- Improvementos of interval and distribution m-step ahead forecasts for arima and quantreg

benchmarks/arima.py

@@ -20,6 +20,7 @@ class ARIMA(fts.FTS):
         self.is_high_order = True
         self.has_point_forecasting = True
         self.has_interval_forecasting = True
+        self.has_probability_forecasting = True
         self.model = None
         self.model_fit = None
         self.trained_data = None
@@ -44,7 +45,6 @@ class ARIMA(fts.FTS):
         try:
             self.model =  stats_arima(data, order=(self.p, self.d, self.q))
             self.model_fit = self.model.fit(disp=0)
-            print(np.sqrt(self.model_fit.sigma2))
         except Exception as ex:
             print(ex)
             self.model_fit = None
@@ -145,6 +145,9 @@ class ARIMA(fts.FTS):
 
         return ret
 
+    def empty_grid(self, resolution):
+        return self.get_empty_grid(-(self.original_max*2), self.original_max*2, resolution)
+
     def forecastAheadDistribution(self, data, steps, **kwargs):
         smoothing = kwargs.get("smoothing", 0.5)
 
@@ -158,7 +161,7 @@ class ARIMA(fts.FTS):
 
         resolution = kwargs.get('resolution', percentile_size)
 
-        grid = self.get_empty_grid(self.original_min, self.original_max, resolution)
+        grid = self.empty_grid(resolution)
 
         index = SortedCollection.SortedCollection(iterable=grid.keys())
 
@@ -167,7 +170,7 @@ class ARIMA(fts.FTS):
         nmeans = self.forecastAhead(ndata, steps, **kwargs)
 
         for k in np.arange(0, steps):
-            grid = self.get_empty_grid(self.original_min, self.original_max, resolution)
+            grid = self.empty_grid(resolution)
             for alpha in np.arange(0.05, 0.5, 0.05):
                 tmp = []
 
@@ -182,6 +185,6 @@ class ARIMA(fts.FTS):
 
             ret.append(tmp / sum(tmp))
 
-        grid = self.get_empty_grid(self.original_min, self.original_max, resolution)
+        grid = self.empty_grid(resolution)
         df = pd.DataFrame(ret, columns=sorted(grid))
         return df

benchmarks/benchmarks.py

@@ -16,13 +16,19 @@ import numpy as np
 import pandas as pd
 from mpl_toolkits.mplot3d import Axes3D
 
-from probabilistic import ProbabilityDistribution
+from pyFTS.probabilistic import ProbabilityDistribution
 from pyFTS import song, chen, yu, ismailefendi, sadaei, hofts, pwfts, ifts, cheng, ensemble, hwang
 from pyFTS.benchmarks import Measures, naive, arima, ResidualAnalysis, quantreg
 from pyFTS.benchmarks import Util as bUtil
 from pyFTS.common import Transformations, Util
 # from sklearn.cross_validation import KFold
 from pyFTS.partitioners import Grid
+from matplotlib import rc
+
+rc('font',**{'family':'sans-serif','sans-serif':['Helvetica']})
+## for Palatino and other serif fonts use:
+#rc('font',**{'family':'serif','serif':['Palatino']})
+rc('text', usetex=True)
 
 colors = ['grey', 'rosybrown', 'maroon', 'red','orange', 'yellow', 'olive', 'green',
           'cyan', 'blue', 'darkblue', 'purple', 'darkviolet']
@@ -472,6 +478,21 @@ def plot_distribution(dist):
 
 def plot_compared_series(original, models, colors, typeonlegend=False, save=False, file=None, tam=[20, 5],
                          points=True, intervals=True, linewidth=1.5):
+    """
+    Plot the forecasts of several one step ahead models, by point or by interval 
+    :param original: Original time series data (list)
+    :param models: List of models to compare
+    :param colors: List of models colors
+    :param typeonlegend: Add the type of forecast (point / interval) on legend
+    :param save: Save the picture on file
+    :param file: Filename to save the picture
+    :param tam: Size of the picture
+    :param points: True to plot the point forecasts, False otherwise
+    :param intervals: True to plot the interval forecasts, False otherwise 
+    :param linewidth: 
+    :return: 
+    """
+
     fig = plt.figure(figsize=tam)
     ax = fig.add_subplot(111)
 
