Bugfixes and improvements in benchmarks, arima and quantreg
This commit is contained in:
Petrônio Cândido
parent
46b719464f
commit
9b2f286bab
@ -60,27 +60,48 @@ class ARIMA(fts.FTS):
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print(ex)
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self.model_fit = None
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def forecast(self, ndata, **kwargs):
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def inference(self, steps):
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t_z = self.model.transform_z()
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mu, Y = self.model._model(self.model.latent_variables.get_z_values())
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date_index = self.model.shift_dates(steps)
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sim_vector = self.model._sim_prediction(mu, Y, steps, t_z, 1000)
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return ret
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return sim_vector
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def forecast(self, ndata, **kwargs):
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raise NotImplementedError()
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def forecast_interval(self, data, **kwargs):
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return ret
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raise NotImplementedError()
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def forecast_ahead_interval(self, ndata, steps, **kwargs):
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sim_vector = self.inference(steps)
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if 'alpha' in kwargs:
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alpha = kwargs.get('alpha')
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else:
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alpha = self.alpha
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ret = []
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for ct, sample in enumerate(sim_vector):
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i = [np.percentile(sample, qt) for qt in [alpha, 1-alpha]]
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ret.append(i)
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return ret
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def forecast_distribution(self, data, **kwargs):
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return ret
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raise NotImplementedError()
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def forecast_ahead_distribution(self, data, steps, **kwargs):
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sim_vector = self.inference(steps)
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ret = []
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for ct, sample in enumerate(sim_vector):
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pd = ProbabilityDistribution.ProbabilityDistribution(type='histogram', data=sample, nbins=500)
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ret.append(pd)
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return ret
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@ -225,12 +225,12 @@ def pinball_mean(tau, targets, forecasts):
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def winkler_score(tau, target, forecast):
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'''R. L. Winkler, A Decision-Theoretic Approach to Interval Estimation, J. Am. Stat. Assoc. 67 (337) (1972) 187–191. doi:10.2307/2284720. '''
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delta = forecast[1] - forecast[0]
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if forecast[0] < target and target < forecast[1]:
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if forecast[0] <= target <= forecast[1]:
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return delta
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elif forecast[0] > target:
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return delta + 2 * (forecast[0] - target) / tau
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return delta + (2 * (forecast[0] - target)) / tau
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elif forecast[1] < target:
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return delta + 2 * (target - forecast[1]) / tau
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return delta + (2 * (target - forecast[1])) / tau
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def winkler_mean(tau, targets, forecasts):
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@ -248,44 +248,52 @@ def winkler_mean(tau, targets, forecasts):
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def brier_score(targets, densities):
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'''Brier (1950). "Verification of Forecasts Expressed in Terms of Probability". Monthly Weather Review. 78: 1–3. '''
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'''
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Brier Score for probabilistic forecasts.
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Brier (1950). "Verification of Forecasts Expressed in Terms of Probability". Monthly Weather Review. 78: 1–3.
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:param targets: a list with the target values
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:param densities: a list with pyFTS.probabil objectsistic.ProbabilityDistribution
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:return: float
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'''
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if not isinstance(densities, list):
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densities = [densities]
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targets = [targets]
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ret = []
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for ct, d in enumerate(densities):
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try:
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v = d.bin_index.find_ge(targets[ct])
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v = d.bin_index.find_le(targets[ct])
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score = sum([d.distribution[k] ** 2 for k in d.bins if k != v])
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score += (d.distribution[v] - 1) ** 2
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score = sum([d.density(k) ** 2 for k in d.bins if k != v])
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score += (d.density(v) - 1) ** 2
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ret.append(score)
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except ValueError as ex:
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ret.append(sum([d.distribution[k] ** 2 for k in d.bins]))
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ret.append(sum([d.density(k) ** 2 for k in d.bins]))
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return sum(ret) / len(ret)
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def pmf_to_cdf(density):
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ret = []
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for row in density.index:
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tmp = []
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prev = 0
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for col in density.columns:
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prev += density[col][row] if not np.isnan(density[col][row]) else 0
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tmp.append(prev)
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ret.append(tmp)
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df = pd.DataFrame(ret, columns=density.columns)
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return df
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def logarithm_score(targets, densities):
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'''
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Logarithm Score for probabilistic forecasts.
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Good IJ (1952). “Rational Decisions.”Journal of the Royal Statistical Society B,14(1),107–114. URLhttps://www.jstor.org/stable/2984087.
