Fitting time series
models
A RIMA MODELS IN P YTH ON
James Fulton
Climate informatics researcher
Creating a model
from statsmodels.tsa.arima_model import ARMA
model = ARMA(timeseries, order=(p,q))
ARIMA MODELS IN PYTHON
Creating AR and MA models
ar_model = ARMA(timeseries, order=(p,0))
ma_model = ARMA(timeseries, order=(0,q))
ARIMA MODELS IN PYTHON
Fitting the model and t summary
model = ARMA(timeseries, order=(2,1))
results = model.fit()
print(results.summary())
ARIMA MODELS IN PYTHON
Fit summary
ARMA Model Results
==============================================================================
Dep. Variable: y No. Observations: 1000
Model: ARMA(2, 1) Log Likelihood 148.580
Method: css-mle S.D. of innovations 0.208
Date: Thu, 25 Apr 2019 AIC -287.159
Time: 22:57:00 BIC -262.621
Sample: 0 HQIC -277.833
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -0.0017 0.012 -0.147 0.883 -0.025 0.021
ar.L1.y 0.5253 0.054 9.807 0.000 0.420 0.630
ar.L2.y -0.2909 0.042 -6.850 0.000 -0.374 -0.208
ma.L1.y 0.3679 0.052 7.100 0.000 0.266 0.469
Roots
=============================================================================
Real Imaginary Modulus Frequency
-----------------------------------------------------------------------------
AR.1 0.9029 -1.6194j 1.8541 -0.1690
AR.2 0.9029 +1.6194j 1.8541 0.1690
MA.1 -2.7184 +0.0000j 2.7184 0.5000
-----------------------------------------------------------------------------
ARIMA MODELS IN PYTHON
Fit summary
ARMA Model Results
==============================================================================
Dep. Variable: y No. Observations: 1000
Model: ARMA(2, 1) Log Likelihood 148.580
Method: css-mle S.D. of innovations 0.208
Date: Thu, 25 Apr 2019 AIC -287.159
Time: 22:57:00 BIC -262.621
Sample: 0 HQIC -277.833
ARIMA MODELS IN PYTHON
Fit summary
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -0.0017 0.012 -0.147 0.883 -0.025 0.021
ar.L1.y 0.5253 0.054 9.807 0.000 0.420 0.630
ar.L2.y -0.2909 0.042 -6.850 0.000 -0.374 -0.208
ma.L1.y 0.3679 0.052 7.100 0.000 0.266 0.469
ARIMA MODELS IN PYTHON
Introduction to ARMAX models
Exogenous ARMA
Use external variables as well as time series
ARMAX = ARMA + linear regression
ARIMA MODELS IN PYTHON
ARMAX equation
ARMA(1,1) model :
yt = a1 yt−1 + m1 ϵt−1 + ϵt
ARMAX(1,1) model :
yt = x1 zt + a1 yt−1 + m1 ϵt−1 + ϵt
ARIMA MODELS IN PYTHON
ARMAX example
ARIMA MODELS IN PYTHON
ARMAX example
ARIMA MODELS IN PYTHON
Fitting ARMAX
# Instantiate the model
model = ARMA(df['productivity'], order=(2,1), exog=df['hours_sleep'])
# Fit the model
results = model.fit()
ARIMA MODELS IN PYTHON
ARMAX summary
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -0.1936 0.092 -2.098 0.041 -0.375 -0.013
x1 0.1131 0.013 8.602 0.000 0.087 0.139
ar.L1.y 0.1917 0.252 0.760 0.450 -0.302 0.686
ar.L2.y -0.3740 0.121 -3.079 0.003 -0.612 -0.136
ma.L1.y -0.0740 0.259 -0.286 0.776 -0.581 0.433
ARIMA MODELS IN PYTHON
Let's practice!
