Time-series-Forecasting Time Series Forecasting Jupyter Code - Ipynb at Main Chetandudhane Time-series-Forecasting GitHub
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Arun KumarTime-series-Forecasting Time Series Forecasting Jupyter Code - Ipynb at Main Chetandudhane Time-series-Forecasting GitHub
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Arun Kumar2/17/22, 9:59 PM time-series-forecasting/time_series_forecasting_jupyter_code.
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In [1]:
# Importing the necessary packages
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import seaborn as sns
import statsmodels.tools.eval_measures as em
from sklearn.metrics import mean_squared_error
from statsmodels.tsa.api import ExponentialSmoothing, Simpl
from IPython.display import display
from pylab import rcParams
from IPython.core.interactiveshell import InteractiveShell
InteractiveShell.ast_node_interactivity = "all"
Read the data.
In [2]:
dfr = pd.read_csv('Rose.csv',parse_dates=True,index_col='YearMonth')
dfr.head().to_csv('rose_head.csv')
dfr.head()
Out[2]: Rose
YearMonth
1980-01-01 112.0
1980-02-01 118.0
1980-03-01 129.0
1980-04-01 99.0
1980-05-01 116.0
In [3]:
dfs = pd.read_csv('Sparkling.csv',parse_dates=True,index_col='YearMonth')
dfs.head().to_csv('spark_head.csv')
dfs.head()
Out[3]: Sparkling
YearMonth
1980-01-01 1686
1980-02-01 1591
1980-03-01 2304
1980-04-01 1712
1980-05-01 1471
In [4]:
dfr.info()
<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 187 entries, 1980-01-01 to 1995-07-01
Data columns (total 1 columns):
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Data columns (total 1 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 Rose 185 non-null float64
dtypes: float64(1)
memory usage: 2.9 KB
In [5]:
dfs.info()
<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 187 entries, 1980-01-01 to 1995-07-01
Data columns (total 1 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 Sparkling 187 non-null int64
dtypes: int64(1)
memory usage: 2.9 KB
In [ ]:
Check for Missing Values
In [6]:
dfs.isna().sum()
Sparkling 0
Out[6]:
dtype: int64
In [7]:
dfr.isna().sum()
Rose 2
Out[7]:
dtype: int64
Fill Missing Values by Interpolation
In [8]:
dfr = dfr.interpolate()
In [9]:
dfr.isna().sum()
Rose 0
Out[9]:
dtype: int64
Plot the Time Series
In [340…
rcParams['figure.figsize'] = 16,9
In [341…
# ROSE TIME SERIES
plt.plot(dfr, color='red');
plt.title('Rose Wine Time Series', fontsize=17);
plt.grid();
plt.legend(['Rose'], loc='best');
plt.tight_layout()
plt.savefig('rose_ts.jpg', bbox_inches='tight');
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In [342…
# SPARKLING TIME SERIES
plt.plot(dfs);
plt.title('Sparkling Wine Time Series', fontsize=17);
plt.grid();
plt.legend(['Sparkling']);
plt.tight_layout()
plt.savefig('spark_ts.jpg', bbox_inches='tight');
Check the basic measures of descriptive
statistics of the Time Series
In [343…
round(dfr.describe().T,3).to_csv('rose_describe.csv')
round(dfr.describe().T,3)
Out[343… count mean std min 25% 50% 75% max
Rose 187.0 89.914 39.238 28.0 62.5 85.0 111.0 267.0
In [344…
round(dfs.describe().T,3).to_csv('spark_describe.csv')
round(dfs.describe().T,3)
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Out[344… count mean std min 25% 50% 75% max
Sparkling 187.0 2402.417 1295.112 1070.0 1605.0 1874.0 2549.0 7242.0
Plot Box-plot Monthwise
In [345…
sns.boxplot(x = dfr.index.month_name(), y = dfr['Rose']);
plt.grid();
plt.title('Month-wise Boxplot of Rose', fontsize=17);
plt.savefig('rose_monthwise_box.jpg', bbox_inches='tight');
In [346…
sns.boxplot(x = dfs.index.month_name(), y = dfs['Sparkling']);
plt.grid();
plt.title('Month-wise Boxplot of Sparkling', fontsize=17);
plt.savefig('spark_monthwise_box.jpg', bbox_inches='tight');
Decompose the Time Series and plot the
different components.
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In [347…
from statsmodels.tsa.seasonal import seasonal_decompose
Additive Decomposition of Rose
In [348…
decompositionr = seasonal_decompose(dfr,model='additive')
decompositionr.plot()
plt.savefig('decomposer.jpg', bbox_inches='tight');
In [349…
trend = decompositionr.trend
seasonality = decompositionr.seasonal
residual = decompositionr.resid
print('Trend','\n',trend.head(12),'\n')
print('Seasonality','\n',seasonality.head(12),'\n')
print('Residual','\n',residual.head(12),'\n')
trend.head(12).to_csv('rose_trend.csv')
seasonality.head(12).to_csv('rose_season.csv')
residual.head(12).to_csv('rose_resid.csv')
Trend
YearMonth
1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 147.083333
1980-08-01 148.125000
1980-09-01 148.375000
1980-10-01 148.083333
1980-11-01 147.416667
1980-12-01 145.125000
Name: trend, dtype: float64
Seasonality
YearMonth
1980-01-01 -27.908647
1980-02-01 -17.435632
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1980-03-01 -9.285830
1980-04-01 -15.098330
1980-05-01 -10.196544
1980-06-01 -7.678687
1980-07-01 4.896908
1980-08-01 5.499686
1980-09-01 2.774686
1980-10-01 1.871908
1980-11-01 16.846908
1980-12-01 55.713575
Name: seasonal, dtype: float64
Residual
YearMonth
1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 -33.980241
1980-08-01 -24.624686
1980-09-01 53.850314
1980-10-01 -2.955241
1980-11-01 -14.263575
1980-12-01 66.161425
Name: resid, dtype: float64
In [350…
residual.plot()
<AxesSubplot:xlabel='YearMonth'>
Out[350…
Additive Decomposition of Sparkling
In [351…
decompositions = seasonal_decompose(dfs,model='additive')
decompositions.plot();
plt.savefig('decomposes.jpg', bbox_inches='tight');
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In [352…
trend = decompositions.trend
seasonality = decompositions.seasonal
residual = decompositions.resid
print('Trend','\n',trend.head(12),'\n')
print('Seasonality','\n',seasonality.head(12),'\n')
print('Residual','\n',residual.head(12),'\n')
trend.head(12).to_csv('spark_trend.csv')
seasonality.head(12).to_csv('spark_season.csv')
residual.head(12).to_csv('spark_resid.csv')
Trend
YearMonth
1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 2360.666667
1980-08-01 2351.333333
1980-09-01 2320.541667
1980-10-01 2303.583333
1980-11-01 2302.041667
1980-12-01 2293.791667
Name: trend, dtype: float64
Seasonality
YearMonth
1980-01-01 -854.260599
1980-02-01 -830.350678
1980-03-01 -592.356630
1980-04-01 -658.490559
1980-05-01 -824.416154
1980-06-01 -967.434011
1980-07-01 -465.502265
1980-08-01 -214.332821
1980-09-01 -254.677265
1980-10-01 599.769957
1980-11-01 1675.067179
1980-12-01 3386.983846
Name: seasonal, dtype: float64
Residual
YearMonth
1980-01-01 NaN
1980-02-01 NaN
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1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 70.835599
1980-08-01 315.999487
1980-09-01 -81.864401
1980-10-01 -307.353290
1980-11-01 109.891154
1980-12-01 -501.775513
Name: resid, dtype: float64
In [353…
cvsa = residual.std()/residual.mean()
cvsa
-296.08335294142995
Out[353…
In [ ]:
Multiplicative Decomposition of Rose
In [354…
decompositionmr = seasonal_decompose(dfr,model='multiplicative')
decompositionmr.plot();
plt.savefig('decomposemr.jpg', bbox_inches='tight');
In [355…
trend = decompositionmr.trend
seasonality = decompositionmr.seasonal
residual = decompositionmr.resid
print('Trend','\n',trend.head(12),'\n')
print('Seasonality','\n',seasonality.head(12),'\n')
print('Residual','\n',residual.head(12),'\n')
trend.head(12).to_csv('rose_trend_m.csv')
seasonality.head(12).to_csv('rose_season_m.csv')
residual.head(12).to_csv('rose_resid_m.csv')
Trend
YearMonth
1980 01 01 N N
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1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 147.083333
1980-08-01 148.125000
1980-09-01 148.375000
1980-10-01 148.083333
1980-11-01 147.416667
1980-12-01 145.125000
Name: trend, dtype: float64
Seasonality
YearMonth
1980-01-01 0.670111
1980-02-01 0.806163
1980-03-01 0.901164
1980-04-01 0.854024
1980-05-01 0.889415
1980-06-01 0.923985
1980-07-01 1.058038
1980-08-01 1.035881
1980-09-01 1.017648
1980-10-01 1.022573
1980-11-01 1.192349
1980-12-01 1.628646
Name: seasonal, dtype: float64
Residual
YearMonth
1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 0.758258
1980-08-01 0.840720
1980-09-01 1.357674
1980-10-01 0.970771
1980-11-01 0.853378
1980-12-01 1.129646
Name: resid, dtype: float64
In [356…
residual.plot()
<AxesSubplot:xlabel='YearMonth'>
Out[356…
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For the multiplicative series, we see that a lot of residuals are located around 1.
Multiplicative Decomposition of Sparkling
In [357…
decompositionms = seasonal_decompose(dfs,model='multiplicative')
decompositionms.plot();
plt.savefig('decomposems.jpg', bbox_inches='tight');
In [358…
trend = decompositionms.trend
seasonality = decompositionms.seasonal
residual = decompositionms.resid
print('Trend','\n',trend.head(12),'\n')
print('Seasonality','\n',seasonality.head(12),'\n')
print('Residual','\n',residual.head(12),'\n')
trend.head(12).to_csv('spark_trend_m.csv')
seasonality.head(12).to_csv('spark_season_m.csv')
residual.head(12).to_csv('spark_resid_m.csv')
Trend
YearMonth
1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 2360.666667
1980-08-01 2351.333333
1980-09-01 2320.541667
1980-10-01 2303.583333
1980-11-01 2302.041667
1980-12-01 2293.791667
Name: trend, dtype: float64
Seasonality
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Seasonality
YearMonth
1980-01-01 0.649843
1980-02-01 0.659214
1980-03-01 0.757440
1980-04-01 0.730351
1980-05-01 0.660609
1980-06-01 0.603468
1980-07-01 0.809164
1980-08-01 0.918822
1980-09-01 0.894367
1980-10-01 1.241789
1980-11-01 1.690158
1980-12-01 2.384776
Name: seasonal, dtype: float64
Residual
YearMonth
1980-01-01 NaN
1980-02-01 NaN
1980-03-01 NaN
1980-04-01 NaN
1980-05-01 NaN
1980-06-01 NaN
1980-07-01 1.029230
1980-08-01 1.135407
1980-09-01 0.955954
1980-10-01 0.907513
1980-11-01 1.050423
1980-12-01 0.946770
Name: resid, dtype: float64
In [359…
cvsm = residual.std()/residual.mean()
cvsm
0.13886244212828963
Out[359…
Split the data into train and test and plot the
training and test data. [Test Data should start
from 1991]
In [360…
# ROSE DATA SPLIT
rtrain = dfr[dfr.index<'1991']
rtest = dfr[dfr.index>='1991']
In [361…
# SPARKLING DATA SPLIT
strain = dfs[dfs.index<'1991']
stest = dfs[dfs.index>='1991']
In [362…
print(rtrain.shape)
print(rtest.shape)
(132, 1)
(55, 1)
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In [363…
print(strain.shape)
print(stest.shape)
(132, 1)
(55, 1)
In [364…
from IPython.display import display
In [365…
# ROSE DATA TRAIN AND TEST
print('First few rows of Rose Training Data')
display(rtrain.head())
print('Last few rows of Rose Training Data')
display(rtrain.tail())
print('First few rows of Rose Test Data')
display(rtest.head())
print('Last few rows of Rose Test Data')
display(rtest.tail())
rtrain.to_csv('rose_train.csv')
rtest.to_csv('rose_test.csv')
First few rows of Rose Training Data
Rose
YearMonth
1980-01-01 112.0
1980-02-01 118.0
1980-03-01 129.0
1980-04-01 99.0
1980-05-01 116.0
Last few rows of Rose Training Data
Rose
YearMonth
1990-08-01 70.0
1990-09-01 83.0
1990-10-01 65.0
1990-11-01 110.0
1990-12-01 132.0
First few rows of Rose Test Data
Rose
YearMonth
1991-01-01 54.0
1991-02-01 55.0
1991-03-01 66.0
1991-04-01 65.0
1991 05 01 60 0
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1991-05-01 60.0
Last few rows of Rose Test Data
Rose
YearMonth
1995-03-01 45.0
1995-04-01 52.0
1995-05-01 28.0
1995-06-01 40.0
1995-07-01 62.0
In [366…
# SPARKLING DATA TRAIN AND TEST
print('First few rows of Sparkling Training Data')
display(strain.head())
print('Last few rows of Sparkling Training Data')
display(strain.tail())
print('First few rows of Sparkling Test Data')
display(stest.head())
print('Last few rows of Sparkling Test Data')
display(stest.tail())
strain.to_csv('spark_train.csv')
stest.to_csv('spark_test.csv')
First few rows of Sparkling Training Data
Sparkling
YearMonth
1980-01-01 1686
1980-02-01 1591
1980-03-01 2304
1980-04-01 1712
1980-05-01 1471
Last few rows of Sparkling Training Data
Sparkling
YearMonth
1990-08-01 1605
1990-09-01 2424
1990-10-01 3116
1990-11-01 4286
1990-12-01 6047
First few rows of Sparkling Test Data
Sparkling
YearMonth
1991-01-01 1902
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1991-01-01 1902
1991-02-01 2049
1991-03-01 1874
1991-04-01 1279
1991-05-01 1432
Last few rows of Sparkling Test Data
Sparkling
YearMonth
1995-03-01 1897
1995-04-01 1862
1995-05-01 1670
1995-06-01 1688
1995-07-01 2031
In [367…
# ROSE DATA TRAIN TEST SPLIT TIME SERIES
rtrain['Rose'].plot(fontsize=14)
rtest['Rose'].plot(fontsize=14)
plt.grid()
plt.legend(['Training Data','Test Data'])
plt.title('Rose Data Train and Test Split', fontsize=17)
plt.savefig('rose_split_ts.jpg', bbox_inches='tight')
plt.show();
In [368…
# SPARKLING DATA TRAIN TEST SPLIT TIME SERIES
strain['Sparkling'].plot(fontsize=14)
stest['Sparkling'].plot(fontsize=14)
plt.grid()
plt.legend(['Training Data','Test Data'])
plt.title('Sparkling Data Train and Test Split', fontsize=17)
plt.savefig('spark_split_ts.jpg', bbox_inches='tight')
plt.show()
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<AxesSubplot:xlabel='YearMonth'>
Out[368…
<AxesSubplot:xlabel='YearMonth'>
Out[368…
<matplotlib.legend.Legend at 0x7ffecc759350>
Out[368…
Text(0.5, 1.0, 'Sparkling Data Train and Test Split')
Out[368…
Building different models and
comparing the accuracy metrics.
Model 1: Linear Regression on Rose
For this particular linear regression, we are going to regress the
'Rose' variable against the order of the occurrence. For this we need
to modify our training data before fitting it into a linear regression.
In [369…
rtrain.shape
rtest.shape
(132, 1)
Out[369…
(55, 1)
Out[369…
In [370…
train_time = [i+1 for i in range(len(rtrain))]
test_time = [i+133 for i in range(len(rtest))]
print('Training Time Instance :','\n',train_time)
print('Test Time Instance :','\n',test_time)
Training Time Instance :
[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20,
21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 3
9, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 5
7, 58, 59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72, 73, 74, 7
5, 76, 77, 78, 79, 80, 81, 82, 83, 84, 85, 86, 87, 88, 89, 90, 91, 92, 9
3, 94, 95, 96, 97, 98, 99, 100, 101, 102, 103, 104, 105, 106, 107, 108, 1
09, 110, 111, 112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123,
124, 125, 126, 127, 128, 129, 130, 131, 132]
Test Time Instance :
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Test Time Instance :
[133, 134, 135, 136, 137, 138, 139, 140, 141, 142, 143, 144, 145, 146, 1
47, 148, 149, 150, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161,
162, 163, 164, 165, 166, 167, 168, 169, 170, 171, 172, 173, 174, 175, 17
6, 177, 178, 179, 180, 181, 182, 183, 184, 185, 186, 187]
We see that we have successfully the generated the numerical time instance order
for both the training and test set. Now we will add these values in the training and
test set.