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:param targets: a list with the target values
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:param densities: a list with pyFTS.probabil objectsistic.ProbabilityDistribution
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:return: float
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'''
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_ls = float(0.0)
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if isinstance(densities, ProbabilityDistribution.ProbabilityDistribution):
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densities = [densities]
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targets = [targets]
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def heavyside(bin, target):
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return 1 if bin >= target else 0
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n = len(densities)
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for ct, df in enumerate(densities):
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_ls += -np.log(df.density(targets[ct]))
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def heavyside_cdf(bins, targets):
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ret = []
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for t in targets:
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result = [1 if b >= t else 0 for b in bins]
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ret.append(result)
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df = pd.DataFrame(ret, columns=bins)
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return df
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return _ls / n
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def crps(targets, densities):
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@ -299,13 +307,13 @@ def crps(targets, densities):
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_crps = float(0.0)
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if isinstance(densities, ProbabilityDistribution.ProbabilityDistribution):
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densities = [densities]
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targets = [targets]
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l = len(densities[0].bins)
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n = len(densities)
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for ct, df in enumerate(densities):
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_crps += sum([(df.cumulative(bin) - (1 if bin >= targets[ct] else 0)) ** 2 for bin in df.bins])
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return _crps / float(l * n)
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return _crps / n
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def get_point_statistics(data, model, **kwargs):
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@ -416,6 +424,41 @@ def get_interval_statistics(data, model, **kwargs):
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return ret
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def get_interval_ahead_statistics(data, intervals, **kwargs):
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"""
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Condensate all measures for point interval forecasters
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:param data: test data
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:param model: FTS model with interval forecasting capability
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:param kwargs:
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:return: a list with the sharpness, resolution, coverage, .05 pinball mean,
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.25 pinball mean, .75 pinball mean and .95 pinball mean.
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"""
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l = len(intervals)
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if len(data) != l:
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raise Exception("Data and intervals have different lenghts!")
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lags = {}
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for lag in range(l):
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ret = {}
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datum = data[lag]
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interval = intervals[lag]
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ret['sharpness'] = round(interval[1] - interval[0], 2)
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ret['coverage'] = 1 if interval[0] <= datum <= interval[1] else 0
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ret['pinball05'] = round(pinball(0.05, datum, interval[0]), 2)
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ret['pinball25'] = round(pinball(0.25, datum, interval[0]), 2)
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ret['pinball75'] = round(pinball(0.75, datum, interval[1]), 2)
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ret['pinball95'] = round(pinball(0.95, datum, interval[1]), 2)
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ret['winkler05'] = round(winkler_score(0.05, datum, interval), 2)
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ret['winkler25'] = round(winkler_score(0.25, datum, interval), 2)
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lags[lag] = ret
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return lags
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def get_distribution_statistics(data, model, **kwargs):
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"""
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Get CRPS statistic and time for a forecasting model
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@ -452,3 +495,32 @@ def get_distribution_statistics(data, model, **kwargs):
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ret.append(round(_e1 - _s1, 3))
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ret.append(round(brier_score(data[start:-1:skip], forecasts), 3))
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return ret
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def get_distribution_ahead_statistics(data, distributions):
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"""
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Get CRPS statistic and time for a forecasting model
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:param data: test data
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:param model: FTS model with probabilistic forecasting capability
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:param kwargs:
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:return: a list with the CRPS and execution time
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"""
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l = len(distributions)
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if len(data) != l:
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raise Exception("Data and distributions have different lenghts!")
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lags = {}
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for lag in range(l):
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ret = {}
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datum = data[lag]
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dist = distributions[lag]
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ret['crps'] = round(crps(datum, dist), 3)
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ret['brier'] = round(brier_score(datum, dist), 3)
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ret['log'] = round(logarithm_score(datum, dist), 3)
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lags[lag] = ret
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return lags
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@ -13,7 +13,7 @@ class QuantileRegression(fts.FTS):
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"""Façade for statsmodels.regression.quantile_regression"""
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def __init__(self, **kwargs):