A RIMA MODELS IN P YTH ON
Forecasting
A RIMA MODELS IN P YTH ON
James Fulton
Climate informatics researcher
Predicting the next value
Take an AR(1) model
yt = a1 yt−1 + ϵt
Predict next value
yt = 0.6 x 10 + ϵt
yt = 6.0 + ϵt
Uncertainty on prediction
5.0 < yt < 7.0
ARIMA MODELS IN PYTHON
One-step-ahead predictions
ARIMA MODELS IN PYTHON
Statsmodels SARIMAX class
from statsmodels.tsa.statespace.sarimax import SARIMAX
# Just an ARMA(p,q) model
model = SARIMAX(df, order=(p,0,q))
ARIMA MODELS IN PYTHON
Statsmodels SARIMAX class
from statsmodels.tsa.statespace.sarimax import SARIMAX
# An ARMA(p,q) + constant model
model = SARIMAX(df, order=(p,0,q), trend='c')
ARIMA MODELS IN PYTHON
Making one-step-ahead predictions
# Make predictions for last 25 values
results = model.fit()
# Make in-sample prediction
forecast = results.get_prediction(start=-25)
ARIMA MODELS IN PYTHON
Making one-step-ahead predictions
# Make predictions for last 25 values
results = model.fit()
# Make in-sample prediction
forecast = results.get_prediction(start=-25)
# forecast mean
mean_forecast = forecast.predicted_mean
Predicted mean is a pandas series
2013-10-28 1.519368
2013-10-29 1.351082
2013-10-30 1.218016
ARIMA MODELS IN PYTHON
Con dence intervals
# Get confidence intervals of forecasts
confidence_intervals = forecast.conf_int()
Con dence interval method returns pandas DataFrame
lower y upper y
2013-09-28 -4.720471 -0.815384
2013-09-29 -5.069875 0.112505
2013-09-30 -5.232837 0.766300
2013-10-01 -5.305814 1.282935
2013-10-02 -5.326956 1.703974
ARIMA MODELS IN PYTHON
Plotting predictions
plt.figure()
# Plot prediction
plt.plot(dates,
mean_forecast.values,
color='red',
label='forecast')
# Shade uncertainty area
plt.fill_between(dates, lower_limits, upper_limits, color='pink')
plt.show()
ARIMA MODELS IN PYTHON
Plotting predictions
ARIMA MODELS IN PYTHON
Dynamic predictions
ARIMA MODELS IN PYTHON
Making dynamic predictions
results = model.fit()
forecast = results.get_prediction(start=-25, dynamic=True)
# forecast mean
mean_forecast = forecast.predicted_mean
# Get confidence intervals of forecasts
confidence_intervals = forecast.conf_int()
ARIMA MODELS IN PYTHON
Forecasting out of sample
forecast = results.get_forecast(steps=20)
# forecast mean
mean_forecast = forecast.predicted_mean
# Get confidence intervals of forecasts
confidence_intervals = forecast.conf_int()
ARIMA MODELS IN PYTHON
Forecasting out of sample
forecast = results.get_forecast(steps=20)
ARIMA MODELS IN PYTHON
Let's practice!
A RIMA MODELS IN P YTH ON
Introduction to
ARIMA models
A RIMA MODELS IN P YTH ON
James Fulton
Climate informatics researcher
Non-stationary time series recap
ARIMA MODELS IN PYTHON
Non-stationary time series recap
ARIMA MODELS IN PYTHON
Forecast of differenced time series
ARIMA MODELS IN PYTHON
Reconstructing original time series after
differencing
diff_forecast = results.get_forecast(steps=10).predicted_mean
from numpy import cumsum
mean_forecast = cumsum(diff_forecast)
ARIMA MODELS IN PYTHON
Reconstructing original time series after
differencing
diff_forecast = results.get_forecast(steps=10).predicted_mean
from numpy import cumsum
mean_forecast = cumsum(diff_forecast) + df.iloc[-1,0]
ARIMA MODELS IN PYTHON
Reconstructing original time series after
differencing
ARIMA MODELS IN PYTHON
The ARIMA model
Take the difference
Fit ARMA model
Integrate forecast
Can we avoid doing so much work?
Yes!
ARIMA - Autoregressive Integrated Moving Average
ARIMA MODELS IN PYTHON
Using the ARIMA model
from statsmodels.tsa.statespace.sarimax import SARIMAX
model = SARIMAX(df, order =(p,d,q))
p - number of autoregressive lags
d - order of differencing
q - number of moving average lags
ARMA(p, 0, q) = ARMA(p, q)
ARIMA MODELS IN PYTHON
Using the ARIMA model
# Create model
model = SARIMAX(df, order=(2,1,1))
# Fit model
model.fit()
# Make forecast
mean_forecast = results.get_forecast(steps=10).predicted_mean
ARIMA MODELS IN PYTHON
Using the ARIMA model
# Make forecast
mean_forecast = results.get_forecast(steps=steps).predicted_mean
ARIMA MODELS IN PYTHON
Picking the difference order
adf = adfuller(df.iloc[:,0])
print('ADF Statistic:', adf[0])
print('p-value:', adf[1])
ADF Statistic: -2.674
p-value: 0.0784
adf = adfuller(df.diff().dropna().iloc[:,0])
print('ADF Statistic:', adf[0])
print('p-value:', adf[1])
ADF Statistic: -4.978
p-value: 2.44e-05
ARIMA MODELS IN PYTHON
Picking the difference order
model = SARIMAX(df, order=(p,1,q))
ARIMA MODELS IN PYTHON
Let's practice!
A RIMA MODELS IN P YTH ON