In [371…
LinearRegression_train = rtrain.copy()
LinearRegression_test = rtest.copy()
In [372…
LinearRegression_train['time'] = train_time
LinearRegression_test['time'] = test_time
print('First few rows of Training Data')
display(LinearRegression_train.head())
print('Last few rows of Training Data')
display(LinearRegression_train.tail())
print('First few rows of Test Data')
display(LinearRegression_test.head())
print('Last few rows of Test Data')
display(LinearRegression_test.tail())
First few rows of Training Data
Rose time
YearMonth
1980-01-01 112.0 1
1980-02-01 118.0 2
1980-03-01 129.0 3
1980-04-01 99.0 4
1980-05-01 116.0 5
Last few rows of Training Data
Rose time
YearMonth
1990-08-01 70.0 128
1990-09-01 83.0 129
1990-10-01 65.0 130
1990-11-01 110.0 131
1990-12-01 132.0 132
First few rows of Test Data
Rose time
YearMonth
1991-01-01 54.0 133
1991-02-01 55.0 134
1991-03-01 66.0 135
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1991-04-01 65.0 136
1991-05-01 60.0 137
Last few rows of Test Data
Rose time
YearMonth
1995-03-01 45.0 183
1995-04-01 52.0 184
1995-05-01 28.0 185
1995-06-01 40.0 186
1995-07-01 62.0 187
Now that our training and test data has been modified, let us go ahead use
LinearRegression to build the model on the training data and test the model on
–
the test data.
In [373…
from sklearn.linear_model import LinearRegression
In [374…
lr = LinearRegression()
In [375…
lr.fit(LinearRegression_train[['time']],LinearRegression_train['Rose'])
LinearRegression()
Out[375…
In [376…
train_predictions_model1 = lr.predict(LinearRegression_train[['ti
LinearRegression_train['RegOnTime'] = train_predictions_model1
test_predictions_model1 = lr.predict(LinearRegression_test[['time
LinearRegression_test['RegOnTime'] = test_predictions_model1
plt.plot(rtrain['Rose'], label='Train')
plt.plot(rtest['Rose'], label='Test')
plt.plot(LinearRegression_test['RegOnTime'], label='Regression On Time_Te
plt.title('Linear Regression Rose', fontsize=17)
plt.legend(loc='best')
plt.grid();
plt.savefig('lr_rose.jpg', bbox_inches='tight');
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Defining the functions for calculating the accuracy metrics.
In [377…
from sklearn import metrics
Model Evaluation
In [378…
rmse_model11_test = metrics.mean_squared_error(rtest['Rose'],test_predict
print("For RegressionOnTime forecast on the Test Data, RMSE is %3.3f " %
For RegressionOnTime forecast on the Test Data, RMSE is 15.269
In [379…
resultsDf = pd.DataFrame({'Test RMSE Rose': [rmse_model11_test]},index=['
resultsDf
Out[379… Test RMSE Rose
RegressionOnTime 15.268955
Model 1: Linear Regression Sparkling
In [380…
train_time = [i+1 for i in range(len(strain))]
test_time = [i+133 for i in range(len(stest))]
print('Training Time instance','\n',train_time)
print('Test Time instance','\n',test_time)
Training Time instance
[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20,
21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 3
9, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 5
7, 58, 59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72, 73, 74, 7
5, 76, 77, 78, 79, 80, 81, 82, 83, 84, 85, 86, 87, 88, 89, 90, 91, 92, 9
3, 94, 95, 96, 97, 98, 99, 100, 101, 102, 103, 104, 105, 106, 107, 108, 1
09, 110, 111, 112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123,
124, 125, 126, 127, 128, 129, 130, 131, 132]
Test Time instance
[133, 134, 135, 136, 137, 138, 139, 140, 141, 142, 143, 144, 145, 146, 1
47, 148, 149, 150, 151, 152, 153, 154, 155, 156, 157, 158, 159, 160, 161,
162, 163, 164, 165, 166, 167, 168, 169, 170, 171, 172, 173, 174, 175, 17
6, 177, 178, 179, 180, 181, 182, 183, 184, 185, 186, 187]
We see that we have successfully the generated the numerical time instance order
for both the training and test set. Now we will add these values in the training and
test set.
In [381…
LinearRegression_train = strain.copy()
LinearRegression_test = stest.copy()
In [382…
LinearRegression_train['time'] = train_time
LinearRegression_test['time'] = test_time
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print('First few rows of Training Data')
display(LinearRegression_train.head())
print('Last few rows of Training Data')
display(LinearRegression_train.tail())
print('First few rows of Test Data')
display(LinearRegression_test.head())
print('Last few rows of Test Data')
display(LinearRegression_test.tail())
First few rows of Training Data
Sparkling time
YearMonth
1980-01-01 1686 1
1980-02-01 1591 2
1980-03-01 2304 3
1980-04-01 1712 4
1980-05-01 1471 5
Last few rows of Training Data
Sparkling time
YearMonth
1990-08-01 1605 128
1990-09-01 2424 129
1990-10-01 3116 130
1990-11-01 4286 131
1990-12-01 6047 132
First few rows of Test Data
Sparkling time
YearMonth
1991-01-01 1902 133
1991-02-01 2049 134
1991-03-01 1874 135
1991-04-01 1279 136
1991-05-01 1432 137
Last few rows of Test Data
Sparkling time
YearMonth
1995-03-01 1897 183
1995-04-01 1862 184
1995-05-01 1670 185
1995-06-01 1688 186
1995-07-01 2031 187
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Now that our training and test data has been modified, let us go ahead use
LinearRegression to build the model on the training data and test the model on
–
the test data.
In [383…
from sklearn.linear_model import LinearRegression
In [384…
lr = LinearRegression()
In [385…
lr.fit(LinearRegression_train[['time']],LinearRegression_train['Sparkling
LinearRegression()
Out[385…
In [386…
train_predictions_model1 = lr.predict(LinearRegression_train[['ti
LinearRegression_train['RegOnTime'] = train_predictions_model1
test_predictions_model1 = lr.predict(LinearRegression_test[['time
LinearRegression_test['RegOnTime'] = test_predictions_model1
plt.plot(strain['Sparkling'], label='Train')
plt.plot(stest['Sparkling'], label='Test')
plt.plot(LinearRegression_test['RegOnTime'], label='Regression On Time_Te
plt.legend(loc='best')
plt.title('Linear Regression Sparkling', fontsize=16)
plt.grid();
plt.savefig('spark_lr.jpg', bbox_inches='tight');
Defining the functions for calculating the accuracy metrics.
In [387…
from sklearn import metrics
Model Evaluation
In [388…
rmse_model12_test = metrics.mean_squared_error(stest['Sparkling'],test_pr
print("For RegressionOnTime forecast on the Test Data, RMSE is %3.3f " %
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For RegressionOnTime forecast on the Test Data, RMSE is 1389.135
In [389…
resultsDf_12 = pd.DataFrame({'Test RMSE Sparkling': [rmse_model12_test]},
resultsDf = pd.merge(resultsDf, resultsDf_12, left_index=True, right_inde
resultsDf.to_csv('results_lr.csv')
resultsDf
Out[389… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
Model 2: Naive Approach Rose : y^t+1 = yt
For this particular naive model, we say that the prediction for
tomorrow is the same as today and the prediction for day after
tomorrow is tomorrow and since the prediction of tomorrow is
same as today,therefore the prediction for day after tomorrow is
also today.
In [390…
NaiveModel_train = rtrain.copy()
NaiveModel_test = rtest.copy()
In [391…
rtrain.tail()
Out[391… Rose
YearMonth
1990-08-01 70.0
1990-09-01 83.0
1990-10-01 65.0
1990-11-01 110.0
1990-12-01 132.0
In [392…
NaiveModel_test['naive'] = np.asarray(rtrain['Rose'])[len(np.asarray(rtra
NaiveModel_test['naive'].head()
YearMonth
Out[392…
1991-01-01 132.0
1991-02-01 132.0
1991-03-01 132.0
1991-04-01 132.0
1991-05-01 132.0
Name: naive, dtype: float64
In [393…
plt.plot(NaiveModel_train['Rose'], label='Train')
plt.plot(rtest['Rose'], label='Test')
plt.plot(NaiveModel_test['naive'], label='Naive Forecast on Test Data')
plt.legend(loc='best')
plt.title("Naive Forecast - Rose", fontsize=17)
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plt.grid();
plt.savefig('rose_naive.jpg', bbox_inches='tight');
Model Evaluation
In [394…
rmse_model21_test = metrics.mean_squared_error(rtest['Rose'],NaiveModel_t
print("For NaiveModel forecast on the Test Data, RMSE is %3.3f" %(rmse_m
For NaiveModel forecast on the Test Data, RMSE is 79.719
In [395…
resultsDf
Out[395… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
In [396…
resultsDf_21 = pd.DataFrame({'Test RMSE Rose': [rmse_model21_test]},index
# resultsDf = pd.concat([resultsDf, resultsDf_3], ignore_index=True)
# resultsDf
# resultsDf_3 = pd.DataFrame({'Test RMSE Rose': [rmse_model2_test]},index
# resultsDf.join(resultsDf_3, how='inner')
# resultsDf = pd.merge(resultsDf, resultsDf_21, left_index=True, right_in
# resultsDf
Model 2: Naive Approach Sparkling : y^t+1 = yt
For this particular naive model, we say that the prediction for
tomorrow is the same as today and the prediction for day after
tomorrow is tomorrow and since the prediction of tomorrow is
same as today,therefore the prediction for day after tomorrow is
also today.
In [397…
NaiveModel_train = strain.copy()
NaiveModel test = stest copy()
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NaiveModel_test = stest.copy()
In [398…
strain.tail()
Out[398… Sparkling
YearMonth
1990-08-01 1605
1990-09-01 2424
1990-10-01 3116
1990-11-01 4286
1990-12-01 6047
In [399…
NaiveModel_test['naive'] = np.asarray(strain['Sparkling'])[len(np.asarray
NaiveModel_test['naive'].head()
YearMonth
Out[399…
1991-01-01 6047
1991-02-01 6047
1991-03-01 6047
1991-04-01 6047
1991-05-01 6047
Name: naive, dtype: int64
In [400…
plt.plot(NaiveModel_train['Sparkling'], label='Train')
plt.plot(stest['Sparkling'], label='Test')
plt.plot(NaiveModel_test['naive'], label='Naive Forecast on Test Data')
plt.legend(loc='best')
plt.title("Naive Forecast - Sparkling", fontsize=17)
plt.grid();
plt.savefig('Sparkling_naive.jpg', bbox_inches='tight');
Model Evaluation
In [401…
d l22 t t t i d ( t t['S kli '] N i M
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In [401…
rmse_model22_test = metrics.mean_squared_error(stest['Sparkling'],NaiveMo
print("For NaiveModel forecast on the Test Data, RMSE is %3.3f" %(rmse_m
For NaiveModel forecast on the Test Data, RMSE is 3864.279
In [402…
resultsDf
Out[402… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
In [403…
resultsDf_21
Out[403… Test RMSE Rose
NaiveModel 79.718773
In [404…
resultsDf_22 = pd.DataFrame({'Test RMSE Sparkling': [rmse_model22_test]},
# resultsDf = pd.concat([resultsDf, resultsDf_3], ignore_index=True)
# resultsDf
# resultsDf_3 = pd.DataFrame({'Test RMSE Rose': [rmse_model2_test]},index
# resultsDf.join(resultsDf_3, how='inner')
resultsDf1 = resultsDf_21.join(resultsDf_22, how='outer')
resultsDf1
Out[404… Test RMSE Rose Test RMSE Sparkling
NaiveModel 79.718773 3864.279352
In [405…
resultsDf3 = pd.concat([resultsDf, resultsDf1], axis=0)
resultsDf3
Out[405… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
In [406…
resultsDf = resultsDf3.copy()
resultsDf.to_csv('results_nb.csv')
resultsDf
Out[406… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
Model 3: Simple Average Rose
For this particular simple average method we will forecast by using
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For this particular simple average method, we will forecast by using
the average of the training values.
In [407…
SimpleAverage_train = rtrain.copy()
SimpleAverage_test = rtest.copy()
In [408…
SimpleAverage_test['mean_forecast'] = rtrain['Rose'].mean()
SimpleAverage_test.head()
Out[408… Rose mean_forecast
YearMonth
1991-01-01 54.0 104.939394
1991-02-01 55.0 104.939394
1991-03-01 66.0 104.939394
1991-04-01 65.0 104.939394
1991-05-01 60.0 104.939394
In [409…
plt.plot(SimpleAverage_train['Rose'], label='Train')
plt.plot(SimpleAverage_test['Rose'], label='Test')
plt.plot(SimpleAverage_test['mean_forecast'], label='Simple Average on Te
plt.legend(loc='best')
plt.title("Simple Average Forecast - Rose", fontsize=17)
plt.grid();
plt.savefig('rose_simpleaverage.jpg', bbox_inches='tight');
Model Evaluation
In [410…
rmse_model31_test = metrics.mean_squared_error(rtest['Rose'],SimpleAverag
print("For Simple Average forecast on Rose Test Data, RMSE is %3.3f" %(r
For Simple Average forecast on Rose Test Data, RMSE is 53.461
In [411…
resultsDf 31 = pd.DataFrame({'Test RMSE Rose': [rmse model31 test]}
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resultsDf_31 = pd.DataFrame({ Test RMSE Rose : [rmse_model31_test]}
,index=['SimpleAverageModel'])
resultsDf_31
# resultsDf = pd.concat([resultsDf, resultsDf_3])
# resultsDf
Out[411… Test RMSE Rose
SimpleAverageModel 53.46057
Model 3: Simple Average Sparkling
For this particular simple average method, we will forecast by using
the average of the training values.
In [412…
SimpleAverage_train = strain.copy()
SimpleAverage_test = stest.copy()
In [413…
SimpleAverage_test['mean_forecast'] = strain['Sparkling'].mean()
SimpleAverage_test.head()
Out[413… Sparkling mean_forecast
YearMonth
1991-01-01 1902 2403.780303
1991-02-01 2049 2403.780303
1991-03-01 1874 2403.780303
1991-04-01 1279 2403.780303
1991-05-01 1432 2403.780303
In [414…
plt.plot(SimpleAverage_train['Sparkling'], label='Train')
plt.plot(SimpleAverage_test['Sparkling'], label='Test')
plt.plot(SimpleAverage_test['mean_forecast'], label='Simple Average on Te
plt.legend(loc='best')
plt.title("Simple Average Forecast - Sparkling", fontsize=17)
plt.grid();
plt.savefig('Sparkling_simpleaverage.jpg', bbox_inches='tight');
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Model Evaluation
In [415…
rmse_model32_test = metrics.mean_squared_error(stest['Sparkling'],SimpleA
print("For Simple Average forecast on Sparkling Test Data, RMSE is %3.3f
For Simple Average forecast on Sparkling Test Data, RMSE is 1275.082
In [416…
resultsDf_32 = pd.DataFrame({'Test RMSE Sparkling': [rmse_model32_test]}
,index=['SimpleAverageModel'])
resultsDf_32
# resultsDf = pd.concat([resultsDf, resultsDf_3])
# resultsDf
Out[416… Test RMSE Sparkling
SimpleAverageModel 1275.081804
In [417…
resultsDf4 = resultsDf_31.join(resultsDf_32, how='outer')
resultsDf4
Out[417… Test RMSE Rose Test RMSE Sparkling
SimpleAverageModel 53.46057 1275.081804
In [418…
resultsDf5 = pd.concat([resultsDf, resultsDf4], axis=0)
resultsDf5
Out[418… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
In [419…
resultsDf = resultsDf5.copy()
resultsDf.to_csv('results_sa.csv')
resultsDf
Out[419… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
Model 4: Moving Average(MA) - Rose
For the moving average model, we are going to calculate rolling
means (or moving averages) for different intervals. The best
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means (or moving averages) for different intervals. The best
interval can be determined by the maximum accuracy (or the
minimum error) over here.
For Moving Average, we are going to average over the entire data.
In [420…
MovingAverage = dfr.copy()
MovingAverage.head()
Out[420… Rose
YearMonth
1980-01-01 112.0
1980-02-01 118.0
1980-03-01 129.0
1980-04-01 99.0
1980-05-01 116.0
Trailing moving averages
In [421…
MovingAverage['Trailing_2'] = MovingAverage['Rose'].rolling(2).mean()
MovingAverage['Trailing_4'] = MovingAverage['Rose'].rolling(4).mean()
MovingAverage['Trailing_6'] = MovingAverage['Rose'].rolling(6).mean()
MovingAverage['Trailing_9'] = MovingAverage['Rose'].rolling(9).mean()
MovingAverage.head()
Out[421… Rose Trailing_2 Trailing_4 Trailing_6 Trailing_9
YearMonth
1980-01-01 112.0 NaN NaN NaN NaN
1980-02-01 118.0 115.0 NaN NaN NaN
1980-03-01 129.0 123.5 NaN NaN NaN
1980-04-01 99.0 114.0 114.5 NaN NaN
1980-05-01 116.0 107.5 115.5 NaN NaN
In [422…
## Plotting on the whole data
plt.plot(MovingAverage['Rose'], label='Train')
plt.plot(MovingAverage['Trailing_2'], label='2 Point Moving Average')
plt.plot(MovingAverage['Trailing_4'], label='4 Point Moving Average')
plt.plot(MovingAverage['Trailing_6'],label = '6 Point Moving Average')
plt.plot(MovingAverage['Trailing_9'],label = '9 Point Moving Average')
plt.legend(loc = 'best')
plt.grid();
plt.title('Moving Average Forecast - Rose', fontsize=17)
plt.savefig('rose_ma.jpg', bbox_inches='tight');
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Let us split the data into train and test and plot this Time Series. The window of the
moving average is need to be carefully selected as too big a window will result in
not having any test set as the whole series might get averaged over.