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super(QuantileRegression, self).__init__(**kwargs)
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self.name = "QR"
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self.name = "QAR"
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self.detail = "Quantile Regression"
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self.is_high_order = True
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self.has_point_forecasting = True
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@ -105,7 +105,7 @@ class QuantileRegression(fts.FTS):
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nmeans = self.forecast_ahead(ndata, steps, **kwargs)
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for k in np.arange(0, self.order):
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nmeans.insert(k,ndata[-(k+1)])
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nmeans.insert(k,ndata[k])
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for k in np.arange(self.order, steps+self.order):
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intl = self.point_to_interval(nmeans[k - self.order: k], self.lower_qt, self.upper_qt)
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@ -136,18 +136,29 @@ class QuantileRegression(fts.FTS):
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return ret
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def forecast_ahead_distribution(self, ndata, steps, **kwargs):
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smoothing = kwargs.get("smoothing", 0.9)
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l = len(ndata)
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ret = []
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nmeans = self.forecast_ahead(ndata, steps, **kwargs)
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for k in np.arange(0, self.order):
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nmeans.insert(k, ndata[k])
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for k in np.arange(self.order, steps + self.order):
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dist = ProbabilityDistribution.ProbabilityDistribution(type="histogram",
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uod=[self.original_min, self.original_max])
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intervals = [[k, k] for k in ndata[-self.order:]]
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intervals = [[nmeans[self.order], nmeans[self.order]]]
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for qt in self.dist_qt:
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intl = self.interval_to_interval([intervals[x] for x in np.arange(k - self.order, k)], qt[0], qt[1])
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intervals.append(intl)
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intl1 = self.point_to_interval(nmeans[k - self.order: k], qt[0], qt[1])
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intl2 = [intl1[0] * (1 + k * smoothing), intl1[1] * (1 + k * smoothing)]
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intervals.append(intl2)
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dist.append_interval(intervals)
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ret.append(dist)
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return ret
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@ -162,17 +162,23 @@ def plot_distribution(ax, cmap, probabilitydist, fig, time_from, reference_data=
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cb.set_label('Density')
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def plot_distribution2(probabilitydist, data, **kwargs): #ax, cmap, probabilitydist, time_from, data=None):
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def plot_distribution2(probabilitydist, data, **kwargs):
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'''
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Plot distributions over the time (x-axis)
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:param probabilitydist:
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:param data:
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:param kwargs:
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:return:
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:param probabilitydist: the forecasted probability distributions to plot
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:param data: the original test sample
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:keyword start_at: the time index (inside of data) to start to plot the probability distributions
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:keyword ax: a matplotlib axis. If no value was provided a new axis is created.
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:keyword cmap: a matplotlib colormap name, the default value is 'Blues'
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:keyword quantiles: the list of quantiles intervals to plot, e. g. [.05, .25, .75, .95]
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:keyword median: a boolean value indicating if the median value will be plot.
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'''
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import matplotlib.colorbar as cbar
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import matplotlib.cm as cm
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order = kwargs.get('order', 1)
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ax = kwargs.get('ax',None)
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if ax is None:
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fig, ax = plt.subplots(nrows=1, ncols=1, figsize=[15, 5])
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@ -182,7 +188,7 @@ def plot_distribution2(probabilitydist, data, **kwargs): #ax, cmap, probabilityd
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cmap = kwargs.get('cmap','Blues')
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cmap = plt.get_cmap(cmap)
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start_at = kwargs.get('start_at',0)
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start_at = kwargs.get('start_at',0) + order - 1
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x = [k + start_at for k in range(l + 1)]
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@ -207,12 +213,13 @@ def plot_distribution2(probabilitydist, data, **kwargs): #ax, cmap, probabilityd
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ax.fill_between(x, [k[0] for k in y], [k[1] for k in y],
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facecolor=scalarMap.to_rgba(ct / lq))
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if kwargs.get('median',True):
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y = [data[start_at]]
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for pd in probabilitydist:
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qts = pd.quantile(.5)
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y.append(qts[0])
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ax.plot(x, y, color='red')
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ax.plot(x, y, color='red', label='Median')
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cax, _ = cbar.make_axes(ax)
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cb = cbar.ColorbarBase(cax, cmap=cmap, norm=normal)
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@ -232,7 +232,7 @@ class FTS(object):
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ret = []
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for k in np.arange(0, steps):
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tmp = self.forecast(data[-self.max_lag:], **kwargs)
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tmp = self.forecast(data[k:self.max_lag+k], **kwargs)
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if isinstance(tmp,(list, np.ndarray)):
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tmp = tmp[-1]
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@ -16,10 +16,13 @@ import scipy.stats as st
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from itertools import product
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def sampler(data, quantiles):