@@ -504,8 +525,12 @@ def plot_compared_series(original, models, colors, typeonlegend=False, save=Fals
                 upper.insert(0, None)
             lbl = fts.shortname
             if typeonlegend: lbl += " (Interval)"
-            ax.plot(lower, color=colors[count], label=lbl, ls="--",linewidth=linewidth)
+            if not points and intervals:
-            ax.plot(upper, color=colors[count], ls="--",linewidth=linewidth)
+                ls = "-"
+            else:
+                ls = "--"
+            ax.plot(lower, color=colors[count], label=lbl, ls=ls,linewidth=linewidth)
+            ax.plot(upper, color=colors[count], ls=ls,linewidth=linewidth)
 
         handles0, labels0 = ax.get_legend_handles_labels()
         lgd = ax.legend(handles0, labels0, loc=2, bbox_to_anchor=(1, 1))
@@ -685,7 +710,24 @@ def print_distribution_statistics(original, models, steps, resolution):
 
 def plot_compared_intervals_ahead(original, models, colors, distributions, time_from, time_to,
                                interpol=False, save=False, file=None, tam=[20, 5], resolution=None,
-                               cmap='Blues',option=2):
+                               cmap='Blues',option=2, linewidth=1.5):
+    """
+    Plot the forecasts of several one step ahead models, by point or by interval 
+    :param original: Original time series data (list)
+    :param models: List of models to compare
+    :param colors: List of models colors
+    :param distributions: True to plot a distribution
+    :param time_from: index of data poit to start the ahead forecasting
+    :param time_to: number of steps ahead to forecast
+    :param interpol: Fill space between distribution plots
+    :param save: Save the picture on file
+    :param file: Filename to save the picture
+    :param tam: Size of the picture
+    :param resolution: 
+    :param cmap: Color map to be used on distribution plot 
+    :param option: Distribution type to be passed for models
+    :return: 
+    """
     fig = plt.figure(figsize=tam)
     ax = fig.add_subplot(111)
 
@@ -739,7 +781,6 @@ def plot_compared_intervals_ahead(original, models, colors, distributions, time_
 
             cb.set_label('Density')
 
-
         if fts.has_interval_forecasting:
             forecasts = fts.forecastAheadInterval(original[time_from - fts.order:time_from], time_to)
             lower = [kk[0] for kk in forecasts]
@@ -749,8 +790,8 @@ def plot_compared_intervals_ahead(original, models, colors, distributions, time_
             for k in np.arange(0, time_from - fts.order):
                 lower.insert(0, None)
                 upper.insert(0, None)
-            ax.plot(lower, color=colors[count], label=fts.shortname)
+            ax.plot(lower, color=colors[count], label=fts.shortname, linewidth=linewidth)
-            ax.plot(upper, color=colors[count])
+            ax.plot(upper, color=colors[count], linewidth=linewidth*1.5)
 
         else:
             forecasts = fts.forecast(original)
@@ -760,10 +801,12 @@ def plot_compared_intervals_ahead(original, models, colors, distributions, time_
                 forecasts.insert(0, None)
             ax.plot(forecasts, color=colors[count], label=fts.shortname)
 
-    ax.plot(original, color='black', label="Original")
+    ax.plot(original, color='black', label="Original", linewidth=linewidth*1.5)
     handles0, labels0 = ax.get_legend_handles_labels()
-    ax.legend(handles0, labels0, loc=2)
+    if True in distributions:
-    # ax.set_title(fts.name)
+        lgd = ax.legend(handles0, labels0, loc=2)
+    else:
+        lgd = ax.legend(handles0, labels0, loc=2, bbox_to_anchor=(1, 1))
     _mi = min(mi)
     if _mi < 0:
         _mi *= 1.1
@@ -780,9 +823,7 @@ def plot_compared_intervals_ahead(original, models, colors, distributions, time_
     ax.set_xlabel('T')
     ax.set_xlim([0, len(original)])
 
-    #plt.colorbar()
+    Util.showAndSaveImage(fig, file, save, lgd=lgd)
-
-    Util.showAndSaveImage(fig, file, save)
 
 
 def plotCompared(original, forecasts, labels, title):

benchmarks/quantreg.py

@@ -19,6 +19,7 @@ class QuantileRegression(fts.FTS):
         self.has_point_forecasting = True
         self.has_interval_forecasting = True
         self.has_probability_forecasting = True
+        self.has_probability_forecasting = True
         self.benchmark_only = True
         self.minOrder = 1
         self.alpha = kwargs.get("alpha", 0.05)
@@ -108,14 +109,21 @@ class QuantileRegression(fts.FTS):
     def forecastAheadInterval(self, data, steps, **kwargs):
         ndata = np.array(self.doTransformations(data))
 
+        smoothing = kwargs.get("smoothing", 0.9)
+
         l = len(ndata)
 
-        ret = [[k, k] for k in ndata[-self.order:]]
+        ret = []
 