In [423…
#Creating train and test set
trailing_MovingAverage_train=MovingAverage[MovingAverage.index<'1991']
trailing_MovingAverage_test=MovingAverage[MovingAverage.index>='1991']
In [424…
## Plotting on both the Training and Test data
plt.figure(figsize=(16,9))
plt.plot(trailing_MovingAverage_train['Rose'], label='Train')
plt.plot(trailing_MovingAverage_test['Rose'], label='Test')
plt.plot(trailing_MovingAverage_test['Trailing_2'], label='2 Point Traili
plt.plot(trailing_MovingAverage_test['Trailing_4'], label='4 Point Traili
plt.plot(trailing_MovingAverage_test['Trailing_6'],label = '6 Point Trail
plt.plot(trailing_MovingAverage_test['Trailing_9'],label = '9 Point Trail
plt.legend(loc = 'best')
plt.grid();
plt.title('Moving Average Forecast - Rose', fontsize=17);
plt.savefig('rose_ma_test.jpg', bbox_inches='tight');
Model Evaluation
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Done only on the test data.
In [425…
## Test Data - RMSE --> 2 point Trailing MA
rmse_model4_test_2 = metrics.mean_squared_error(rtest['Rose'],trailing_Mo
print("For 2 point Moving Average Model forecast on Rose Training Data,
## Test Data - RMSE --> 4 point Trailing MA
rmse_model4_test_4 = metrics.mean_squared_error(rtest['Rose'],trailing_Mo
print("For 4 point Moving Average Model forecast on Rose Training Data,
## Test Data - RMSE --> 6 point Trailing MA
rmse_model4_test_6 = metrics.mean_squared_error(rtest['Rose'],trailing_Mo
print("For 6 point Moving Average Model forecast on Rose Training Data,
## Test Data - RMSE --> 9 point Trailing MA
rmse_model4_test_9 = metrics.mean_squared_error(rtest['Rose'],trailing_Mo
print("For 9 point Moving Average Model forecast on Rose Training Data,
For 2 point Moving Average Model forecast on Rose Training Data, RMSE is
11.529
For 4 point Moving Average Model forecast on Rose Training Data, RMSE is
14.451
For 6 point Moving Average Model forecast on Rose Training Data, RMSE is
14.566
For 9 point Moving Average Model forecast on Rose Training Data, RMSE is
14.728
In [426…
resultsDf_41 = pd.DataFrame({'Test RMSE Rose': [rmse_model4_test_2,rmse_m
,rmse_model4_test_6,rmse_model4
,index=['2pointTrailingMovingAverage','4pointT
,'6pointTrailingMovingAverage','9point
resultsDf_41.to_csv('rose_ma.csv')
resultsDf_41
Out[426… Test RMSE Rose
2pointTrailingMovingAverage 11.529278
4pointTrailingMovingAverage 14.451403
6pointTrailingMovingAverage 14.566327
9pointTrailingMovingAverage 14.727630
Method 4: Moving Average(MA) - Sparkling
In [427…
MovingAverage = dfs.copy()
MovingAverage.head()
Out[427… Sparkling
YearMonth
1980-01-01 1686
1980 02 01 1591
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1980-02-01 1591
1980-03-01 2304
1980-04-01 1712
1980-05-01 1471
Trailing moving averages
In [428…
MovingAverage['Trailing_2'] = MovingAverage['Sparkling'].rolling(2).mean(
MovingAverage['Trailing_4'] = MovingAverage['Sparkling'].rolling(4).mean(
MovingAverage['Trailing_6'] = MovingAverage['Sparkling'].rolling(6).mean(
MovingAverage['Trailing_9'] = MovingAverage['Sparkling'].rolling(9).mean(
MovingAverage.head()
Out[428… Sparkling Trailing_2 Trailing_4 Trailing_6 Trailing_9
YearMonth
1980-01-01 1686 NaN NaN NaN NaN
1980-02-01 1591 1638.5 NaN NaN NaN
1980-03-01 2304 1947.5 NaN NaN NaN
1980-04-01 1712 2008.0 1823.25 NaN NaN
1980-05-01 1471 1591.5 1769.50 NaN NaN
In [429…
## Plotting on the whole data
plt.plot(MovingAverage['Sparkling'], label='Train')
plt.plot(MovingAverage['Trailing_2'], label='2 Point Moving Average')
plt.plot(MovingAverage['Trailing_4'], label='4 Point Moving Average')
plt.plot(MovingAverage['Trailing_6'],label = '6 Point Moving Average')
plt.plot(MovingAverage['Trailing_9'],label = '9 Point Moving Average')
plt.legend(loc = 'best')
plt.grid();
plt.title('Moving Average - Sparkling', fontsize=17)
plt.savefig('spark_ma.jpg', bbox_inches='tight');
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Let us split the data into train and test and plot this Time Series. The window of the
moving average is need to be carefully selected as too big a window will result in
not having any test set as the whole series might get averaged over.
In [430…
#Creating train and test set
trailing_MovingAverage_train=MovingAverage[MovingAverage.index<'1991']
trailing_MovingAverage_test=MovingAverage[MovingAverage.index>='1991']
In [431…
## Plotting on Test data
plt.figure(figsize=(16,9))
plt.plot(trailing_MovingAverage_train['Sparkling'], label='Train')
plt.plot(trailing_MovingAverage_test['Sparkling'], label='Test')
plt.plot(trailing_MovingAverage_test['Trailing_2'], label='2 Point Traili
plt.plot(trailing_MovingAverage_test['Trailing_4'], label='4 Point Traili
plt.plot(trailing_MovingAverage_test['Trailing_6'],label = '6 Point Trail
plt.plot(trailing_MovingAverage_test['Trailing_9'],label = '9 Point Trail
plt.legend(loc = 'best')
plt.grid();
plt.title('Moving Average Forecast - Sparkling', fontsize=17)
plt.savefig('spark_ma_test.jpg', bbox_inches='tight');
Model Evaluation
Done only on the test data.
In [432…
## Test Data - RMSE --> 2 point Trailing MA
rmse_model4_test_2 = metrics.mean_squared_error(stest['Sparkling'],traili
print("For 2 point Moving Average Model forecast on Sparkling Training Da
## Test Data - RMSE --> 4 point Trailing MA
rmse_model4_test_4 = metrics.mean_squared_error(stest['Sparkling'],traili
print("For 4 point Moving Average Model forecast on Sparkling Training Da
## Test Data - RMSE --> 6 point Trailing MA
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rmse_model4_test_6 = metrics.mean_squared_error(stest['Sparkling'],traili
print("For 6 point Moving Average Model forecast on Sparkling Training Da
## Test Data - RMSE --> 9 point Trailing MA
rmse_model4_test_9 = metrics.mean_squared_error(stest['Sparkling'],traili
print("For 9 point Moving Average Model forecast on Sparkling Training Da
For 2 point Moving Average Model forecast on Sparkling Training Data, RM
SE is 813.401
For 4 point Moving Average Model forecast on Sparkling Training Data, RM
SE is 1156.590
For 6 point Moving Average Model forecast on Sparkling Training Data, RM
SE is 1283.927
For 9 point Moving Average Model forecast on Sparkling Training Data, RM
SE is 1346.278
In [433…
resultsDf_42 = pd.DataFrame({'Test RMSE Sparkling': [rmse_model4_test_2,r
,rmse_model4_test_6,rmse_model4
,index=['2pointTrailingMovingAverage','4pointT
,'6pointTrailingMovingAverage','9point
resultsDf_42.to_csv('spark_ma.csv')
resultsDf_42
Out[433… Test RMSE Sparkling
2pointTrailingMovingAverage 813.400684
4pointTrailingMovingAverage 1156.589694
6pointTrailingMovingAverage 1283.927428
9pointTrailingMovingAverage 1346.278315
In [434…
resultsDf6 = resultsDf_41.join(resultsDf_42, how='outer')
resultsDf6
Out[434… Test RMSE Rose Test RMSE Sparkling
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
In [435…
resultsDf7 = pd.concat([resultsDf, resultsDf6], axis=0)
resultsDf7
Out[435… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
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po t a g o g e age . 5 03 56.58969
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
In [436…
resultsDf = resultsDf7.copy()
resultsDf.to_csv('results_ma.csv')
resultsDf
Out[436… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Consolidated plots of All Models- Rose
In [437…
# LR on Rose
train_time = [i+1 for i in range(len(rtrain))]
test_time = [i+133 for i in range(len(rtest))]
LinearRegression_train = rtrain.copy()
LinearRegression_test = rtest.copy()
LinearRegression_test['time'] = test_time
LinearRegression_train['time'] = train_time
lr = LinearRegression()
lr.fit(LinearRegression_train[['time']],LinearRegression_train['Rose'])
test_predictions_model1 = lr.predict(LinearRegression_test[['time
LinearRegression_test['RegOnTime'] = test_predictions_model1
# NB on Rose
NaiveModel_train = rtrain.copy()
NaiveModel_test = rtest.copy()
NaiveModel_test['naive'] = np.asarray(rtrain['Rose'])[len(np.asarray(rtra
# SA on Rose
SimpleAverage_train = rtrain.copy()
SimpleAverage_test = rtest.copy()
SimpleAverage_test['mean_forecast'] = rtrain['Rose'].mean()
# MA on Rose
MovingAverage = dfr.copy()
MovingAverage['Trailing_2'] = MovingAverage['Rose'].rolling(2).mean()
trailing_MovingAverage_test = MovingAverage[MovingAverage.index>='1991']
LinearRegression()
Out[437…
In [438…
## Plotting on both rtraining and rtest data
plt.plot(rtrain['Rose'], label='train')
plt plot(rtest['Rose'] label='test')
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plt.plot(rtest[ Rose ], label= test )
plt.plot(LinearRegression_test['RegOnTime'], label='Regression On Test Da
plt.plot(NaiveModel_test['naive'], label='Naive Forecast on test Data')
plt.plot(SimpleAverage_test['mean_forecast'], label='Simple Average on te
plt.plot(trailing_MovingAverage_test['Trailing_2'], label='2 Point Traili
plt.legend(loc='best')
plt.title("Model Comparison Plots - Rose", fontsize=17)
plt.grid();
Consolidated plots of All Models- Sparkling
In [439…
# LR on Sparkling
train_time = [i+1 for i in range(len(strain))]
test_time = [i+133 for i in range(len(stest))]
LinearRegression_train = strain.copy()
LinearRegression_test = stest.copy()
LinearRegression_test['time'] = test_time
LinearRegression_train['time'] = train_time
lr = LinearRegression()
lr.fit(LinearRegression_train[['time']],LinearRegression_train['Sparkling
test_predictions_model1 = lr.predict(LinearRegression_test[['time
LinearRegression_test['RegOnTime'] = test_predictions_model1
# NB on Sparkling
NaiveModel_train = strain.copy()
NaiveModel_test = stest.copy()
NaiveModel_test['naive'] = np.asarray(strain['Sparkling'])[len(np.asarray
# SA on Sparkling
SimpleAverage_train = strain.copy()
SimpleAverage_test = stest.copy()
SimpleAverage_test['mean_forecast'] = strain['Sparkling'].mean()
# MA on Sparkling
MovingAverage = dfs.copy()
MovingAverage['Trailing_2'] = MovingAverage['Sparkling'].rolling(2).mean(
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trailing_MovingAverage_test = MovingAverage[MovingAverage.index>='1991']
LinearRegression()
Out[439…
In [440…
## Plotting on both rtraining and rtest data
plt.plot(strain['Sparkling'], label='train')
plt.plot(stest['Sparkling'], label='test', c='yellow')
plt.plot(LinearRegression_test['RegOnTime'], label='Regression On Test Da
plt.plot(NaiveModel_test['naive'], label='Naive Forecast on test Data')
plt.plot(SimpleAverage_test['mean_forecast'], label='Simple Average on te
plt.plot(trailing_MovingAverage_test['Trailing_2'], label='2 Point Traili
plt.legend(loc='best')
plt.title("Model Comparison Plots - Sparkling", fontsize=17)
plt.grid();
Simple Exponential Smoothing, Holt's
Model (Double Exponential
Smoothing) & Holt-Winter's Model
(Triple Exponential Smoothing)
In [441…
# Importing the necessary packages
import statsmodels.tools.eval_measures as em
from statsmodels.tsa.api import ExponentialSmoothing, Simpl
SES - ETS(A, N, N) - Simple Exponential
Smoothing with additive errors - ROSE
In [ ]:
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SimpleExpSmoothing class must be instantiated and passed the training data.
The fit() function is then called providing the fit configuration, the alpha value,
smoothing_level. If this is omitted or set to None, the model will automatically
optimize the value.
In [442…
# create class
model_SES = SimpleExpSmoothing(rtrain,initialization_method='estimated' )
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [443…
# Fitting the Simple Exponential Smoothing model and asking python to cho
model_SES_autofit = model_SES.fit(optimized=True)
In [444…
## Let us check the parameters
model_SES_autofit.params
{'smoothing_level': 0.09874920899865502,
Out[444…
'smoothing_trend': nan,
'smoothing_seasonal': nan,
'damping_trend': nan,
'initial_level': 134.3871074301239,
'initial_trend': nan,
'initial_seasons': array([], dtype=float64),
'use_boxcox': False,
'lamda': None,
'remove_bias': False}
Here, Python has optimized the smoothing level to be almost 0.1
In [445…
# Using the fitted model on the training set to forecast on the test set
SES_predict_rose = model_SES_autofit.forecast(steps=len(rtest))
SES_predict_rose
1991-01-01 87.10498
Out[445…
1991-02-01 87.10498
1991-03-01 87.10498
1991-04-01 87.10498
1991-05-01 87.10498
1991-06-01 87.10498
1991-07-01 87.10498
1991-08-01 87.10498
1991-09-01 87.10498
1991-10-01 87.10498
1991-11-01 87.10498
1991-12-01 87.10498
1992-01-01 87.10498
1992-02-01 87.10498
1992-03-01 87.10498
1992-04-01 87.10498
1992-05-01 87.10498
1992-06-01 87.10498
1992-07-01 87.10498
1992-08-01 87.10498
1992 09 01 87 10498
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1992-09-01 87.10498
1992-10-01 87.10498
1992-11-01 87.10498
1992-12-01 87.10498
1993-01-01 87.10498
1993-02-01 87.10498
1993-03-01 87.10498
1993-04-01 87.10498
1993-05-01 87.10498
1993-06-01 87.10498
1993-07-01 87.10498
1993-08-01 87.10498
1993-09-01 87.10498
1993-10-01 87.10498
1993-11-01 87.10498
1993-12-01 87.10498
1994-01-01 87.10498
1994-02-01 87.10498
1994-03-01 87.10498
1994-04-01 87.10498
1994-05-01 87.10498
1994-06-01 87.10498
1994-07-01 87.10498
1994-08-01 87.10498
1994-09-01 87.10498
1994-10-01 87.10498
1994-11-01 87.10498
1994-12-01 87.10498
1995-01-01 87.10498
1995-02-01 87.10498
1995-03-01 87.10498
1995-04-01 87.10498
1995-05-01 87.10498
1995-06-01 87.10498
1995-07-01 87.10498
Freq: MS, dtype: float64
In [446…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(SES_predict_rose, label='Alpha = 0.09874 Simple Exponential Smoo
plt.legend(loc='best')
plt.grid()
plt.title('Alpha = 0.09874, Simple Exponential Smoothing - Rose', fontsiz
plt.savefig('rose_ses.jpg', bbox_inches='tight');
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In [447…
## Mean Absolute Percentage Error (MAPE) - Function Definition
def MAPE(y_true, y_pred):
return np.mean((np.abs(y_true-y_pred))/(y_true))*100
In [448…
print('SES RMSE:',mean_squared_error(rtest.values,SES_predict_rose.values
#different way to calculate RMSE
print('SES RMSE (calculated using statsmodels):',em.rmse(rtest.values,SES
SES RMSE: 36.79622482462249
SES RMSE (calculated using statsmodels): 36.796224824622485
In [449…
resultsDf_rses = pd.DataFrame({'Test RMSE Rose': [em.rmse(rtest.values,SE
resultsDf_rses
Out[449… Test RMSE Rose
Simple Exponential Smoothing 36.796225
In [ ]:
SES - ETS(A, N, N) - Simple Exponential
Smoothing with additive errors - SPARKLING
In [ ]:
SimpleExpSmoothing class must be instantiated and passed the training data.
The fit() function is then called providing the fit configuration, the alpha value,
smoothing_level. If this is omitted or set to None, the model will automatically
optimize the value.
In [450…
# create class
model_SES = SimpleExpSmoothing(strain,initialization_method='estimated' )
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [451…
# Fitting the Simple Exponential Smoothing model and asking python to cho
model_SES_autofit = model_SES.fit(optimized=True)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ho
ltwinters/model.py:922: ConvergenceWarning: Optimization failed to conver
ge. Check mle_retvals.
