#!/usr/bin/python # -*- coding: utf8 -*- import numpy as np from statsmodels.tsa.arima_model import ARIMA as stats_arima from pyFTS import fts class ARIMA(fts.FTS): """ Façade for statsmodels.tsa.arima_model """ def __init__(self, order, **kwargs): super(ARIMA, self).__init__(1, "ARIMA") self.name = "ARIMA" self.detail = "Auto Regressive Integrated Moving Average" self.is_high_order = 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 def train(self, data, sets, order=1, parameters=None): if parameters is not None: self.p = parameters[0] self.d = parameters[1] self.q = parameters[2] self.order = max([self.p, self.d, self.q]) self.shortname = "ARIMA(" + str(self.p) + "," + str(self.d) + "," + str(self.q) + ")" old_fit = self.model_fit self.model = stats_arima(data, order=(self.p, self.d, self.q)) try: self.model_fit = self.model.fit(disp=0) except: try: self.model = stats_arima(data, order=(self.p, self.d, self.q)) self.model_fit = self.model.fit(disp=1) except: self.model_fit = old_fit self.trained_data = data #.tolist() def forecast(self, data, **kwargs): if self.model_fit is None: return np.nan ret = [] for t in data: output = self.model_fit.forecast() ret.append( output[0] ) self.trained_data = np.append(self.trained_data, t) #.append(t) self.train(self.trained_data,None,order=self.order, parameters=(self.p, self.d, self.q)) return ret