Bugfix at fts.forecastAhead; forecastDistribution with ProbabilityDistribution on benchmarks.arima

pyFTS/benchmarks/Measures.py

@@ -8,6 +8,7 @@ import time
 import numpy as np
 import pandas as pd
 from pyFTS.common import FuzzySet,SortedCollection
+from pyFTS.probabilistic import ProbabilityDistribution
 
 
 def acf(data, k):
@@ -154,7 +155,7 @@ def resolution(forecasts):
 
 
 def coverage(targets, forecasts):
-    """Percent of"""
+    """Percent of target values that fall inside forecasted interval"""
     preds = []
     for i in np.arange(0, len(forecasts)):
         if targets[i] >= forecasts[i][0] and targets[i] <= forecasts[i][1]:
@@ -218,14 +219,25 @@ def heavyside_cdf(bins, targets):
 
 def crps(targets, densities):
     """Continuous Ranked Probability Score"""
-    l = len(densities.columns)
-    n = len(densities.index)
-    Ff = pmf_to_cdf(densities)
-    Fa = heavyside_cdf(densities.columns, targets)
-
     _crps = float(0.0)
-    for k in densities.index:
+    if isinstance(densities, pd.DataFrame):
-        _crps += sum([ (Ff[col][k]-Fa[col][k])**2 for col in densities.columns])
+        l = len(densities.columns)
+        n = len(densities.index)
+        Ff = pmf_to_cdf(densities)
+        Fa = heavyside_cdf(densities.columns, targets)
+        for k in densities.index:
+            _crps += sum([ (Ff[col][k]-Fa[col][k])**2 for col in densities.columns])
+    elif isinstance(densities, ProbabilityDistribution):
+        l = len(densities.bins)
+        n = 1
+        Fa = heavyside_cdf(densities.bin, targets)
+        _crps = sum([(densities.cdf(val) - Fa[val][0]) ** 2 for val in densities.bins])
+    elif isinstance(densities, list):
+        l = len(densities[0].bins)
+        n = len(densities)
+        Fa = heavyside_cdf(densities[0].bin, targets)
+        for df in densities:
+            _crps += sum([(df.cdf(val) - Fa[val][0]) ** 2 for val in df.bins])
 
     return _crps / float(l * n)
 

pyFTS/benchmarks/arima.py

@@ -7,6 +7,7 @@ from statsmodels.tsa.arima_model import ARIMA as stats_arima
 import scipy.stats as st
 from pyFTS import fts
 from pyFTS.common import SortedCollection
+from pyFTS.probabilistic import ProbabilityDistribution
 
 
 class ARIMA(fts.FTS):
@@ -148,29 +149,55 @@ class ARIMA(fts.FTS):
     def empty_grid(self, resolution):
         return self.get_empty_grid(-(self.original_max*2), self.original_max*2, resolution)
 
+    def forecastDistribution(self, data, **kwargs):
+
+        sigma = np.sqrt(self.model_fit.sigma2)
+
+        l = len(data)
+
+        ret = []
+
+        for k in np.arange(self.order, l + 1):
+            tmp = []
+
+            sample = [data[i] for i in np.arange(k - self.order, k)]
+
+            mean = self.forecast(sample)
+
+            if isinstance(mean, (list, np.ndarray)):
+                mean = mean[0]
+
+            dist = ProbabilityDistribution.ProbabilityDistribution(type="histogram", uod=[self.original_min, self.original_max])
+            intervals = []
+            for alpha in np.arange(0.05, 0.5, 0.05):
+
+                qt1 = mean + st.norm.ppf(alpha) * sigma
+                qt2 = mean + st.norm.ppf(1 - alpha) * sigma
+
+                intervals.append([qt1, qt2])
+
+            dist.appendInterval(intervals)
+
+            ret.append(dist)
+
+        return ret
+
+
     def forecastAheadDistribution(self, data, steps, **kwargs):
         smoothing = kwargs.get("smoothing", 0.5)
 
         sigma = np.sqrt(self.model_fit.sigma2)
 