-        for k in np.arange(self.order, steps + self.order):
+        nmeans = self.forecastAhead(ndata, steps, **kwargs)
-            intl = self.interval_to_interval([ret[x] for x in np.arange(k - self.order, k)], self.lower_qt, self.upper_qt)
 
-            ret.append(intl)
+        for k in np.arange(0, self.order):
+            nmeans.insert(k,ndata[-(k+1)])
+
+        for k in np.arange(self.order, steps+self.order):
+            intl = self.point_to_interval(nmeans[k - self.order: k], self.lower_qt, self.upper_qt)
+
+            ret.append([intl[0]*(1 + k*smoothing), intl[1]*(1 + k*smoothing)])
 
         ret = self.doInverseTransformations(ret, params=[[data[-1] for a in np.arange(0, steps + self.order)]], interval=True)
 

common/SortedCollection.py

@@ -4,6 +4,7 @@ from bisect import bisect_left, bisect_right
 # Original Source Code: https://code.activestate.com/recipes/577197-sortedcollection/
 # Author: RAYMOND HETTINGER
 
+
 class SortedCollection(object):
     '''Sequence sorted by a key function.
 
@@ -204,8 +205,8 @@ class SortedCollection(object):
         raise ValueError('No item found between keys : %r,%r' % (ge,le))
 
     def inside(self, ge, le):
-        g = bisect_right(self._keys, ge)
+        l = bisect_right(self._keys, le)
-        l = bisect_left(self._keys, le)
+        g = bisect_left(self._keys, ge)
         if g != len(self) and l != len(self) and g != l:
             return self._items[g : l]
         elif g != len(self) and l != len(self) and g == l:

ensemble.py

@@ -6,7 +6,9 @@ import pandas as pd
 import math
 from operator import itemgetter
 from pyFTS.common import FLR, FuzzySet, SortedCollection
-from pyFTS import fts
+from pyFTS import fts, chen, cheng, hofts, hwang, ismailefendi, sadaei, song, yu
+from pyFTS.benchmarks import arima, quantreg
+from pyFTS.common import Transformations
 
 
 class EnsembleFTS(fts.FTS):
@@ -24,10 +26,14 @@ class EnsembleFTS(fts.FTS):
 
     def build(self, data, models, partitioners, partitions, max_order=3, transformation=None, indexer=None):
 
-        self.models = []
+        methods = [song.ConventionalFTS, chen.ConventionalFTS, yu.WeightedFTS, cheng.TrendWeightedFTS,
+                   ismailefendi.ImprovedWeightedFTS, sadaei.ExponentialyWeightedFTS, hwang.HighOrderFTS,
+                   hofts.HighOrderFTS, arima.ARIMA, quantreg.QuantileRegression]
 
-        for count, model in enumerate(models, start=0):
+        transformations = [None, Transformations.Differential(1)]
-            mfts = model("")
+
+        for count, method in enumerate(methods, start=0):
+            mfts = method("")
             if mfts.benchmark_only:
                 if transformation is not None:
                     mfts.appendTransformation(transformation)
@@ -37,7 +43,7 @@ class EnsembleFTS(fts.FTS):
                 for partition in partitions:
                     for partitioner in partitioners:
                         data_train_fs = partitioner(data, partition, transformation=transformation)
-                        mfts = model("")
+                        mfts = method("")
 
                         mfts.partitioner = data_train_fs
                         if not mfts.is_high_order:
@@ -50,7 +56,7 @@ class EnsembleFTS(fts.FTS):
                         else:
                             for order in np.arange(1, max_order + 1):
                                 if order >= mfts.min_order:
-                                    mfts = model("")
+                                    mfts = method("")
                                     mfts.partitioner = data_train_fs
 
                                     if transformation is not None:
@@ -60,6 +66,7 @@ class EnsembleFTS(fts.FTS):
                                     self.models.append(mfts)
 
     def train(self, data, sets, order=1,parameters=None):
+        #if self.models is None:
         pass
 
     def forecast(self, data, **kwargs):

tests/general.py

@@ -19,8 +19,8 @@ from numpy import random
 
 os.chdir("/home/petronio/dados/Dropbox/Doutorado/Codigos/")
 
-#enrollments = pd.read_csv("DataSets/Enrollments.csv", sep=";")
+enrollments = pd.read_csv("DataSets/Enrollments.csv", sep=";")
-#enrollments = np.array(enrollments["Enrollments"])
+enrollments = np.array(enrollments["Enrollments"])
 
 diff = Transformations.Differential(1)
 
@@ -28,14 +28,20 @@ diff = Transformations.Differential(1)
 DATASETS
 """
 
