#!/usr/bin/python
# -*- coding: utf8 -*-
import numpy as np
import pandas as pd
from statsmodels.tsa.arima_model import ARIMA as stats_arima
import scipy.stats as st
from pyFTS.common import SortedCollection, fts
from pyFTS.probabilistic import ProbabilityDistribution
[docs]class ARIMA(fts.FTS):
"""
Façade for statsmodels.tsa.arima_model
"""
def __init__(self, **kwargs):
super(ARIMA, self).__init__(**kwargs)
self.name = "ARIMA"
self.detail = "Auto Regressive Integrated Moving Average"
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
self.p = 1
self.d = 0
self.q = 0
self.benchmark_only = True
self.min_order = 1
self.alpha = kwargs.get("alpha", 0.05)
self.order = kwargs.get("order", (1,0,0))
self._decompose_order(self.order)
def _decompose_order(self, order):
if isinstance(order, (tuple, set, list)):
self.p = order[0]
self.d = order[1]
self.q = order[2]
self.order = self.p + self.q + (self.q - 1 if self.q > 0 else 0)
self.max_lag = self.order
self.d = len(self.transformations)
self.shortname = "ARIMA(" + str(self.p) + "," + str(self.d) + "," + str(self.q) + ") - " + str(self.alpha)
[docs] def train(self, data, **kwargs):
if 'order' in kwargs:
order = kwargs.pop('order')
self._decompose_order(order)
if self.indexer is not None:
data = self.indexer.get_data(data)
try:
self.model = stats_arima(data, order=(self.p, self.d, self.q))
self.model_fit = self.model.fit(disp=0)
except Exception as ex:
print(ex)
self.model_fit = None
[docs] def ar(self, data):
return data.dot(self.model_fit.arparams)
[docs] def ma(self, data):
return data.dot(self.model_fit.maparams)
[docs] def forecast(self, ndata, **kwargs):
if self.model_fit is None:
return np.nan
ndata = np.array(ndata)
l = len(ndata)
ret = []
ar = np.array([self.ar(ndata[k - self.p: k]) for k in np.arange(self.p, l+1)]) #+1 to forecast one step ahead given all available lags
if self.q > 0:
residuals = ndata[self.p-1:] - ar
ma = np.array([self.ma(residuals[k - self.q: k]) for k in np.arange(self.q, len(residuals) + 1)])
ret = ar[self.q - 1:] + ma
ret = ret[self.q:]
else:
ret = ar
#ret = self.apply_inverse_transformations(ret, params=[data[self.order - 1:]]) nforecasts = np.array(forecasts)
return ret
[docs] def forecast_interval(self, data, **kwargs):
if self.model_fit is None:
return np.nan
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]
tmp.append(mean + st.norm.ppf(self.alpha) * sigma)
tmp.append(mean + st.norm.ppf(1 - self.alpha) * sigma)
ret.append(tmp)
return ret
[docs] def forecast_ahead_interval(self, ndata, steps, **kwargs):
if self.model_fit is None:
return np.nan
smoothing = kwargs.get("smoothing",0.5)
sigma = np.sqrt(self.model_fit.sigma2)
l = len(ndata)
nmeans = self.forecast_ahead(ndata, steps, **kwargs)
ret = []
for k in np.arange(0, steps):
tmp = []
hsigma = (1 + k*smoothing)*sigma
tmp.append(nmeans[k] + st.norm.ppf(self.alpha) * hsigma)
tmp.append(nmeans[k] + st.norm.ppf(1 - self.alpha) * hsigma)
ret.append(tmp)
return ret
[docs] def forecast_distribution(self, data, **kwargs):
sigma = np.sqrt(self.model_fit.sigma2)
l = len(data)
ret = []
for k in np.arange(self.order, l + 1):
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.append_interval(intervals)
ret.append(dist)
return ret
[docs] def forecast_ahead_distribution(self, data, steps, **kwargs):
smoothing = kwargs.get("smoothing", 0.5)
sigma = np.sqrt(self.model_fit.sigma2)
l = len(data)
ret = []
nmeans = self.forecast_ahead(data, steps, **kwargs)
for k in np.arange(0, steps):
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 = []
hsigma = (1 + k * smoothing) * sigma
tmp.append(nmeans[k] + st.norm.ppf(alpha) * hsigma)
tmp.append(nmeans[k] + st.norm.ppf(1 - alpha) * hsigma)
intervals.append(tmp)
dist.append_interval(intervals)
ret.append(dist)
return ret
