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Improvement on Box-Ljung text in Residual Analysis

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Petrônio Cândido de Lima e Silva 2019-06-11 13:07:27 -03:00 committed by GitHub
parent 16edb0deee
commit 461b3bd850
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1 changed files with 6 additions and 5 deletions
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11
pyFTS/benchmarks/ResidualAnalysis.py
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@ -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)