig]
stat, pval = acorr_ljungbox(res)
- row.extend([stat, pval])
+ test = 'H0 Accepted' if pval > alpha else 'H0 Rejected'
+ row.extend([stat, pval, test])
rows.append(row)
return pd.DataFrame(rows, columns=columns)