ConvergenceWarning,
In [452…
## Let us check the parameters
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## Let us check the parameters
model_SES_autofit.params
{'smoothing_level': 0.07028781460389563,
Out[452…
'smoothing_trend': nan,
'smoothing_seasonal': nan,
'damping_trend': nan,
'initial_level': 1763.9269926897732,
'initial_trend': nan,
'initial_seasons': array([], dtype=float64),
'use_boxcox': False,
'lamda': None,
'remove_bias': False}
In [453…
# Using the fitted model on the training set to forecast on the test set
SES_predict_spark = model_SES_autofit.forecast(steps=len(stest))
SES_predict_spark
1991-01-01 2804.662714
Out[453…
1991-02-01 2804.662714
1991-03-01 2804.662714
1991-04-01 2804.662714
1991-05-01 2804.662714
1991-06-01 2804.662714
1991-07-01 2804.662714
1991-08-01 2804.662714
1991-09-01 2804.662714
1991-10-01 2804.662714
1991-11-01 2804.662714
1991-12-01 2804.662714
1992-01-01 2804.662714
1992-02-01 2804.662714
1992-03-01 2804.662714
1992-04-01 2804.662714
1992-05-01 2804.662714
1992-06-01 2804.662714
1992-07-01 2804.662714
1992-08-01 2804.662714
1992-09-01 2804.662714
1992-10-01 2804.662714
1992-11-01 2804.662714
1992-12-01 2804.662714
1993-01-01 2804.662714
1993-02-01 2804.662714
1993-03-01 2804.662714
1993-04-01 2804.662714
1993-05-01 2804.662714
1993-06-01 2804.662714
1993-07-01 2804.662714
1993-08-01 2804.662714
1993-09-01 2804.662714
1993-10-01 2804.662714
1993-11-01 2804.662714
1993-12-01 2804.662714
1994-01-01 2804.662714
1994-02-01 2804.662714
1994-03-01 2804.662714
1994-04-01 2804.662714
1994-05-01 2804.662714
1994-06-01 2804.662714
1994-07-01 2804.662714
1994-08-01 2804.662714
1994-09-01 2804.662714
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1994-10-01 2804.662714
1994-11-01 2804.662714
1994-12-01 2804.662714
1995-01-01 2804.662714
1995-02-01 2804.662714
1995-03-01 2804.662714
1995-04-01 2804.662714
1995-05-01 2804.662714
1995-06-01 2804.662714
1995-07-01 2804.662714
Freq: MS, dtype: float64
In [454…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(SES_predict_spark, label='Alpha = 0.07028 Simple Exponential Smo
plt.legend(loc='best')
plt.grid()
plt.title('Alpha = 0.07028, Simple Exponential Smoothing - Sparkling', fo
plt.savefig('spark_ses.jpg', bbox_inches='tight');
In [455…
## Mean Absolute Percentage Error (MAPE) - Function Definition
def MAPE(y_true, y_pred):
return np.mean((np.abs(y_true-y_pred))/(y_true))*100
In [456…
print('SES RMSE:',mean_squared_error(stest.values,SES_predict_spark.value
#different way to calculate RMSE
print('SES RMSE (calculated using statsmodels):',em.rmse(rtest.values,SES
SES RMSE: 1338.0046232563645
SES RMSE (calculated using statsmodels): 2750.8533130338337
In [457…
resultsDf_sses = pd.DataFrame({'Test RMSE Sparkling': [em.rmse(stest.valu
resultsDf_sses
Out[457… Test RMSE Sparkling
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Simple Exponential Smoothing 1338.004623
In [458…
resultsDf7 = resultsDf_rses.join(resultsDf_sses, how='outer')
resultsDf7
Out[458… Test RMSE Rose Test RMSE Sparkling
Simple Exponential Smoothing 36.796225 1338.004623
In [459…
resultsDf8 = pd.concat([resultsDf, resultsDf7], axis=0)
resultsDf8
Out[459… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
In [460…
resultsDf = resultsDf8.copy()
In [ ]:
Holt - ETS(A, A, N) - Holt's linear method with
additive errors - Rose
Double Exponential Smoothing - Rose
One of the drawbacks of the simple exponential smoothing is that the model
does not do well in the presence of the trend.
This model is an extension of SES known as Double Exponential model which
estimates two smoothing parameters.
Applicable when data has Trend but no seasonality.
Two separate components are considered: Level and Trend.
Level is the local mean.
One smoothing parameter α corresponds to the level series
A second smoothing parameter β corresponds to the trend series.
In [461…
# Initializing the Double Exponential Smoothing Model
model_DES = Holt(rtrain,initialization_method='estimated')
# Fitting the model
fi ()
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model_DES = model_DES.fit()
print('')
print('Holt model Exponential Smoothing Estimated Parameters :')
print('')
print(model_DES.params)
Holt model Exponential Smoothing Estimated Parameters :
{'smoothing_level': 1.4901161193847656e-08, 'smoothing_trend': 5.44816977
4560283e-09, 'smoothing_seasonal': nan, 'damping_trend': nan, 'initial_le
vel': 137.81762949544608, 'initial_trend': -0.4943507283995123, 'initial_
seasons': array([], dtype=float64), 'use_boxcox': False, 'lamda': None,
'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [462…
# Forecasting using this model for the duration of the test set
DES_predict_rose = model_DES.forecast(len(rtest))
DES_predict_rose
1991-01-01 72.068983
Out[462…
1991-02-01 71.574632
1991-03-01 71.080281
1991-04-01 70.585930
1991-05-01 70.091580
1991-06-01 69.597229
1991-07-01 69.102878
1991-08-01 68.608528
1991-09-01 68.114177
1991-10-01 67.619826
1991-11-01 67.125475
1991-12-01 66.631125
1992-01-01 66.136774
1992-02-01 65.642423
1992-03-01 65.148072
1992-04-01 64.653722
1992-05-01 64.159371
1992-06-01 63.665020
1992-07-01 63.170669
1992-08-01 62.676319
1992-09-01 62.181968
1992-10-01 61.687617
1992-11-01 61.193267
1992-12-01 60.698916
1993-01-01 60.204565
1993-02-01 59.710214
1993-03-01 59.215864
1993-04-01 58.721513
1993-05-01 58.227162
1993-06-01 57.732811
1993-07-01 57.238461
1993-08-01 56.744110
1993-09-01 56.249759
1993-10-01 55.755409
1993-11-01 55.261058
1993-12-01 54.766707
1994-01-01 54.272356
1994-02-01 53.778006
1994-03-01 53.283655
1994-04-01 52.789304
1994-05-01 52.294953
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05 0 5 . 53
1994-06-01 51.800603
1994-07-01 51.306252
1994-08-01 50.811901
1994-09-01 50.317551
1994-10-01 49.823200
1994-11-01 49.328849
1994-12-01 48.834498
1995-01-01 48.340148
1995-02-01 47.845797
1995-03-01 47.351446
1995-04-01 46.857095
1995-05-01 46.362745
1995-06-01 45.868394
1995-07-01 45.374043
Freq: MS, dtype: float64
In [463…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(SES_predict_rose, label='Alpha=0.09874:Simple Exponential Smooth
plt.plot(DES_predict_rose, label='Alpha=0,Beta=0:Double Exponential Smoot
plt.legend(loc='best')
plt.grid()
plt.title('Simple and Double Exponential Smoothing Predictions - Rose', f
plt.savefig('rose_rdes.jpg', bbox_inches='tight');
We see that the double exponential smoothing is picking up the trend component
along with the level component as well.
In [464…
print('DES RMSE:',mean_squared_error(rtest.values,DES_predict_rose.values
DES RMSE: 15.27096843395306
In [465…
resultsDf_temp = pd.DataFrame({'Test RMSE Rose': [mean_squared_error(rtes
,index=['Double Exponential Smoothing'])
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
resultsDf_temp
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Out[465… Test RMSE Rose
Double Exponential Smoothing 15.270968
Holt - ETS(A, A, N) - Holt's linear method with
additive errors - Sparkling
Double Exponential Smoothing - Sparkling
In [466…
# Initializing the Double Exponential Smoothing Model
model_DES = Holt(strain,initialization_method='estimated')
# Fitting the model
model_DES = model_DES.fit()
print('')
print('Holt model Exponential Smoothing Estimated Parameters :')
print('')
print(model_DES.params)
Holt model Exponential Smoothing Estimated Parameters :
{'smoothing_level': 0.6649999999999999, 'smoothing_trend': 0.0001, 'smoot
hing_seasonal': nan, 'damping_trend': nan, 'initial_level': 1502.19999999
99998, 'initial_trend': 74.87272727272733, 'initial_seasons': array([], d
type=float64), 'use_boxcox': False, 'lamda': None, 'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ho
ltwinters/model.py:922: ConvergenceWarning: Optimization failed to conver
ge. Check mle_retvals.
ConvergenceWarning,
In [467…
# Forecasting using this model for the duration of the test set
DES_predict_spark = model_DES.forecast(len(stest))
DES_predict_spark
1991-01-01 5401.733026
Out[467…
1991-02-01 5476.005230
1991-03-01 5550.277433
1991-04-01 5624.549637
1991-05-01 5698.821840
1991-06-01 5773.094044
1991-07-01 5847.366248
1991-08-01 5921.638451
1991-09-01 5995.910655
1991-10-01 6070.182858
1991-11-01 6144.455062
1991-12-01 6218.727266
1992-01-01 6292.999469
1992-02-01 6367.271673
1992-03-01 6441.543876
1992-04-01 6515.816080
1992-05-01 6590.088284
1992-06-01 6664.360487
1992-07-01 6738.632691
1992-08-01 6812.904894
1992-09-01 6887.177098
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1992-10-01 6961.449302
1992-11-01 7035.721505
1992-12-01 7109.993709
1993-01-01 7184.265912
1993-02-01 7258.538116
1993-03-01 7332.810320
1993-04-01 7407.082523
1993-05-01 7481.354727
1993-06-01 7555.626930
1993-07-01 7629.899134
1993-08-01 7704.171338
1993-09-01 7778.443541
1993-10-01 7852.715745
1993-11-01 7926.987948
1993-12-01 8001.260152
1994-01-01 8075.532356
1994-02-01 8149.804559
1994-03-01 8224.076763
1994-04-01 8298.348967
1994-05-01 8372.621170
1994-06-01 8446.893374
1994-07-01 8521.165577
1994-08-01 8595.437781
1994-09-01 8669.709985
1994-10-01 8743.982188
1994-11-01 8818.254392
1994-12-01 8892.526595
1995-01-01 8966.798799
1995-02-01 9041.071003
1995-03-01 9115.343206
1995-04-01 9189.615410
1995-05-01 9263.887613
1995-06-01 9338.159817
1995-07-01 9412.432021
Freq: MS, dtype: float64
In [468…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(SES_predict_spark, label='Alpha=0.07028:Simple Exponential Smoot
plt.plot(DES_predict_spark, label='Alpha=0.665,Beta=0.0001:Double Exponen
plt.legend(loc='best')
plt.grid()
plt.title('Simple and Double Exponential Smoothing Predictions - Sparklin
plt.savefig('spark_des.jpg', bbox_inches='tight');
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In [469…
print('DES RMSE:',mean_squared_error(stest.values,DES_predict_spark.value
DES RMSE: 5291.879833226911
In [470…
resultsDf_temp1 = pd.DataFrame({'Test RMSE Sparkling': [mean_squared_erro
,index=['Double Exponential Smoothing'])
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
resultsDf_temp1
Out[470… Test RMSE Sparkling
Double Exponential Smoothing 5291.879833
In [471…
resultsDf9 = resultsDf_temp.join(resultsDf_temp1, how='outer')
resultsDf9
Out[471… Test RMSE Rose Test RMSE Sparkling
Double Exponential Smoothing 15.270968 5291.879833
In [472…
resultsDf10 = pd.concat([resultsDf, resultsDf9], axis=0)
resultsDf10
Out[472… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
In [473…
resultsDf = resultsDf10.copy()
resultsDf
Out[473… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
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2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Inference
Here, we see that the Double Exponential Smoothing has actually done well when
compared to the Simple Exponential Smoothing. This is because of the fact that the
Double Exponential Smoothing model has picked up the trend component as well.
Holt-Winters - ETS(A, A, A) - Holt Winter's
linear method with additive errors - ROSE
In [474…
# Initializing the Double Exponential Smoothing Model
model_TES = ExponentialSmoothing(rtrain,trend='additive',seasonal='additi
# Fitting the model
model_TES = model_TES.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.08491574907842013, 'smoothing_trend': 5.52054940887
45035e-06, 'smoothing_seasonal': 0.0005477182208247348, 'damping_trend':
nan, 'initial_level': 147.05898703809248, 'initial_trend': -0.54969814309
27392, 'initial_seasons': array([-31.16021285, -18.81317648, -10.8140689
6, -21.41413199,
-12.6036696 , -7.23553106, 2.76744902, 8.85548059,
4.83969803, 2.95125217, 21.07934859, 63.31472515]), 'use_box
cox': False, 'lamda': None, 'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [475…
# Forecasting using this model for the duration of the test set
TES_predict_add_rose = model_TES.forecast(len(rtest))
TES_predict_add_rose
1991-01-01 42.574560
Out[475…
1991-02-01 54.372099
1991-03-01 61.821511
1991-04-01 50.671639
1991-05-01 58.932400
1991-06-01 63.751320
1991-07-01 73.204015
1991-08-01 78.742349
1991-09-01 74.177124
1991-10-01 71.738917
1991 11 01 89 317129
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1991-11-01 89.317129
1991-12-01 131.006255
1992-01-01 35.978169
1992-02-01 47.775707
1992-03-01 55.225119
1992-04-01 44.075248
1992-05-01 52.336008
1992-06-01 57.154928
1992-07-01 66.607623
1992-08-01 72.145958
1992-09-01 67.580733
1992-10-01 65.142526
1992-11-01 82.720737
1992-12-01 124.409864
1993-01-01 29.381777
1993-02-01 41.179316
1993-03-01 48.628728
1993-04-01 37.478856
1993-05-01 45.739616
1993-06-01 50.558536
1993-07-01 60.011232
1993-08-01 65.549566
1993-09-01 60.984341
1993-10-01 58.546134
1993-11-01 76.124346
1993-12-01 117.813472
1994-01-01 22.785386
1994-02-01 34.582924
1994-03-01 42.032336
1994-04-01 30.882464
1994-05-01 39.143225
1994-06-01 43.962145
1994-07-01 53.414840
1994-08-01 58.953175
1994-09-01 54.387949
1994-10-01 51.949742
1994-11-01 69.527954
1994-12-01 111.217080
1995-01-01 16.188994
1995-02-01 27.986533
1995-03-01 35.435945
1995-04-01 24.286073
1995-05-01 32.546833
1995-06-01 37.365753
1995-07-01 46.818448
Freq: MS, dtype: float64
In [476…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(SES_predict_rose, label='Alpha=0.09874:Simple Exponential Smooth
plt.plot(DES_predict_rose, label='Alpha=0,Beta=0:Double Exponential Smoot
plt.plot(TES_predict_add_rose, label='Alpha=0.0849,Beta=0.0,Gamma=0.00054
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions- Ro
plt.savefig('rose_add_tes.jpg', bbox_inches='tight');
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We see that the Triple Exponential Smoothing is picking up the seasonal
component as well.
In [477…
print('TES RMSE:',mean_squared_error(rtest.values,TES_predict_add_rose.va
TES RMSE: 14.24323950074202
In [478…
resultsDf_temp = pd.DataFrame({'Test RMSE Rose': [mean_squared_error(rtes
,index=['Triple Exponential Smoothing (Additiv
import textwrap
textwrap.TextWrapper(resultsDf_temp.index)
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
resultsDf_temp
<textwrap.TextWrapper at 0x7ffece2f2b50>
Out[478…
Out[478… Test RMSE Rose
Triple Exponential Smoothing (Additive Season) 14.24324
Inference
Triple Exponential Smoothing has performed the best on the test as expected since
the data had both trend and seasonality.
In [ ]:
Holt-Winters - ETS(A, A, A) - Holt Winter's
linear method with additive errors -
SPARKLING
In [479…
# Initializing the Double Exponential Smoothing Model
model_TES = ExponentialSmoothing(strain,trend='additive',seasonal='additi
# Fitting the model
model_TES = model_TES.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
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p t( o t te s ode po e t a S oot g st ated a a ete s
print('')
print(model_TES.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.11127217859992398, 'smoothing_trend': 0.01236078328
796452, 'smoothing_seasonal': 0.4607177642170641, 'damping_trend': nan,
'initial_level': 2356.578308185137, 'initial_trend': -0.0185355681278949
2, 'initial_seasons': array([-636.23360535, -722.98363367, -398.6436108 ,
-473.43084469,
-808.42525514, -815.35024951, -384.23066987, 72.99508063,
-237.44272911, 272.32584554, 1541.3782103 , 2590.0775386 ]), 'use
_boxcox': False, 'lamda': None, 'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [480…
# Forecasting using this model for the duration of the test set
TES_predict_add_spark = model_TES.forecast(len(stest))
TES_predict_add_spark
1991-01-01 1490.574426
Out[480…
1991-02-01 1204.714325
1991-03-01 1688.941106
1991-04-01 1551.450810
1991-05-01 1461.440427
1991-06-01 1278.907163
1991-07-01 1805.164022
1991-08-01 1679.251392
1991-09-01 2315.687649
1991-10-01 3225.308906
1991-11-01 4299.652360
1991-12-01 6411.161332
1992-01-01 1483.296578
1992-02-01 1197.436477
1992-03-01 1681.663258
1992-04-01 1544.172962
1992-05-01 1454.162580
1992-06-01 1271.629315
1992-07-01 1797.886174
1992-08-01 1671.973544
1992-09-01 2308.409801
1992-10-01 3218.031058
1992-11-01 4292.374513
1992-12-01 6403.883484
1993-01-01 1476.018731
1993-02-01 1190.158629
1993-03-01 1674.385411
1993-04-01 1536.895114
1993-05-01 1446.884732
1993-06-01 1264.351467
1993-07-01 1790.608327
1993-08-01 1664.695696
1993-09-01 2301.131954
1993-10-01 3210.753211
1993-11-01 4285.096665
1993-12-01 6396.605637
1994-01-01 1468.740883
1994-02-01 1182.880782
1994-03-01 1667.107563
1994-04-01 1529.617267
1994-05-01 1439.606884
1994 06 01 1257 073620
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1994-06-01 1257.073620
1994-07-01 1783.330479
1994-08-01 1657.417849
1994-09-01 2293.854106
1994-10-01 3203.475363
1994-11-01 4277.818818
1994-12-01 6389.327789
1995-01-01 1461.463036
1995-02-01 1175.602934
1995-03-01 1659.829715
1995-04-01 1522.339419
1995-05-01 1432.329037
1995-06-01 1249.795772
1995-07-01 1776.052632
Freq: MS, dtype: float64
In [481…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(SES_predict_spark, label='Alpha=0.07028: Simple Exponential Smoo
plt.plot(DES_predict_spark, label='Alpha=0.665, Beta=0.0001:Double Expone
plt.plot(TES_predict_add_spark, label='Alpha=0.11127, Beta=0.01236, Gamma
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions- Sp
plt.savefig('spark_add_tes.jpg', bbox_inches='tight');
We see that the Triple Exponential Smoothing is picking up the seasonal
component as well.