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def sampler(data, quantiles, bounds=False):
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ret = []
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for qt in quantiles:
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ret.append(np.nanpercentile(data, q=qt * 100))
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if bounds:
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ret.insert(0, min(data))
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ret.append(max(data))
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return ret
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@ -190,25 +193,25 @@ class EnsembleFTS(fts.FTS):
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ret = []
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samples = [[k] for k in data[-self.order:]]
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start = kwargs.get('start', self.order)
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uod = self.get_UoD()
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sample = [[k] for k in data[start - self.order: start]]
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for k in np.arange(self.order, steps + self.order):
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forecasts = []
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lags = {}
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for i in np.arange(0, self.order): lags[i] = samples[k - self.order + i]
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# Build the tree with all possible paths
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root = tree.FLRGTreeNode(None)
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tree.build_tree_without_order(root, lags, 0)
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for p in root.paths():
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path = list(reversed(list(filter(None.__ne__, p))))
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lags = []
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for i in np.arange(0, self.order):
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lags.append(sample[i - self.order])
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# Trace the possible paths
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for path in product(*lags):
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forecasts.extend(self.get_models_forecasts(path))
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samples.append(sampler(forecasts, np.arange(0.1, 1, 0.2)))
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sample.append(sampler(forecasts, np.arange(.1, 1, 0.1), bounds=True))
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interval = self.get_interval(forecasts)
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if len(interval) == 1:
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@ -248,7 +251,7 @@ class EnsembleFTS(fts.FTS):
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if 'method' in kwargs:
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self.point_method = kwargs.get('method','mean')
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smooth = kwargs.get("smooth", "KDE")
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smooth = kwargs.get("smooth", "histogram")
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alpha = kwargs.get("alpha", None)
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ret = []
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@ -270,7 +273,7 @@ class EnsembleFTS(fts.FTS):
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for path in product(*lags):
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forecasts.extend(self.get_models_forecasts(path))
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sample.append(forecasts)
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sample.append(sampler(forecasts, np.arange(.1, 1, 0.1), bounds=True))
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if alpha is None:
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forecasts = np.ravel(forecasts).tolist()
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@ -17,6 +17,8 @@ class ProbabilityDistribution(object):
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self.data = []
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data = kwargs.get("data", None)
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self.type = type
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"""
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If type is histogram, the PDF is discrete
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@ -28,12 +30,10 @@ class ProbabilityDistribution(object):
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self.labels = kwargs.get("bins_labels", None)
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"""Bins labels on a discrete PDF"""
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data = kwargs.get("data", None)
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if self.type == "KDE":
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self.kde = kde.KernelSmoothing(h=kwargs.get("h", 0.5), kernel=kwargs.get("kernel", "epanechnikov"))
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if self.data is not None:
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if data is not None and self.uod is None:
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_min = np.nanmin(data)
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_min = _min * .7 if _min > 0 else _min * 1.3
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_max = np.nanmax(data)
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@ -5,6 +5,8 @@ import os
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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from pyFTS.common import Util
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from pyFTS.partitioners import Grid
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from pyFTS.common import Transformations
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from pyFTS.models import chen, hofts
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@ -17,27 +19,56 @@ from pyFTS.models import hofts
|
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from pyFTS.data import TAIEX
|
||||
|
||||
data = TAIEX.get_data()
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|
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train = data[:800]
|
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test = data[800:1000]
|
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'''
|
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model = ensemble.EnsembleFTS()
|
||||
|
||||
for k in [15, 25, 35]:
|
||||
for order in [1, 2, 3]:
|
||||
fs = Grid.GridPartitioner(data=data, npart=k)
|
||||
fs = Grid.GridPartitioner(data=train, npart=k)
|
||||
tmp = hofts.WeightedHighOrderFTS(partitioner=fs, order=order)
|
||||
|
||||
tmp.fit(data)
|
||||
tmp.fit(train)
|
||||
|
||||
model.append_model(tmp)
|
||||
'''
|
||||
#fig, ax = plt.subplots(nrows=1, ncols=1, figsize=[15, 5])
|
||||
|
||||
#ax.plot(data[:28], label='Original', color='black')
|
||||
|
||||
from pyFTS.benchmarks import arima, quantreg, BSTS
|
||||
|
||||
#model = arima.ARIMA(order=(2,0,0))
|
||||
#model = quantreg.QuantileRegression(order=1, dist=True)
|
||||
model = BSTS.ARIMA(order=(2,0,0))
|
||||
model.fit(train)
|
||||
|
||||
horizon = 5
|
||||
|
||||
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)
|
||||
|
||||
#Util.plot_distribution2(forecasts, data[:28], start_at=20, order=3, ax=ax, cmap="Blues")
|
||||
|
||||
print('end')
|
||||
|
||||
from pyFTS.benchmarks import Measures
|
||||
|
||||
start = model.order+1
|
||||
end = start + horizon
|
||||
|
||||
print(Measures.get_interval_ahead_statistics(test[start:end], intervals))
|
||||
print(Measures.get_distribution_ahead_statistics(test[start:end], distributions))
|
||||
|
||||
forecasts = model.predict(data, type='distribution', smooth='histogram', steps_ahead=5)
|
||||
|
||||
from pyFTS.benchmarks import benchmarks as bchmk
|
||||
|
||||
#f, ax = plt.subplots(1, 1, figsize=[20, 5])
|
||||
|
||||
#ax.plot(data)
|
||||
#bchmk.plot_interval(ax, forecasts, 3, "")
|
||||
print(forecasts)
|
||||
#print(forecasts)
|
||||
|
||||
'''
|
||||
mu_local = 5
|
||||
|
||||
Loading…
Reference in New Issue
Block a user