+passengers = pd.read_csv("DataSets/AirPassengers.csv", sep=",")
+passengers = np.array(passengers["Passengers"])
+
+#sunspots = pd.read_csv("DataSets/sunspots.csv", sep=",")
+#sunspots = np.array(sunspots["SUNACTIVITY"])
+
 #gauss = random.normal(0,1.0,5000)
 #gauss_teste = random.normal(0,1.0,400)
 
 #taiexpd = pd.read_csv("DataSets/TAIEX.csv", sep=",")
 #taiex = np.array(taiexpd["avg"][:5000])
 
-nasdaqpd = pd.read_csv("DataSets/NASDAQ_IXIC.csv", sep=",")
+#nasdaqpd = pd.read_csv("DataSets/NASDAQ_IXIC.csv", sep=",")
-nasdaq = np.array(nasdaqpd["avg"][0:5000])
+#nasdaq = np.array(nasdaqpd["avg"][0:5000])
 
 #sp500pd = pd.read_csv("DataSets/S&P500.csv", sep=",")
 #sp500 = np.array(sp500pd["Avg"][11000:])
@@ -43,7 +49,7 @@ nasdaq = np.array(nasdaqpd["avg"][0:5000])
 
 #sondapd = pd.read_csv("DataSets/SONDA_BSB_HOURLY_AVG.csv", sep=";")
 #sondapd = sondapd.dropna(axis=0, how='any')
-#sonda = np.array(sondapd["ws_10m"])
+#sonda = np.array(sondapd["glo_avg"])
 #del(sondapd)
 
 #bestpd = pd.read_csv("DataSets/BEST_TAVG.csv", sep=";")
@@ -53,8 +59,8 @@ nasdaq = np.array(nasdaqpd["avg"][0:5000])
 #print(lag)
 #print(a)
 
-#from pyFTS.benchmarks import benchmarks as bchmk
+from pyFTS.benchmarks import benchmarks as bchmk
-from pyFTS.benchmarks import distributed_benchmarks as bchmk
+#from pyFTS.benchmarks import distributed_benchmarks as bchmk
 #from pyFTS.benchmarks import parallel_benchmarks as bchmk
 from pyFTS.benchmarks import Util
 from pyFTS.benchmarks import arima, quantreg, Measures
@@ -65,17 +71,20 @@ from pyFTS.benchmarks import arima, quantreg, Measures
 #"""
 tmp = arima.ARIMA("", alpha=0.25)
 #tmp.appendTransformation(diff)
-tmp.train(nasdaq[:1600], None, order=(1,0,1))
+tmp.train(enrollments, None, order=(1,0,0))
-teste = tmp.forecastAheadDistribution(nasdaq[1600:1604], steps=5, resolution=100)
+teste = tmp.forecastInterval(enrollments)
 
 
-#tmp = quantreg.QuantileRegression("", dist=True)
+#tmp = quantreg.QuantileRegression("", alpha=0.25, dist=True)
 #tmp.appendTransformation(diff)
-#tmp.train(nasdaq[:1600], None, order=1)
+#tmp.train(sunspots[:150], None, order=1)
+#teste = tmp.forecastAheadInterval(sunspots[150:155], 5)
 #teste = tmp.forecastAheadDistribution(nasdaq[1600:1604], steps=5, resolution=50)
 
-print(nasdaq[1600:1605])
+bchmk.plot_compared_series(enrollments,[tmp], ['blue','red'], points=False, intervals=True)
-print(teste)
+
+#print(sunspots[150:155])
+#print(teste)
 
 #kk = Measures.get_interval_statistics(nasdaq[1600:1605], tmp)
 
@@ -109,10 +118,10 @@ bchmk.interval_sliding_window(best, 5000, train=0.8, inc=0.8,#models=[yu.Weighte
                                                 "_interval_analytic.csv",
                      nodes=['192.168.0.103', '192.168.0.106', '192.168.0.108', '192.168.0.109']) #, depends=[hofts, ifts])
 
-bchmk.interval_sliding_window(best, 5000, train=0.8, inc=0.8, #models=[yu.WeightedFTS], # #
+bchmk.interval_sliding_window(sp500, 2000, train=0.8, inc=0.2, #models=[yu.WeightedFTS], # #
                      partitioners=[Grid.GridPartitioner], #Entropy.EntropyPartitioner], # FCM.FCMPartitioner, ],
                      partitions= np.arange(3,20,step=2), transformation=diff,
-                     dump=True, save=True, file="experiments/best_interval_analytic_diff.csv",
+                     dump=True, save=True, file="experiments/sp500_analytic_diff.csv",
                      nodes=['192.168.0.103', '192.168.0.106', '192.168.0.108', '192.168.0.109']) #, depends=[hofts, ifts])
 
 #"""