In [482…
print('TES RMSE:',mean_squared_error(stest.values,TES_predict_add_spark.v
TES RMSE: 378.6262408893861
In [483…
resultsDf_temp1 = pd.DataFrame({'Test RMSE Sparkling': [mean_squared_erro
,index=['Triple Exponential Smoothing (Additiv
import textwrap
textwrap.TextWrapper(resultsDf_temp.index)
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# resultsDf = pd.concat([resultsDf, resultsDf_temp])
resultsDf_temp1
<textwrap.TextWrapper at 0x7ffece3ff050>
Out[483…
Out[483… Test RMSE Sparkling
Triple Exponential Smoothing (Additive Season) 378.626241
In [484…
resultsDf11 = resultsDf_temp.join(resultsDf_temp1, how='outer')
resultsDf11
Out[484… Test RMSE Rose Test RMSE Sparkling
Triple Exponential Smoothing (Additive Season) 14.24324 378.626241
In [485…
resultsDf12 = pd.concat([resultsDf, resultsDf11], axis=0)
resultsDf12
Out[485… Test RMSE Rose Test RMSE Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Triple Exponential Smoothing (Additive Season) 14.243240 378.626241
In [486…
resultsDf = resultsDf12.copy()
Holt-Winters - ETS(A, A, M) - Holt Winter's
linear method - ROSE
ETS(A, A, M) model - Taking MULTIPLICATIVE
SEASONALITY
In [487…
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(rtrain,trend='add',seasonal='multipli
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model TES am params)
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print(model_TES_am.params)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.07736040004765096, 'smoothing_trend': 0.03936496779
735522, 'smoothing_seasonal': 0.0008375039104357999, 'damping_trend': na
n, 'initial_level': 156.90674503596637, 'initial_trend': -0.9061396720042
346, 'initial_seasons': array([0.7142168 , 0.80982439, 0.88543128, 0.7736
3782, 0.87046319,
0.94699283, 1.04196135, 1.11012703, 1.04835489, 1.0276963 ,
1.19783562, 1.6514144 ]), 'use_boxcox': False, 'lamda': None, 'rem
ove_bias': False}
In [488…
# Forecasting using this model for the duration of the test set
TES_predict_am_rose = model_TES_am.forecast(len(rtest))
TES_predict_am_rose
1991-01-01 55.942246
Out[488…
1991-02-01 63.240624
1991-03-01 68.899674
1991-04-01 60.007486
1991-05-01 67.257150
1991-06-01 72.880875
1991-07-01 79.913317
1991-08-01 84.831135
1991-09-01 79.856761
1991-10-01 78.009465
1991-11-01 90.608817
1991-12-01 124.421985
1992-01-01 53.620022
1992-02-01 60.606323
1992-03-01 66.019647
1992-04-01 57.490388
1992-05-01 64.426058
1992-06-01 69.802261
1992-07-01 76.525716
1992-08-01 81.222314
1992-09-01 76.447471
1992-10-01 74.667150
1992-11-01 86.712771
1992-12-01 119.052784
1993-01-01 51.297798
1993-02-01 57.972023
1993-03-01 63.139621
1993-04-01 54.973289
1993-05-01 61.594966
1993-06-01 66.723648
1993-07-01 73.138115
1993-08-01 77.613494
1993-09-01 73.038180
1993-10-01 71.324834
1993-11-01 82.816725
1993-12-01 113.683583
1994-01-01 48.975574
1994-02-01 55.337723
1994-03-01 60.259594
1994-04-01 52.456191
1994-05-01 58.763874
1994-06-01 63.645034
1994-07-01 69.750514
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1994-08-01 74.004674
1994-09-01 69.628889
1994-10-01 67.982518
1994-11-01 78.920680
1994-12-01 108.314382
1995-01-01 46.653350
1995-02-01 52.703422
1995-03-01 57.379568
1995-04-01 49.939092
1995-05-01 55.932782
1995-06-01 60.566420
1995-07-01 66.362913
Freq: MS, dtype: float64
In [489…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(SES_predict_rose, label='Alpha=0.09874:Simple Exponential Smooth
plt.plot(DES_predict_rose, label='Alpha=0,Beta=0:Double Exponential Smoot
plt.plot(TES_predict_add_rose, label='Alpha=0.0849,Beta=0.0,Gamma=0.00054
plt.plot(TES_predict_am_rose, label='Alpha=0.07736,Beta=0.03936,Gamma=0.0
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions (Mu
plt.savefig('rose_mul_tes.jpg', bbox_inches='tight');
Report model accuracy
In [490…
print('TES_am RMSE_rose:',mean_squared_error(rtest.values,TES_predict_am_
TES_am RMSE_rose: 19.113110215160134
In [491…
# resultsDf_temp = pd.DataFrame({'Test RMSE': [mean_squared_error(test.va
# ,index=['Alpha=0.74,Beta=2.73e-06,Gamma=5.2e
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
# resultsDf
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resultsDf_temp = pd.DataFrame({'Test RMSE Rose': [mean_squared_error(rtes
,index=['Triple Exponential Smoothing (Multipl
resultsDf_temp
Out[491… Test RMSE Rose
Triple Exponential Smoothing (Multiplicative Season) 19.11311
We see that the multiplicative seasonality model has not done that well when
compared to the additive seasonality Triple Exponential Smoothing model.
In [ ]:
Holt-Winters - ETS(A, A, M) - Holt Winter's
linear method - SPARKLING
ETS(A, A, M) model - Taking MULTIPLICATIVE
SEASONALITY
In [492…
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(strain,trend='add',seasonal='multipli
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES_am.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.11119949831569428, 'smoothing_trend': 0.04943092002
3313805, 'smoothing_seasonal': 0.3620525701498937, 'damping_trend': nan,
'initial_level': 2356.5264391986907, 'initial_trend': -9.443690175376352,
'initial_seasons': array([0.71325627, 0.68332509, 0.90537798, 0.80561841,
0.65639659,
0.65451508, 0.88690241, 1.13423953, 0.91927727, 1.21396745,
1.86941738, 2.3734461 ]), 'use_boxcox': False, 'lamda': None, 'rem
ove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [493…
# Forecasting using this model for the duration of the test set
TES_predict_am_spark = model_TES_am.forecast(len(stest))
TES_predict_am_spark
1991-01-01 1587.685845
Out[493…
1991-02-01 1356.590237
1991-03-01 1763.121866
1991-04-01 1656.379813
1991-05-01 1542.186697
1991-06-01 1355.276292
1991-07-01 1854.460265
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1991-08-01 1820.822870
1991-09-01 2277.203230
1991-10-01 3122.460625
1991-11-01 4129.148636
1991-12-01 5891.184787
1992-01-01 1538.578232
1992-02-01 1314.522051
1992-03-01 1708.305381
1992-04-01 1604.748228
1992-05-01 1493.989468
1992-06-01 1312.809887
1992-07-01 1796.200235
1992-08-01 1763.469447
1992-09-01 2205.285676
1992-10-01 3023.588340
1992-11-01 3998.053790
1992-12-01 5703.651532
1993-01-01 1489.470618
1993-02-01 1272.453864
1993-03-01 1653.488895
1993-04-01 1553.116644
1993-05-01 1445.792238
1993-06-01 1270.343481
1993-07-01 1737.940206
1993-08-01 1706.116024
1993-09-01 2133.368122
1993-10-01 2924.716056
1993-11-01 3866.958944
1993-12-01 5516.118277
1994-01-01 1440.363005
1994-02-01 1230.385677
1994-03-01 1598.672409
1994-04-01 1501.485059
1994-05-01 1397.595009
1994-06-01 1227.877076
1994-07-01 1679.680177
1994-08-01 1648.762600
1994-09-01 2061.450568
1994-10-01 2825.843772
1994-11-01 3735.864098
1994-12-01 5328.585023
1995-01-01 1391.255391
1995-02-01 1188.317490
1995-03-01 1543.855924
1995-04-01 1449.853475
1995-05-01 1349.397780
1995-06-01 1185.410670
1995-07-01 1621.420148
Freq: MS, dtype: float64
In [494…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(SES_predict_spark, label='Alpha=0.07028: Simple Exponential Smoo
plt.plot(DES_predict_spark, label='Alpha=0.665, Beta=0.0001:Double Expone
plt.plot(TES_predict_add_spark, label='Alpha=0.11119, Beta=0.01236, Gamma
plt.plot(TES_predict_am_spark, label='Alpha=0.07736, Beta=0.04943, Gamma=
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions (Mu
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plt.savefig('spark_mul_tes.jpg', bbox_inches='tight');
Report model accuracy
In [495…
print('TES_am RMSE_spark:',mean_squared_error(stest.values,TES_predict_am
TES_am RMSE_spark: 403.7062277856435
In [496…
# resultsDf_temp = pd.DataFrame({'Test RMSE': [mean_squared_error(test.va
# ,index=['Alpha=0.74,Beta=2.73e-06,Gamma=5.2e
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
# resultsDf
resultsDf_temp1 = pd.DataFrame({'Test RMSE Sparkling': [mean_squared_erro
,index=['Triple Exponential Smoothing (Multipl
resultsDf_temp1
Out[496… Test RMSE Sparkling
Triple Exponential Smoothing (Multiplicative Season) 403.706228
In [497…
resultsDf13 = resultsDf_temp.join(resultsDf_temp1, how='outer')
resultsDf13
Out[497… Test RMSE Test RMSE
Rose Sparkling
Triple Exponential Smoothing (Multiplicative
19.11311 403.706228
Season)
In [498…
resultsDf14 = pd.concat([resultsDf, resultsDf13], axis=0)
resultsDf14
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Out[498… Test RMSE Test RMSE
Rose Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Triple Exponential Smoothing (Additive Season) 14.243240 378.626241
Triple Exponential Smoothing (Multiplicative
19.113110 403.706228
Season)
In [499…
resultsDf = resultsDf14.copy()
resultsDf
Out[499… Test RMSE Test RMSE
Rose Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Triple Exponential Smoothing (Additive Season) 14.243240 378.626241
Triple Exponential Smoothing (Multiplicative
19.113110 403.706228
Season)
In [500…
resultsDf.to_csv('results_all.csv')
In [ ]:
Holt-Winters - ETS(A, Ad, A) - Holt Winter's
linear method with additive errors - ROSE
USING DAMPED TREND
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In [501…
# Initializing the Double Exponential Smoothing Model
model_TES = ExponentialSmoothing(rtrain,trend='additive',seasonal='additi
# Fitting the model
model_TES = model_TES.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.078427104063884, 'smoothing_trend': 0.0115386643341
7042, 'smoothing_seasonal': 0.07738829492070835, 'damping_trend': 0.97503
77514944137, 'initial_level': 154.9897068813286, 'initial_trend': -1.5499
014050433666, 'initial_seasons': array([-30.30786975, -18.40126802, -10.4
8833896, -22.28116478,
-13.28355027, -6.39129518, 3.09819437, 10.14129915,
6.22649505, 3.88233102, 21.66685209, 65.85365321]), 'use_box
cox': False, 'lamda': None, 'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [502…
# Forecasting using this model for the duration of the test set
TES_predict_add_damp_rose = model_TES.forecast(len(rtest))
TES_predict_add_damp_rose
1991-01-01 48.231055
Out[502…
1991-02-01 61.045359
1991-03-01 68.342667
1991-04-01 58.197362
1991-05-01 65.575659
1991-06-01 70.640514
1991-07-01 79.851872
1991-08-01 85.224146
1991-09-01 83.117518
1991-10-01 81.244162
1991-11-01 99.227179
1991-12-01 140.741504
1992-01-01 47.004340
1992-02-01 59.849266
1992-03-01 67.176431
1992-04-01 57.060238
1992-05-01 64.466920
1992-06-01 69.559452
1992-07-01 78.797795
1992-08-01 84.196381
1992-09-01 82.115409
1992-10-01 80.267067
1992-11-01 98.274475
1992-12-01 139.812581
1993-01-01 46.098605
1993-02-01 58.966140
1993-03-01 66.315350
1993-04-01 56.220652
1993-05-01 63.648292
1993-06-01 68.761258
1993-07-01 78.019527
1993-08-01 83.437540
1993-09-01 81.375510
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1993-10-01 79.545638
1993-11-01 97.571055
1993-12-01 139.126720
1994-01-01 45.429864
1994-02-01 58.314093
1994-03-01 65.679579
1994-04-01 55.600751
1994-05-01 63.043865
1994-06-01 68.171919
1994-07-01 77.444899
1994-08-01 82.877256
1994-09-01 80.829212
1994-10-01 79.012977
1994-11-01 97.051690
1994-12-01 138.620320
1995-01-01 44.936105
1995-02-01 57.832659
1995-03-01 65.210163
1995-04-01 55.143052
1995-05-01 62.597592
1995-06-01 67.736786
1995-07-01 77.020628
Freq: MS, dtype: float64
In [503…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(SES_predict_rose, label='Alpha=0.09874:Simple Exponential Smooth
plt.plot(DES_predict_rose, label='Alpha=0,Beta=0:Double Exponential Smoot
plt.plot(TES_predict_add_rose, label='Alpha=0.0849,Beta=0.0,Gamma=0.00054
plt.plot(TES_predict_add_damp_rose, label='Alpha=0.07842,Beta=0.01153,Gam
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions & D
plt.savefig('rose_add_damp_tes.jpg', bbox_inches='tight');
In [504…
print('TES RMSE DAMPED ROSE:',mean_squared_error(rtest.values,TES_predict
TES RMSE DAMPED ROSE: 26.039947558125956
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In [505…
resultsDf_temp = pd.DataFrame({'Test RMSE Rose': [mean_squared_error(rtes
,index=['Triple Exponential Smoothing (Additiv
import textwrap
textwrap.TextWrapper(resultsDf_temp.index)
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
resultsDf_temp
<textwrap.TextWrapper at 0x7ffec3f07c10>
Out[505…
Out[505… Test RMSE Rose
Triple Exponential Smoothing (Additive Season, Damped Trend) 26.039948
In [ ]:
Holt-Winters - ETS(A, A, A) - Holt Winter's
linear method with additive errors -
SPARKLING
USING DAMPED TREND
In [506…
# Initializing the Double Exponential Smoothing Model
model_TES = ExponentialSmoothing(strain,trend='additive',seasonal='additi
# Fitting the model
model_TES = model_TES.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.10062169418748235, 'smoothing_trend': 0.00018168671
586953612, 'smoothing_seasonal': 0.511514820377231, 'damping_trend': 0.97
02575091215162, 'initial_level': 2373.3349726249144, 'initial_trend': -5.
