sam/pyFTS
1
0
Fork 0
Code Issues 3 Pull Requests Actions Packages Projects Releases Wiki Activity

Bugfixes on pwfts

Browse Source
This commit is contained in:
Petrônio Cândido 2018-12-11 15:15:40 -02:00
parent 8d9d0e09c1
commit c0385e556e
2 changed files with 8 additions and 7 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

11
pyFTS/models/pwfts.py
View File

@ -505,9 +505,9 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
# Find all bins of past distributions with probability greater than zero # Find all bins of past distributions with probability greater than zero
for ct, d in enumerate(self.lags): for ct, lag in enumerate(self.lags):
dd = ret[k - d] dd = ret[k - lag]
vals = [float(v) for v in dd.bins if round(dd.density(v), 4) > 0] vals = [float(v) for v in dd.bins if np.round(dd.density(v), 4) > 0.0]
lags.append( sorted(vals) ) lags.append( sorted(vals) )
@ -516,9 +516,8 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
for path in product(*lags): for path in product(*lags):
# get the combined probabilities for this path # get the combined probabilities for this path
pk = np.prod([ret[k - (self.max_lag + lag)].density(path[ct])
pk = np.prod([ret[k - self.max_lag + o].density(path[ct]) for ct, lag in enumerate(self.lags)])
for ct, o in enumerate(self.lags)])
d = self.forecast_distribution(path)[0] d = self.forecast_distribution(path)[0]

4
pyFTS/tests/general.py
View File

@ -32,7 +32,9 @@ pfts1_taiex.fit(dataset[:train_split], save_model=True, file_path='pwfts', order
pfts1_taiex.shortname = "1st Order" pfts1_taiex.shortname = "1st Order"
#print(pfts1_taiex) #print(pfts1_taiex)
tmp = pfts1_taiex.predict(dataset[train_split:train_split+200], type='distribution') #tmp = pfts1_taiex.predict(dataset[train_split:train_split+200], type='distribution')
tmp = pfts1_taiex.predict(dataset[train_split:train_split+200], type='distribution', steps_ahead=20)
''' '''
#dataset = SP500.get_data()[11500:16000] #dataset = SP500.get_data()[11500:16000]