-        ndata = np.array(self.doTransformations(data))
+        l = len(data)
-
-        l = len(ndata)
-
-        percentile_size = (self.original_max - self.original_min)/100
-
-        resolution = kwargs.get('resolution', percentile_size)
-
-        grid = self.empty_grid(resolution)
-
-        index = SortedCollection.SortedCollection(iterable=grid.keys())
 
         ret = []
 
-        nmeans = self.forecastAhead(ndata, steps, **kwargs)
+        nmeans = self.forecastAhead(data, steps, **kwargs)
 
         for k in np.arange(0, steps):
-            grid = self.empty_grid(resolution)
+            dist = ProbabilityDistribution.ProbabilityDistribution(type="histogram",
+                                                                   uod=[self.original_min, self.original_max])
+            intervals = []
             for alpha in np.arange(0.05, 0.5, 0.05):
                 tmp = []
 
@@ -179,12 +206,10 @@ class ARIMA(fts.FTS):
                 tmp.append(nmeans[k] + st.norm.ppf(alpha) * hsigma)
                 tmp.append(nmeans[k] + st.norm.ppf(1 - alpha) * hsigma)
 
-                grid = self.gridCount(grid, resolution, index, tmp)
+                intervals.append(tmp)
 
-            tmp = np.array([grid[i] for i in sorted(grid)])
+            dist.appendInterval(intervals)
 
-            ret.append(tmp / sum(tmp))
+            ret.append(dist)
 
-        grid = self.empty_grid(resolution)
+        return ret
-        df = pd.DataFrame(ret, columns=sorted(grid))
-        return df

pyFTS/fts.py

@@ -89,19 +89,15 @@ class FTS(object):
         :param kwargs: 
         :return: 
         """
-        ndata = [k for k in self.doTransformations(data[- self.order:])]
-
         ret = []
         for k in np.arange(0,steps):
-            tmp = self.forecast(ndata[-self.order:], **kwargs)
+            tmp = self.forecast(data[-self.order:], **kwargs)
 
             if isinstance(tmp,(list, np.ndarray)):
                 tmp = tmp[0]
 
             ret.append(tmp)
-            ndata.append(tmp)
+            data.append(tmp)
-
-        ret = self.doInverseTransformations(ret, params=[ndata[self.order - 1:]])
 
         return ret
 

pyFTS/probabilistic/ProbabilityDistribution.py

@@ -3,7 +3,8 @@ import pandas as pd
 import matplotlib.pyplot as plt
 from pyFTS.common import FuzzySet,SortedCollection
 from pyFTS.probabilistic import kde
-
+from pyFTS import tree
+from pyFTS.common import SortedCollection
 
 class ProbabilityDistribution(object):
     """
@@ -42,6 +43,10 @@ class ProbabilityDistribution(object):
 
         self.name = kwargs.get("name", "")
 
+    def set(self, value, density):
+        k = self.index.find_ge(value)
+        self.distribution[k] = density
+
     def append(self, values):
         if self.type == "histogram":
             for k in values:
@@ -55,20 +60,46 @@ class ProbabilityDistribution(object):
             for v,d in enumerate(dens):
                 self.distribution[self.bins[v]] = d
 
+    def appendInterval(self, intervals):
+        if self.type == "histogram":
+            for interval in intervals:
+                for k in self.index.inside(interval[0], interval[1]):
+                    self.distribution[k] += 1
+                    self.count += 1
+
     def density(self, values):
         ret = []
         for k in values:
             if self.type == "histogram":
                 v = self.index.find_ge(k)
                 ret.append(self.distribution[v] / self.count)
-            else:
+            elif self.type == "KDE":
                 v = self.kde.probability(k, self.data)
                 ret.append(v)
+            else:
+                v = self.index.find_ge(k)
+                ret.append(self.distribution[v])
+        return ret
+
+    def cdf(self, value):
+        ret = 0
+        for k in self.bins:
+            if k < value:
+               ret += self.distribution[k]
+            else:
+                return ret
+
         return ret
 
 
     def cummulative(self, values):
-        pass
+        if isinstance(values, list):
+            ret = []
+            for k in values:
+                ret.append(self.cdf(k))
+        else:
+            return self.cdf(values)
+
 
     def quantile(self, qt):
         pass