20485555345566, 'initial_seasons': array([-668.12738741, -747.86212595, -
344.25940902, -491.85127947,
-840.22799617, -846.63257158, -387.82092411, 107.25493156,
-279.9252947 , 260.26683938, 1611.56995208, 2643.41954878]), 'use
_boxcox': False, 'lamda': None, 'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [507…
# Forecasting using this model for the duration of the test set
TES_predict_add_damp_spark = model_TES.forecast(len(stest))
TES_predict_add_damp_spark
1991-01-01 1502.750406
Out[507…
1991-02-01 1198.527164
1991-03-01 1697.164113
1991-04-01 1543.572592
1991-05-01 1464.154046
1991 06 01 1284 212633
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1991-06-01 1284.212633
1991-07-01 1801.409196
1991-08-01 1643.249695
1991-09-01 2325.526486
1991-10-01 3227.302621
1991-11-01 4302.234703
1991-12-01 6456.727997
1992-01-01 1501.617527
1992-02-01 1197.427979
1992-03-01 1696.097621
1992-04-01 1542.537820
1992-05-01 1463.150051
1992-06-01 1283.238499
1992-07-01 1800.464035
1992-08-01 1642.332646
1992-09-01 2324.636712
1992-10-01 3226.439311
1992-11-01 4301.397070
1992-12-01 6455.915278
1993-01-01 1500.828980
1993-02-01 1196.662885
1993-03-01 1695.355283
1993-04-01 1541.817561
1993-05-01 1462.451214
1993-06-01 1282.560448
1993-07-01 1799.806150
1993-08-01 1641.694328
1993-09-01 2324.017379
1993-10-01 3225.838400
1993-11-01 4300.814031
1993-12-01 6455.349579
1994-01-01 1500.280107
1994-02-01 1196.130337
1994-03-01 1694.838574
1994-04-01 1541.316221
1994-05-01 1461.964785
1994-06-01 1282.088486
1994-07-01 1799.348226
1994-08-01 1641.250023
1994-09-01 2323.586289
1994-10-01 3225.420131
1994-11-01 4300.408203
1994-12-01 6454.955822
1995-01-01 1499.898061
1995-02-01 1195.759654
1995-03-01 1694.478916
1995-04-01 1540.967260
1995-05-01 1461.626203
1995-06-01 1281.759974
1995-07-01 1799.029485
Freq: MS, dtype: float64
In [508…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(SES_predict_spark, label='Alpha=0.07028: Simple Exponential Smoo
plt.plot(DES_predict_spark, label='Alpha=0.665, Beta=0.0001:Double Expone
plt.plot(TES_predict_add_spark, label='Alpha=0.11127, Beta=0.01236, Gamma
plt.plot(TES_predict_add_damp_spark, label='Alpha=0.10062, Beta=0.00018,
plt.legend(loc='best')
plt.grid()
lt titl ('Si l D bl d T i l E ti l S thi P di ti (DA
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plt.title('Simple,Double and Triple Exponential Smoothing Predictions (DA
plt.savefig('spark_add_damp_tes.jpg', bbox_inches='tight');
In [509…
print('TES RMSE SPARK DAMPED:',mean_squared_error(stest.values,TES_predic
TES RMSE SPARK DAMPED: 378.9069424872413
In [510…
resultsDf_temp1 = pd.DataFrame({'Test RMSE Sparkling': [mean_squared_erro
,index=['Triple Exponential Smoothing (Additiv
import textwrap
textwrap.TextWrapper(resultsDf_temp.index)
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
resultsDf_temp1
<textwrap.TextWrapper at 0x7ffece267ad0>
Out[510…
Out[510… Test RMSE Sparkling
Triple Exponential Smoothing (Additive Season, Damped Trend) 378.626241
In [511…
resultsDf11 = resultsDf_temp.join(resultsDf_temp1, how='outer')
resultsDf11
Out[511… Test RMSE Test RMSE
Rose Sparkling
Triple Exponential Smoothing (Additive Season,
26.039948 378.626241
Damped Trend)
In [512…
resultsDf12 = pd.concat([resultsDf, resultsDf11], axis=0)
resultsDf12
Out[512… Test RMSE Test RMSE
Rose Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
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NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Triple Exponential Smoothing (Additive Season) 14.243240 378.626241
Triple Exponential Smoothing (Multiplicative Season) 19.113110 403.706228
Triple Exponential Smoothing (Additive Season,
26.039948 378.626241
Damped Trend)
In [513…
resultsDf = resultsDf12.copy()
In [ ]:
Holt-Winters - ETS(A, A, M) - Holt Winter's
linear method - ROSE
USING DAMPED TREND
ETS(A, Ad, M) model - Taking MULTIPLICATIVE
SEASONALITY
In [514…
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(rtrain,trend='add',seasonal='multipli
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES_am.params)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.05921476076079892, 'smoothing_trend': 0.02025277468
4074056, 'smoothing_seasonal': 0.004055776297607447, 'damping_trend': 0.9
772370319747687, 'initial_level': 136.25811502851224, 'initial_trend': -
1.4905747496073531, 'initial_seasons': array([0.87608681, 0.99240523, 1.0
8107113, 0.95302591, 1.0668395 ,
1.15077788, 1.25932385, 1.34732797, 1.2768569 , 1.25150631,
1.45495275, 1.98687924]), 'use_boxcox': False, 'lamda': None, 'rem
ove_bias': False}
In [515…
# F ti i thi d l f th d ti f th t t t
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In [515
# Forecasting using this model for the duration of the test set
TES_predict_am_damp_rose = model_TES_am.forecast(len(rtest))
TES_predict_am_damp_rose
1991-01-01 57.798263
Out[515…
1991-02-01 65.505362
1991-03-01 71.234453
1991-04-01 62.758312
1991-05-01 70.050683
1991-06-01 75.329037
1991-07-01 82.357168
1991-08-01 87.915176
1991-09-01 83.325352
1991-10-01 81.585835
1991-11-01 94.777358
1991-12-01 129.083606
1992-01-01 56.797501
1992-02-01 64.395159
1992-03-01 70.052745
1992-04-01 61.739320
1992-05-01 68.937473
1992-06-01 74.157439
1992-07-01 81.103580
1992-08-01 86.605569
1992-09-01 82.110665
1992-10-01 80.421979
1992-11-01 93.454316
1992-12-01 127.320364
1993-01-01 56.038348
1993-02-01 63.552986
1993-03-01 69.156331
1993-04-01 60.966337
1993-05-01 68.093018
1993-06-01 73.268694
1993-07-01 80.152639
1993-08-01 85.612134
1993-09-01 81.189233
1993-10-01 79.539106
1993-11-01 92.450689
1993-12-01 125.982812
1994-01-01 55.462472
1994-02-01 62.914134
1994-03-01 68.476332
1994-04-01 60.379971
1994-05-01 67.452436
1994-06-01 72.594513
1994-07-01 79.431278
1994-08-01 84.858537
1994-09-01 80.490257
1994-10-01 78.869380
1994-11-01 91.689361
1994-12-01 124.968176
1995-01-01 55.025627
1995-02-01 62.429517
1995-03-01 67.960502
1995-04-01 59.935168
1995-05-01 66.966505
1995-06-01 72.083096
1995-07-01 78.884071
Freq: MS, dtype: float64
In [516…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
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plt.plot(rtest, label='Test')
plt.plot(SES_predict_rose, label='Alpha=0.09874:Simple Exponential Smooth
plt.plot(DES_predict_rose, label='Alpha=0,Beta=0:Double Exponential Smoot
plt.plot(TES_predict_add_rose, label='Alpha=0.0849,Beta=0.0,Gamma=0.00054
plt.plot(TES_predict_am_rose, label='Alpha=0.07736,Beta=0.03936,Gamma=0.0
plt.plot(TES_predict_am_damp_rose, label='Alpha=0.05921,Beta=0.02025,Gamm
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions (Mu
plt.savefig('rose_mul_damp_tes.jpg', bbox_inches='tight');
Report model accuracy
In [517…
print('TES_am RMSE_rose DAMPED:',mean_squared_error(rtest.values,TES_pred
TES_am RMSE_rose DAMPED: 25.994866671581615
In [518…
# resultsDf_temp = pd.DataFrame({'Test RMSE': [mean_squared_error(test.va
# ,index=['Alpha=0.74,Beta=2.73e-06,Gamma=5.2e
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
# resultsDf
resultsDf_temp = pd.DataFrame({'Test RMSE Rose': [mean_squared_error(rtes
,index=['Triple Exponential Smoothing (Multipl
resultsDf_temp
Out[518… Test RMSE Rose
Triple Exponential Smoothing (Multiplicative Season, Damped Trend) 25.994867
In [ ]:
H lt Wi t ETS(A A M) H lt Wi t '
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Holt-Winters - ETS(A, A, M) - Holt Winter's
linear method - SPARKLING
ETS(A, A, M) model - Taking MULTIPLICATIVE
SEASONALITY
USING DAMPED TREND
In [519…
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(strain,trend='add',seasonal='multipli
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES_am.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.11107167193609957, 'smoothing_trend': 0.03702389980
900021, 'smoothing_seasonal': 0.39507932654880007, 'damping_trend': 0.989
9999404869427, 'initial_level': 2356.5417871804284, 'initial_trend': -9.1
80203948562786, 'initial_seasons': array([0.71435356, 0.69069064, 0.89984
145, 0.80656905, 0.65538317,
0.65588695, 0.88269091, 1.12243518, 0.91850081, 1.19454491,
1.85207394, 2.34037914]), 'use_boxcox': False, 'lamda': None, 'rem
ove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [520…
# Forecasting using this model for the duration of the test set
TES_predict_am_damp_spark = model_TES_am.forecast(len(stest))
TES_predict_am_damp_spark
1991-01-01 1591.400712
Out[520…
1991-02-01 1348.109039
1991-03-01 1768.331811
1991-04-01 1654.048544
1991-05-01 1548.113612
1991-06-01 1363.568481
1991-07-01 1862.870528
1991-08-01 1797.339996
1991-09-01 2310.534562
1991-10-01 3163.672919
1991-11-01 4176.949302
1991-12-01 5994.180382
1992-01-01 1558.894787
1992-02-01 1320.798853
1992-03-01 1732.803577
1992-04-01 1621.090460
1992-05-01 1517.521178
1992-06-01 1336.845841
1992-07-01 1826.665407
1992-08-01 1762.698529
1992-09-01 2266.372327
1992-10-01 3103.708097
1992-11-01 4098.439393
1992-12-01 5882.455650
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1993-01-01 1530.082048
1993-02-01 1296.591536
1993-03-01 1701.311911
1993-04-01 1591.876934
1993-05-01 1490.404527
1993-06-01 1313.159315
1993-07-01 1794.573759
1993-08-01 1731.992878
1993-09-01 2227.227618
1993-10-01 3050.556224
1993-11-01 4028.849447
1993-12-01 5783.424610
1994-01-01 1504.542891
1994-02-01 1275.134551
1994-03-01 1673.398195
1994-04-01 1565.982526
1994-05-01 1466.368755
1994-06-01 1292.163952
1994-07-01 1766.128228
1994-08-01 1704.775874
1994-09-01 2192.530365
1994-10-01 3003.443242
1994-11-01 3967.166017
1994-12-01 5695.645057
1995-01-01 1481.905385
1995-02-01 1256.115418
1995-03-01 1648.655917
1995-04-01 1543.030130
1995-05-01 1445.063826
1995-06-01 1273.553993
1995-07-01 1740.914558
Freq: MS, dtype: float64
In [521…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(SES_predict_spark, label='Alpha=0.07028: Simple Exponential Smoo
plt.plot(DES_predict_spark, label='Alpha=0.665, Beta=0.0001:Double Expone
plt.plot(TES_predict_add_spark, label='Alpha=0.11119, Beta=0.01236, Gamma
plt.plot(TES_predict_add_spark, label='Alpha=0.07736, Beta=0.04943, Gamma
plt.plot(TES_predict_am_damp_spark, label='Alpha=0.11107, Beta=0.03702, G
plt.legend(loc='best')
plt.grid()
plt.title('Simple,Double and Triple Exponential Smoothing Predictions (Mu
plt.savefig('spark_mul_damp_tes.jpg', bbox_inches='tight');
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Report model accuracy
In [522…
print('TES_am DAMPED RMSE_spark:',mean_squared_error(stest.values,TES_pre
TES_am DAMPED RMSE_spark: 352.45096645100705
In [523…
# resultsDf_temp = pd.DataFrame({'Test RMSE': [mean_squared_error(test.va
# ,index=['Alpha=0.74,Beta=2.73e-06,Gamma=5.2e
# resultsDf = pd.concat([resultsDf, resultsDf_temp])
# resultsDf
resultsDf_temp1 = pd.DataFrame({'Test RMSE Sparkling': [mean_squared_erro
,index=['Triple Exponential Smoothing (Multipl
resultsDf_temp1
Out[523… Test RMSE
Sparkling
Triple Exponential Smoothing (Multiplicative Season, Damped
352.450966
Trend)
In [524…
resultsDf13 = resultsDf_temp.join(resultsDf_temp1, how='outer')
resultsDf13
Out[524… Test RMSE Test RMSE
Rose Sparkling
Triple Exponential Smoothing (Multiplicative Season,
25.994867 352.450966
Damped Trend)
In [525…
resultsDf14 = pd.concat([resultsDf, resultsDf13], axis=0)
resultsDf14
Out[525… Test RMSE Test RMSE
Rose Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36 796225 1338 004623
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Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Triple Exponential Smoothing (Additive Season) 14.243240 378.626241
Triple Exponential Smoothing (Multiplicative Season) 19.113110 403.706228
Triple Exponential Smoothing (Additive Season,
26.039948 378.626241
Damped Trend)
Triple Exponential Smoothing (Multiplicative Season,
25.994867 352.450966
Damped Trend)
In [526…
resultsDf = resultsDf14.copy()
resultsDf
Out[526… Test RMSE Test RMSE
Rose Sparkling
RegressionOnTime 15.268955 1389.135175
NaiveModel 79.718773 3864.279352
SimpleAverageModel 53.460570 1275.081804
2pointTrailingMovingAverage 11.529278 813.400684
4pointTrailingMovingAverage 14.451403 1156.589694
6pointTrailingMovingAverage 14.566327 1283.927428
9pointTrailingMovingAverage 14.727630 1346.278315
Simple Exponential Smoothing 36.796225 1338.004623
Double Exponential Smoothing 15.270968 5291.879833
Triple Exponential Smoothing (Additive Season) 14.243240 378.626241
Triple Exponential Smoothing (Multiplicative Season) 19.113110 403.706228
Triple Exponential Smoothing (Additive Season,
26.039948 378.626241
Damped Trend)
Triple Exponential Smoothing (Multiplicative Season,
25.994867 352.450966
Damped Trend)
In [527…
resultsDf.to_csv('results_all.csv')
In [ ]:
Best Model for Rose till Now - 2 Pt Moving
Average
In [528…
MovingAverage = dfr.copy()
MovingAverage.head()
Out[528… Rose
YearMonth
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1980-01-01 112.0
1980-02-01 118.0
1980-03-01 129.0
1980-04-01 99.0
1980-05-01 116.0
Trailing moving averages
In [529…
MovingAverage['Trailing_2'] = MovingAverage['Rose'].rolling(2).mean()
MovingAverage.head()
Out[529… Rose Trailing_2
YearMonth
1980-01-01 112.0 NaN
1980-02-01 118.0 115.0
1980-03-01 129.0 123.5
1980-04-01 99.0 114.0
1980-05-01 116.0 107.5
In [530…
#Creating train and test set
trailing_MovingAverage_train=MovingAverage[MovingAverage.index<'1991']
trailing_MovingAverage_test=MovingAverage[MovingAverage.index>='1991']
In [531…
## Plotting on both the Training and Test data
plt.figure(figsize=(16,9))
plt.plot(trailing_MovingAverage_train['Rose'], label='Train')
plt.plot(trailing_MovingAverage_test['Rose'], label='Test')
plt.plot(trailing_MovingAverage_test['Trailing_2'], label='2 Point Traili
plt.legend(loc = 'best')
plt.grid();
plt.title('Best Model for Rose - 2 Pt Moving Average', fontsize=17);
plt.savefig('rose_best_model_2pt.jpg', bbox_inches='tight');
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Holt-Winters - ETS(A, A, M) - Best Model for
Sparkling Till Now
ETS(A, Ad, M) model - Taking MULTIPLICATIVE
SEASONALITY
USING DAMPED TREND
In [532…
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(strain,trend='add',seasonal='multipli
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES_am.params)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.11107167193609957, 'smoothing_trend': 0.03702389980
900021, 'smoothing_seasonal': 0.39507932654880007, 'damping_trend': 0.989
9999404869427, 'initial_level': 2356.5417871804284, 'initial_trend': -9.1
80203948562786, 'initial_seasons': array([0.71435356, 0.69069064, 0.89984
145, 0.80656905, 0.65538317,
0.65588695, 0.88269091, 1.12243518, 0.91850081, 1.19454491,
1.85207394, 2.34037914]), 'use_boxcox': False, 'lamda': None, 'rem
ove_bias': False}
In [533…
# Forecasting using this model for the duration of the test set
TES_predict_am_damp_spark = model_TES_am.forecast(len(stest))
TES_predict_am_damp_spark
1991-01-01 1591.400712
Out[533…
1991-02-01 1348.109039
1991-03-01 1768.331811
1991-04-01 1654.048544
1991-05-01 1548.113612
1991-06-01 1363.568481
1991-07-01 1862.870528
1991-08-01 1797.339996
1991-09-01 2310.534562
1991-10-01 3163.672919
1991-11-01 4176.949302
1991-12-01 5994.180382
1992-01-01 1558.894787
1992-02-01 1320.798853
1992-03-01 1732.803577
1992-04-01 1621.090460
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1992-05-01 1517.521178
1992-06-01 1336.845841
1992-07-01 1826.665407
1992-08-01 1762.698529
1992-09-01 2266.372327
1992-10-01 3103.708097
1992-11-01 4098.439393
1992-12-01 5882.455650
1993-01-01 1530.082048
1993-02-01 1296.591536
1993-03-01 1701.311911
1993-04-01 1591.876934
1993-05-01 1490.404527
1993-06-01 1313.159315
1993-07-01 1794.573759
1993-08-01 1731.992878
1993-09-01 2227.227618
1993-10-01 3050.556224
1993-11-01 4028.849447
1993-12-01 5783.424610
1994-01-01 1504.542891
1994-02-01 1275.134551
1994-03-01 1673.398195
1994-04-01 1565.982526
1994-05-01 1466.368755
1994-06-01 1292.163952
1994-07-01 1766.128228
1994-08-01 1704.775874
1994-09-01 2192.530365
1994-10-01 3003.443242
1994-11-01 3967.166017
1994-12-01 5695.645057
1995-01-01 1481.905385
1995-02-01 1256.115418
1995-03-01 1648.655917
1995-04-01 1543.030130
1995-05-01 1445.063826
1995-06-01 1273.553993
1995-07-01 1740.914558
Freq: MS, dtype: float64
In [534…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(TES_predict_am_damp_spark, label='Alpha=0.11107, Beta=0.03702, G
plt.legend(loc='best')
plt.grid()
plt.title('Best Model for Sparkling - Holt Winter ETS(A, Ad, M)', fontsiz
plt.savefig('spark_best_model.jpg', bbox_inches='tight');
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===========================
===========================
Check Stationarity of ROSE Data
The Augmented Dickey-Fuller test is an unit root test which determines whether
there is a unit root and subsequently whether the series is non-stationary.
