Small bugfix in pwfts.forecast_ahead_distribution
This commit is contained in:
parent
1168365a17
commit
61707f94a6
@ -541,7 +541,10 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
|
||||
|
||||
start = kwargs.get('start_at', 0)
|
||||
|
||||
fuzzyfied = kwargs.pop('fuzzyfied')
|
||||
if 'fuzzyfied' in kwargs:
|
||||
fuzzyfied = kwargs.pop('fuzzyfied')
|
||||
else:
|
||||
fuzzyfied = False
|
||||
|
||||
sample = data[start: start + self.max_lag]
|
||||
|
||||
|
@ -18,39 +18,31 @@ from pyFTS.models.ensemble import ensemble
|
||||
from pyFTS.models import hofts
|
||||
from pyFTS.data import TAIEX
|
||||
|
||||
data = TAIEX.get_data()
|
||||
from pyFTS.data import TAIEX, NASDAQ, SP500
|
||||
from pyFTS.common import Util
|
||||
|
||||
train = TAIEX.get_data()[1000:1800]
|
||||
test = TAIEX.get_data()[1800:2000]
|
||||
|
||||
from pyFTS.models import hofts
|
||||
|
||||
model1 = ensemble.SimpleEnsembleFTS()
|
||||
model = ensemble.SimpleEnsembleFTS(
|
||||
fts_method=hofts.WeightedHighOrderFTS,
|
||||
orders=[1, 2, 3],
|
||||
partitions=np.arange(10,50,5)
|
||||
)
|
||||
|
||||
from pyFTS.benchmarks import arima, quantreg, BSTS
|
||||
|
||||
methods = [ensemble.SimpleEnsembleFTS, arima.ARIMA, quantreg.QuantileRegression, BSTS.ARIMA]
|
||||
parameters = [{},{'order': (2,0,0)}, {'order': 1, 'dist': True}, {'order': (2,0,0)}]
|
||||
|
||||
|
||||
from pyFTS.benchmarks import Measures
|
||||
|
||||
horizon = 5
|
||||
|
||||
for ct, train, test, in Util.sliding_window(data,1000,0.8,.5):
|
||||
print('data window {}'.format(ct))
|
||||
for ct, method in enumerate(methods):
|
||||
model = method(**parameters[ct])
|
||||
model.fit(train)
|
||||
start = model.order + 1
|
||||
end = start + horizon
|
||||
intervals = model.predict(test[:10], type='interval', alpha=.25, steps_ahead=horizon)
|
||||
distributions = model.predict(test[:10], type='distribution', smooth='histogram', steps_ahead=horizon, num_bins=100)
|
||||
print(model.name, Measures.get_interval_ahead_statistics(test[start:end], intervals))
|
||||
print(model.name, Measures.get_distribution_ahead_statistics(test[start:end], distributions))
|
||||
|
||||
print('end')
|
||||
model.fit(train)
|
||||
|
||||
horizon=10
|
||||
|
||||
intervals05 = model.predict(test[:horizon], type='interval', alpha=.05)
|
||||
print(intervals05)
|
||||
|
||||
intervals25 = model.predict(test[:horizon], type='interval', alpha=.25)
|
||||
print(intervals25)
|
||||
|
||||
distributions = model.predict(test[:horizon], type='distribution', smooth='histogram', num_bins=100)
|
||||
|
||||
|
||||
|
||||
|
Loading…
Reference in New Issue
Block a user