The hypothesis in a simple form for the ADF test is:
H0 : The Time Series has a unit root and is thus non-stationary.
H1 : The Time Series does not have a unit root and is thus stationary.
We would want the series to be stationary for building ARIMA models and thus we
would want the p-value of this test to be less than the α value.
In [535…
from statsmodels.tsa.stattools import adfuller
In [536…
dfrs = adfuller(dfr,regression='ct')
print('DF test statistic is %3.3f' %dfrs[0])
print('DF test p-value is' ,dfrs[1])
print('Number of lags used' ,dfrs[2])
DF test statistic is -2.240
DF test p-value is 0.46713716277931133
Number of lags used 13
We see that at 5% significant level the Time Series is non-stationary.
Let us take one level of differencing to see whether the series becomes stationary.
In [537…
dfrs = adfuller(dfr.diff().dropna(),regression='ct')
print('DF test statistic is %3.3f' %dfrs[0])
print('DF test p-value is' ,dfrs[1])
print('Number of lags used' ,dfrs[2])
DF test statistic is -8.162
DF test p-value is 3.015976115827714e-11
Number of lags used 12
We see that p-value < alpha=0.05
Hence, we reject the Null Hypothesis
We conclude that with a lag 1 - now the Rose data is Stationary
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e co c ude t at t a ag o t e ose data s Stat o a y
Now, let us go ahead and plot the stationary series.
In [538…
dfr.diff().dropna().plot(grid=True);
plt.title('Stationary Rose Data with lag 1', fontsize=17);
plt.savefig('rose_stationary.jpg', bbox_inches='tight');
Check Stationarity of SPARKLING Data
The Augmented Dickey-Fuller test is an unit root test which determines whether
there is a unit root and subsequently whether the series is non-stationary.
The hypothesis in a simple form for the ADF test is:
H0 : The Time Series has a unit root and is thus non-stationary.
H1 : The Time Series does not have a unit root and is thus stationary.
We would want the series to be stationary for building ARIMA models and thus we
would want the p-value of this test to be less than the α value.
In [539…
dfss = adfuller(dfs,regression='ct')
print('DF test statistic is %3.3f' %dfss[0])
print('DF test p-value is' ,dfss[1])
print('Number of lags used' ,dfss[2])
DF test statistic is -1.798
DF test p-value is 0.7055958459932584
Number of lags used 12
We see that at 5% significant level the Time Series is non-stationary.
Let us take one level of differencing to see whether the series becomes stationary.
In [540…
dfss = adfuller(dfs.diff().dropna(),regression='ct')
print('DF test statistic is %3.3f' %dfss[0])
print('DF test p-value is' ,dfss[1])
print('Number of lags used' ,dfss[2])
DF test statistic is -44.912
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DF test p-value is 0.0
Number of lags used 10
We see that p-value < alpha=0.05
Hence, we reject the Null Hypothesis
We conclude that with a lag 1 - now the Sparkling data is Stationary
Now, let us go ahead and plot the stationary series.
In [541…
dfs.diff().dropna().plot(grid=True);
plt.title('Stationary Sparkling Data with lag 1', fontsize=17);
plt.savefig('spark_stationary.jpg', bbox_inches='tight');
ARIMA / SARIMA on ROSE
Check for Stationarity of Rose Train Data
Let us plot the training data once.
In [542…
rtrain.plot(grid=True);
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In [543…
dftest = adfuller(rtrain,regression='ct')
print('DF test statistic is %3.3f' %dftest[0])
print('DF test p-value is' ,dftest[1])
print('Number of lags used' ,dftest[2])
DF test statistic is -1.686
DF test p-value is 0.7569093051047098
Number of lags used 13
The training data is non-stationary at 95% confidence level. Let us take a first level
of differencing to stationarize the Time Series.
In [544…
dftest = adfuller(rtrain.diff().dropna(),regression='ct')
print('DF test statistic is %3.3f' %dftest[0])
print('DF test p-value is' ,dftest[1])
print('Number of lags used' ,dftest[2])
DF test statistic is -6.804
DF test p-value is 3.8948313567828775e-08
Number of lags used 12
p-value < 0.05 ------> So at 95% Confidence Interval. Train Rose data is Stationary
with lag 1
Now, let us go ahead and plot the differenced training data.
In [545…
rtrain.diff().dropna().plot(grid=True);
plt.title('Stationary Train Rose Time Series', fontsize=17)
plt.savefig('rose_train_stationary.jpg', bbox_inches='tight');
In [546…
rtrain.info()
<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 132 entries, 1980-01-01 to 1990-12-01
Data columns (total 1 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 Rose 132 non-null float64
dtypes: float64(1)
memory usage: 2.1 KB
Build an Automated version of an ARIMA
d lf hi h th b t t
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model for which the best parameters are
selected in accordance with the lowest Akaike
Information Criteria (AIC).
Note: The data has some seasonality so ideally we should build a SARIMA model.
But lets test on the lowest Akaike Information Criteria, which one suits best -
ARIMA or SARIMA
In [547…
## The following loop helps us in getting a combination of different para
## As seen before, Stationarity is achived with a difference of 1.
## We have kept the value of d as 1
import itertools
p = q = range(0, 4)
d= range(1,2)
pdq = list(itertools.product(p, d, q))
print('Examples of the parameter combinations for the Model')
for i in range(0,len(pdq)):
print('Model: {}'.format(pdq[i]))
Examples of the parameter combinations for the Model
Model: (0, 1, 0)
Model: (0, 1, 1)
Model: (0, 1, 2)
Model: (0, 1, 3)
Model: (1, 1, 0)
Model: (1, 1, 1)
Model: (1, 1, 2)
Model: (1, 1, 3)
Model: (2, 1, 0)
Model: (2, 1, 1)
Model: (2, 1, 2)
Model: (2, 1, 3)
Model: (3, 1, 0)
Model: (3, 1, 1)
Model: (3, 1, 2)
Model: (3, 1, 3)
In [548…
# Creating an empty Dataframe with column names only
ROSE_ARIMA_AIC = pd.DataFrame(columns=['param', 'AIC'])
ROSE_ARIMA_AIC
Out[548… param AIC
In [549…
from statsmodels.tsa.arima.model import ARIMA
for param in pdq:# running a loop within the pdq parameters defined by it
ARIMA_model = ARIMA(rtrain['Rose'].values,order=param).fit()#fitting
#using the parameters from the loop
print('ARIMA{} - AIC:{}'.format(param,ARIMA_model.aic))#printing the
#from the fitted models
ROSE_ARIMA_AIC = ROSE_ARIMA_AIC.append({'param':param, 'AIC': ARIMA_m
#appending the AIC values and the model parameters to the previously
#for easier understanding and sorting of the AIC values
ARIMA(0, 1, 0) - AIC:1333.1546729124348
ARIMA(0, 1, 1) - AIC:1282.3098319748333
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ARIMA(0, 1, 2) - AIC:1279.6715288535797
ARIMA(0, 1, 3) - AIC:1280.5453761734648
ARIMA(1, 1, 0) - AIC:1317.3503105381526
ARIMA(1, 1, 1) - AIC:1280.5742295380078
ARIMA(1, 1, 2) - AIC:1279.870723423192
ARIMA(1, 1, 3) - AIC:1281.8707223309914
ARIMA(2, 1, 0) - AIC:1298.6110341604958
ARIMA(2, 1, 1) - AIC:1281.5078621868524
ARIMA(2, 1, 2) - AIC:1281.8707222264584
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/st
atespace/sarimax.py:966: UserWarning: Non-stationary starting autoregress
ive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/st
atespace/sarimax.py:978: UserWarning: Non-invertible starting MA paramete
rs found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
ARIMA(2, 1, 3) - AIC:1274.6948698861079
ARIMA(3, 1, 0) - AIC:1297.4810917271725
ARIMA(3, 1, 1) - AIC:1282.419277627196
ARIMA(3, 1, 2) - AIC:1283.720740597716
ARIMA(3, 1, 3) - AIC:1278.6559777950524
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
In [550…
## Sort the above AIC values in the ascending order to get the parameters
ROSE_ARIMA_AIC.sort_values(by='AIC',ascending=True).head()
Out[550… param AIC
11 (2, 1, 3) 1274.694870
15 (3, 1, 3) 1278.655978
2 (0, 1, 2) 1279.671529
6 (1, 1, 2) 1279.870723
3 (0, 1, 3) 1280.545376
In [551…
auto_ARIMA = ARIMA(rtrain, order=(2,1,3))
results_auto_ARIMA = auto_ARIMA.fit()
print(results_auto_ARIMA.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
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so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
=====
Dep. Variable: Rose No. Observations:
132
Model: ARIMA(2, 1, 3) Log Likelihood -63
1.347
Date: Sat, 27 Mar 2021 AIC 127
4.695
Time: 14:11:13 BIC 129
1.946
Sample: 01-01-1980 HQIC 128
1.705
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 -1.6779 0.084 -20.038 0.000 -1.842 -
1.514
ar.L2 -0.7287 0.084 -8.701 0.000 -0.893 -
0.565
ma.L1 1.0447 0.660 1.583 0.113 -0.248
2.338
ma.L2 -0.7719 0.135 -5.724 0.000 -1.036 -
0.508
ma.L3 -0.9047 0.599 -1.511 0.131 -2.078
0.269
sigma2 859.2904 556.079 1.545 0.122 -230.605 194
9.186
=========================================================================
==========
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB):
24.46
Prob(Q): 0.88 Prob(JB):
0.00
Heteroskedasticity (H): 0.40 Skew:
0.71
Prob(H) (two-sided): 0.00 Kurtosis:
4.57
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
Rose Train Diagnostics plot.
In [552…
results_auto_ARIMA.plot_diagnostics();
plt.savefig('rose_diag_plot.jpg', bbox_inches='tight')
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Out[552…
Predict on the Rose Test Set using this model
and evaluate the model.
In [553…
predicted_auto_ARIMA = results_auto_ARIMA.forecast(steps=len(rtest))
predicted_auto_ARIMA
1991-01-01 85.580378
Out[553…
1991-02-01 90.550478
1991-03-01 81.951645
1991-04-01 92.757905
1991-05-01 80.892136
1991-06-01 92.927053
1991-07-01 81.380416
1991-08-01 91.984496
1991-09-01 82.606124
1991-10-01 90.614731
1991-11-01 84.011264
1991-12-01 89.255213
1992-01-01 85.268453
1992-02-01 88.136477
1992-03-01 86.229447
1992-04-01 87.339267
1992-05-01 86.866793
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1992 05 01 86.866793
1992-06-01 86.850806
1992-07-01 87.221937
1992-08-01 86.610859
1992-09-01 87.365742
1992-10-01 86.544423
1992-11-01 87.372422
1992-12-01 86.581630
1993-01-01 87.305125
1993-02-01 86.667435
1993-03-01 87.210192
1993-04-01 86.764195
1993-05-01 87.117017
1993-06-01 86.850023
1993-07-01 87.040905
1993-08-01 86.915188
1993-09-01 86.987029
1993-10-01 86.958099
1993-11-01 86.954288
1993-12-01 86.981765
1994-01-01 86.938438
1994-02-01 86.991114
1994-03-01 86.934302
1994-04-01 86.991241
1994-05-01 86.937103
1994-06-01 86.986449
1994-07-01 86.943102
1994-08-01 86.979874
1994-09-01 86.949762
1994-10-01 86.973491
1994-11-01 86.955619
1994-12-01 86.968314
1995-01-01 86.960037
1995-02-01 86.964675
1995-03-01 86.962925
1995-04-01 86.962481
1995-05-01 86.964501
1995-06-01 86.961435
1995-07-01 86.965107
Freq: MS, Name: predicted_mean, dtype: float64
In [554…
## Mean Absolute Percentage Error (MAPE) - Function Definition
def mean_absolute_percentage_error(y_true, y_pred):
return np.mean((np.abs(y_true-y_pred))/(y_true))*100
## Importing the mean_squared_error function from sklearn to calculate th
from sklearn.metrics import mean_squared_error
In [555…
rmse = mean_squared_error(rtest['Rose'],predicted_auto_ARIMA,squared=Fals
mape = mean_absolute_percentage_error(rtest['Rose'],predicted_auto_ARIMA)
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 36.81224915333075
MAPE: 75.8371929255473
In [556…
resultsR0 = pd.DataFrame({'Test RMSE Rose': rmse,'Test MAPE Rose':mape}
,index=['ARIMA(2,1,3)'])
resultsR0.to_csv('rose_arima_auto_213.csv')
resultsR0
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Out[556… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
In [557…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(predicted_auto_ARIMA,label='ARIMA (2, 1, 3)')
plt.legend(loc='best')
plt.grid()
plt.title('ARIMA (2, 1, 3) - Rose', fontsize=17);
plt.savefig('rose_arima_auto_213.jpg', bbox_inches='tight');
In [ ]:
Build a version of the ARIMA model for which
the best parameters are selected by looking at
the ACF and the PACF plots on ROSE dataset
Let us look at the ACF and the PACF plots once more.
In [558…
from statsmodels.graphics.tsaplots import plot_acf, plot_pacf
In [559…
plot_acf(rtrain.diff(), missing='drop', alpha=0.05)
plt.title('Rose Training Data Autocorrelation',fontsize=17)
plt.savefig('rose_train_acf.jpg', bbox_inches='tight');
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In [560…
plot_pacf(rtrain.diff().dropna(), zero=False, alpha=0.05, method='ywmle')
plt.title('Rose Training Data Partial Autocorrelation',fontsize=17)
plt.savefig('rose_train_pacf.jpg', bbox_inches='tight');
Here, we have taken alpha=0.05.
The Auto-Regressive parameter in an ARIMA model is 'p' which comes from
the significant lag before which the PACF plot cuts-off
The Moving-Average parameter in an ARIMA model is 'q' which comes from
the significant lag before the ACF plot cuts-off
By looking at the above plots, we will take the value of p and q to be 2 and 2
respectively.
In [561…
manual_ARIMA = ARIMA(rtrain['Rose'], order=(2,1,2))
results_manual_ARIMA = manual_ARIMA.fit()
print(results_manual_ARIMA.summary())
SARIMAX Results
=========================================================================
=====
Dep. Variable: Rose No. Observations:
132
Model: ARIMA(2, 1, 2) Log Likelihood -63
5.935
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5.935
Date: Sat, 27 Mar 2021 AIC 128
1.871
Time: 14:11:18 BIC 129
6.247
Sample: 01-01-1980 HQIC 128
7.712
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 -0.4540 0.469 -0.969 0.333 -1.372
0.464
ar.L2 0.0001 0.170 0.001 0.999 -0.334
0.334
ma.L1 -0.2541 0.459 -0.554 0.580 -1.154
0.646
ma.L2 -0.5984 0.430 -1.390 0.164 -1.442
0.245
sigma2 952.1601 91.424 10.415 0.000 772.973 113
1.347
=========================================================================
==========
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB):
34.16
Prob(Q): 0.88 Prob(JB):
0.00
Heteroskedasticity (H): 0.37 Skew:
0.79
Prob(H) (two-sided): 0.00 Kurtosis:
4.94
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
Let us analyse the residuals from the various diagnostics plot.
In [562…
results_manual_ARIMA.plot_diagnostics();
plt.savefig('rose_train_manual_diag_plot.jpg', bbox_inches='tight');
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Predict on the Test Set using this model and
evaluate the model.
In [563…
predicted_manual_ARIMA = results_manual_ARIMA.forecast(steps=len(rtest))
In [564…
rmse = mean_squared_error(rtest['Rose'],predicted_manual_ARIMA,squared=Fa
mape = mean_absolute_percentage_error(rtest['Rose'],predicted_manual_ARIM
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 36.871196615481196
MAPE: 76.05621270892694
In [565…
temp_resultsR2 = pd.DataFrame({'Test RMSE Rose': rmse,'Test MAPE Rose':ma
,index=['ARIMA(2,1,2)'])
resultsR2 = pd.concat([resultsR0,temp_resultsR2])
resultsR2
Out[565… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
In [566…
resultsR0 = resultsR2.copy()
resultsR0
Out[566… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
In [567…
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
plt.plot(predicted_manual_ARIMA, label = 'ARIMA (2, 1, 2) Forecast - Rose
plt.grid()
plt.legend(loc='best')
lt titl ('ARIMA (2 1 2) F t R ' f t i 17)
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plt.title('ARIMA (2, 1, 2) Forecast - Rose', fontsize=17)
plt.savefig('rose_arima_manual_forecast.jpg', bbox_inches='tight');
Build an Automated version of a SARIMA
model for which the best parameters are
selected in accordance with the lowest Akaike
Information Criteria (AIC) - ROSE DATA
Let us look at the ACF plot once more to understand the seasonal parameter for
the SARIMA model.
In [568…
plot_acf(rtrain.diff(),title='Training Rose Data Autocorrelation',missing
We can see that there is a seasonality.
In [569…
import itertools
p = q = range(0, 4)
d= range(1,2)
D = range(0,1)
pdq = list(itertools.product(p, d, q))
PDQ = [(x[0], x[1], x[2], 12) for x in list(itertools.product(p, D, q))]
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Q [( [ ], [ ], [ ], ) ( p (p, , q))]
print('Examples of the parameter combinations for the Model are')
for i in range(1,len(pdq)):
print('Model: {}{}'.format(pdq[i], PDQ[i]))
Examples of the parameter combinations for the Model are
Model: (0, 1, 1)(0, 0, 1, 12)
Model: (0, 1, 2)(0, 0, 2, 12)
Model: (0, 1, 3)(0, 0, 3, 12)
Model: (1, 1, 0)(1, 0, 0, 12)
Model: (1, 1, 1)(1, 0, 1, 12)
Model: (1, 1, 2)(1, 0, 2, 12)
Model: (1, 1, 3)(1, 0, 3, 12)
Model: (2, 1, 0)(2, 0, 0, 12)
Model: (2, 1, 1)(2, 0, 1, 12)
Model: (2, 1, 2)(2, 0, 2, 12)
Model: (2, 1, 3)(2, 0, 3, 12)
Model: (3, 1, 0)(3, 0, 0, 12)
Model: (3, 1, 1)(3, 0, 1, 12)
Model: (3, 1, 2)(3, 0, 2, 12)
Model: (3, 1, 3)(3, 0, 3, 12)
In [570…
SARIMA_AIC = pd.DataFrame(columns=['param','seasonal', 'AIC'])
SARIMA_AIC
Out[570… param seasonal AIC
In [571…
import statsmodels.api as sm
for param in pdq:
for param_seasonal in PDQ:
SARIMA_model = sm.tsa.statespace.SARIMAX(rtrain['Rose'].values,
order=param,
seasonal_order=param_seasonal
enforce_stationarity=False,
enforce_invertibility=False)
results_SARIMA = SARIMA_model.fit(maxiter=1000)
print('SARIMA{}x{} - AIC:{}'.format(param, param_seasonal, result
SARIMA_AIC = SARIMA_AIC.append({'param':param,'seasonal':param_se
SARIMA(0, 1, 0)x(0, 0, 0, 12) - AIC:1323.9657875279158
SARIMA(0, 1, 0)x(0, 0, 1, 12) - AIC:1145.4230827207302
SARIMA(0, 1, 0)x(0, 0, 2, 12) - AIC:976.4375296380902
SARIMA(0, 1, 0)x(0, 0, 3, 12) - AIC:4089.366325523335
SARIMA(0, 1, 0)x(1, 0, 0, 12) - AIC:1139.921738995602
SARIMA(0, 1, 0)x(1, 0, 1, 12) - AIC:1116.0207869385956
SARIMA(0, 1, 0)x(1, 0, 2, 12) - AIC:969.6913635751866
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(1, 0, 3, 12) - AIC:4871.174291274871
SARIMA(0, 1, 0)x(2, 0, 0, 12) - AIC:960.8812220353041
SARIMA(0, 1, 0)x(2, 0, 1, 12) - AIC:962.8794540697567
SARIMA(0, 1, 0)x(2, 0, 2, 12) - AIC:955.5735408946032
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(2, 0, 3, 12) - AIC:4546.361660702515
SARIMA(0, 1, 0)x(3, 0, 0, 12) - AIC:850.7535403931054
( ) ( )
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SARIMA(0, 1, 0)x(3, 0, 1, 12) - AIC:851.748270274044
SARIMA(0, 1, 0)x(3, 0, 2, 12) - AIC:850.5304136127387
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(3, 0, 3, 12) - AIC:4264.059260075438
SARIMA(0, 1, 1)x(0, 0, 0, 12) - AIC:1263.5369097383966
SARIMA(0, 1, 1)x(0, 0, 1, 12) - AIC:1098.555482591834
SARIMA(0, 1, 1)x(0, 0, 2, 12) - AIC:923.631404938392
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(0, 0, 3, 12) - AIC:3951.520972296334
SARIMA(0, 1, 1)x(1, 0, 0, 12) - AIC:1095.7936324918212
SARIMA(0, 1, 1)x(1, 0, 1, 12) - AIC:1054.7434330947335
SARIMA(0, 1, 1)x(1, 0, 2, 12) - AIC:918.8573483313946
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(1, 0, 3, 12) - AIC:4816.697581315651
SARIMA(0, 1, 1)x(2, 0, 0, 12) - AIC:914.5982866535958
SARIMA(0, 1, 1)x(2, 0, 1, 12) - AIC:915.3332430461662
SARIMA(0, 1, 1)x(2, 0, 2, 12) - AIC:901.1988283582562
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(2, 0, 3, 12) - AIC:4136.065524113511
SARIMA(0, 1, 1)x(3, 0, 0, 12) - AIC:798.588976480727
SARIMA(0, 1, 1)x(3, 0, 1, 12) - AIC:800.4844933829291
SARIMA(0, 1, 1)x(3, 0, 2, 12) - AIC:801.0595269385346
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(3, 0, 3, 12) - AIC:3630.4233752862815
SARIMA(0, 1, 2)x(0, 0, 0, 12) - AIC:1251.6675430541045
SARIMA(0, 1, 2)x(0, 0, 1, 12) - AIC:1083.4866975265002
SARIMA(0, 1, 2)x(0, 0, 2, 12) - AIC:913.49384866177
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(0, 0, 3, 12) - AIC:2727.244690029061
SARIMA(0, 1, 2)x(1, 0, 0, 12) - AIC:1088.833284341356
SARIMA(0, 1, 2)x(1, 0, 1, 12) - AIC:1045.5400933488863
SARIMA(0, 1, 2)x(1, 0, 2, 12) - AIC:904.8310913586356
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(1, 0, 3, 12) - AIC:4534.123734471623
SARIMA(0, 1, 2)x(2, 0, 0, 12) - AIC:913.0105912257985
SARIMA(0, 1, 2)x(2, 0, 1, 12) - AIC:914.1707545031934
SARIMA(0, 1, 2)x(2, 0, 2, 12) - AIC:887.9375085676787
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(2, 0, 3, 12) - AIC:3847.2228189120515
SARIMA(0, 1, 2)x(3, 0, 0, 12) - AIC:800.1020189374806
SARIMA(0 1 2)x(3 0 1 12) - AIC:801 9941080533825
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SARIMA(0, 1, 2)x(3, 0, 1, 12) - AIC:801.9941080533825
SARIMA(0, 1, 2)x(3, 0, 2, 12) - AIC:802.5206528518831
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(3, 0, 3, 12) - AIC:2278.261877801292
SARIMA(0, 1, 3)x(0, 0, 0, 12) - AIC:1243.9501216739102
SARIMA(0, 1, 3)x(0, 0, 1, 12) - AIC:1076.7632646085688
SARIMA(0, 1, 3)x(0, 0, 2, 12) - AIC:905.6926533380737
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(0, 0, 3, 12) - AIC:4599.139595118176
SARIMA(0, 1, 3)x(1, 0, 0, 12) - AIC:1089.205136121225
SARIMA(0, 1, 3)x(1, 0, 1, 12) - AIC:1034.8411212937158
SARIMA(0, 1, 3)x(1, 0, 2, 12) - AIC:896.8362523339639
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(1, 0, 3, 12) - AIC:4662.943946838033
SARIMA(0, 1, 3)x(2, 0, 0, 12) - AIC:914.9477108987031
SARIMA(0, 1, 3)x(2, 0, 1, 12) - AIC:916.0630996894947
SARIMA(0, 1, 3)x(2, 0, 2, 12) - AIC:880.5509788250604
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(2, 0, 3, 12) - AIC:4047.6452625095067
SARIMA(0, 1, 3)x(3, 0, 0, 12) - AIC:802.0987124692441
SARIMA(0, 1, 3)x(3, 0, 1, 12) - AIC:803.9928772338319
SARIMA(0, 1, 3)x(3, 0, 2, 12) - AIC:804.5150724212011
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(3, 0, 3, 12) - AIC:3430.068906792863
SARIMA(1, 1, 0)x(0, 0, 0, 12) - AIC:1308.161871082466
SARIMA(1, 1, 0)x(0, 0, 1, 12) - AIC:1135.2955447585698
SARIMA(1, 1, 0)x(0, 0, 2, 12) - AIC:963.940539125769
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(0, 0, 3, 12) - AIC:3786.3025965743686
SARIMA(1, 1, 0)x(1, 0, 0, 12) - AIC:1124.886078680457
SARIMA(1, 1, 0)x(1, 0, 1, 12) - AIC:1105.4080055021473
SARIMA(1, 1, 0)x(1, 0, 2, 12) - AIC:958.5001972948447
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(1, 0, 3, 12) - AIC:5091.620397106478
SARIMA(1, 1, 0)x(2, 0, 0, 12) - AIC:939.0984778664048
SARIMA(1, 1, 0)x(2, 0, 1, 12) - AIC:940.9087133661072
SARIMA(1, 1, 0)x(2, 0, 2, 12) - AIC:942.2973103071184
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(2, 0, 3, 12) - AIC:4056.993684557321
SARIMA(1, 1, 0)x(3, 0, 0, 12) - AIC:819.3931032272563
SARIMA(1, 1, 0)x(3, 0, 1, 12) - AIC:821.1501371573486
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SARIMA(1, 1, 0)x(3, 0, 2, 12) - AIC:819.1305086849646
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(3, 0, 3, 12) - AIC:3464.8232636810435
SARIMA(1, 1, 1)x(0, 0, 0, 12) - AIC:1262.1840064255512
SARIMA(1, 1, 1)x(0, 0, 1, 12) - AIC:1094.3172708640793
SARIMA(1, 1, 1)x(0, 0, 2, 12) - AIC:923.0862224063885
SARIMA(1, 1, 1)x(0, 0, 3, 12) - AIC:4057.0804418919747
SARIMA(1, 1, 1)x(1, 0, 0, 12) - AIC:1083.3937965028965
SARIMA(1, 1, 1)x(1, 0, 1, 12) - AIC:1054.7180547138016
SARIMA(1, 1, 1)x(1, 0, 2, 12) - AIC:916.3549428501447
SARIMA(1, 1, 1)x(1, 0, 3, 12) - AIC:4540.1769142489375
SARIMA(1, 1, 1)x(2, 0, 0, 12) - AIC:905.9249060843703
SARIMA(1, 1, 1)x(2, 0, 1, 12) - AIC:907.2972867470795
SARIMA(1, 1, 1)x(2, 0, 2, 12) - AIC:900.6725795936885
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 1)x(2, 0, 3, 12) - AIC:3920.310950031987
SARIMA(1, 1, 1)x(3, 0, 0, 12) - AIC:789.23604393882
SARIMA(1, 1, 1)x(3, 0, 1, 12) - AIC:790.9603447834457
SARIMA(1, 1, 1)x(3, 0, 2, 12) - AIC:790.8113850264593
SARIMA(1, 1, 1)x(3, 0, 3, 12) - AIC:3735.9865464100894
SARIMA(1, 1, 2)x(0, 0, 0, 12) - AIC:1251.9495040706124
SARIMA(1, 1, 2)x(0, 0, 1, 12) - AIC:1085.4861928101138
SARIMA(1, 1, 2)x(0, 0, 2, 12) - AIC:915.493840234901
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 2)x(0, 0, 3, 12) - AIC:3940.6630924837427
SARIMA(1, 1, 2)x(1, 0, 0, 12) - AIC:1090.7760917085018
SARIMA(1, 1, 2)x(1, 0, 1, 12) - AIC:1042.6183211456826
SARIMA(1, 1, 2)x(1, 0, 2, 12) - AIC:906.7318506493718
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 2)x(1, 0, 3, 12) - AIC:4943.0207478954
SARIMA(1, 1, 2)x(2, 0, 0, 12) - AIC:906.16901968824
SARIMA(1, 1, 2)x(2, 0, 1, 12) - AIC:907.4597827777245
SARIMA(1, 1, 2)x(2, 0, 2, 12) - AIC:896.6869589008012
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 2)x(2, 0, 3, 12) - AIC:4404.646381441038
SARIMA(1, 1, 2)x(3, 0, 0, 12) - AIC:791.0073801532765
SARIMA(1, 1, 2)x(3, 0, 1, 12) - AIC:792.6312809805688
SARIMA(1, 1, 2)x(3, 0, 2, 12) - AIC:792.1390307556442
SARIMA(1, 1, 2)x(3, 0, 3, 12) - AIC:3698.0081964441597
SARIMA(1, 1, 3)x(0, 0, 0, 12) - AIC:1245.5463125315998
SARIMA(1, 1, 3)x(0, 0, 1, 12) - AIC:1072.9849763092884
SARIMA(1, 1, 3)x(0, 0, 2, 12) - AIC:907.4130105110414
SARIMA(1, 1, 3)x(0, 0, 3, 12) - AIC:3103.6021753300624
SARIMA(1, 1, 3)x(1, 0, 0, 12) - AIC:1082.3281487676225
SARIMA(1, 1, 3)x(1, 0, 1, 12) - AIC:1036.1950930968878
SARIMA(1, 1, 3)x(1, 0, 2, 12) - AIC:897.5232291469268
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
C W i )
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ConvergenceWarning)
SARIMA(1, 1, 3)x(1, 0, 3, 12) - AIC:4874.468098558824
SARIMA(1, 1, 3)x(2, 0, 0, 12) - AIC:908.2687620481449
SARIMA(1, 1, 3)x(2, 0, 1, 12) - AIC:909.7955659025477
SARIMA(1, 1, 3)x(2, 0, 2, 12) - AIC:880.2886586959453
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 3)x(2, 0, 3, 12) - AIC:3910.274051963264
SARIMA(1, 1, 3)x(3, 0, 0, 12) - AIC:793.011140336974
SARIMA(1, 1, 3)x(3, 0, 1, 12) - AIC:794.6310142429545
SARIMA(1, 1, 3)x(3, 0, 2, 12) - AIC:794.046792974162
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 3)x(3, 0, 3, 12) - AIC:3543.210638961381
SARIMA(2, 1, 0)x(0, 0, 0, 12) - AIC:1280.2537561535767
SARIMA(2, 1, 0)x(0, 0, 1, 12) - AIC:1128.7773704710798
SARIMA(2, 1, 0)x(0, 0, 2, 12) - AIC:958.0793208829954
SARIMA(2, 1, 0)x(0, 0, 3, 12) - AIC:4100.575930511145
SARIMA(2, 1, 0)x(1, 0, 0, 12) - AIC:1099.5086021575914
SARIMA(2, 1, 0)x(1, 0, 1, 12) - AIC:1076.7863198641078
SARIMA(2, 1, 0)x(1, 0, 2, 12) - AIC:951.198816555945
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(1, 0, 3, 12) - AIC:5151.132513920362
SARIMA(2, 1, 0)x(2, 0, 0, 12) - AIC:924.6004792645498
SARIMA(2, 1, 0)x(2, 0, 1, 12) - AIC:925.9757801384307
SARIMA(2, 1, 0)x(2, 0, 2, 12) - AIC:927.8380693280784
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(2, 0, 3, 12) - AIC:4052.1596592861533
SARIMA(2, 1, 0)x(3, 0, 0, 12) - AIC:806.0536407408852
SARIMA(2, 1, 0)x(3, 0, 1, 12) - AIC:808.0472637903371
SARIMA(2, 1, 0)x(3, 0, 2, 12) - AIC:806.4988191372059
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(3, 0, 3, 12) - AIC:3978.1392087195877
SARIMA(2, 1, 1)x(0, 0, 0, 12) - AIC:1263.2315231792063
SARIMA(2, 1, 1)x(0, 0, 1, 12) - AIC:1094.209349194938
SARIMA(2, 1, 1)x(0, 0, 2, 12) - AIC:922.9408472119637
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(0, 0, 3, 12) - AIC:3900.22235330741
SARIMA(2, 1, 1)x(1, 0, 0, 12) - AIC:1071.4249601101305
SARIMA(2, 1, 1)x(1, 0, 1, 12) - AIC:1052.924447120127
SARIMA(2, 1, 1)x(1, 0, 2, 12) - AIC:916.2424912822785
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(1, 0, 3, 12) - AIC:4884.98320868677
SARIMA(2, 1, 1)x(2, 0, 0, 12) - AIC:896.5181608114812
SARIMA(2, 1, 1)x(2, 0, 1, 12) - AIC:897.6399565369518
SARIMA(2, 1, 1)x(2, 0, 2, 12) - AIC:899.4835866300249
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SARIMA(2, 1, 1)x(2, 0, 2, 12) AIC:899.4835866300249
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(2, 0, 3, 12) - AIC:4053.918706391581
SARIMA(2, 1, 1)x(3, 0, 0, 12) - AIC:785.3932600265109
SARIMA(2, 1, 1)x(3, 0, 1, 12) - AIC:787.3639259188445
SARIMA(2, 1, 1)x(3, 0, 2, 12) - AIC:787.0598886812803
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(3, 0, 3, 12) - AIC:3576.9915920603926
SARIMA(2, 1, 2)x(0, 0, 0, 12) - AIC:1253.9102116146653
SARIMA(2, 1, 2)x(0, 0, 1, 12) - AIC:1085.9643552598193
SARIMA(2, 1, 2)x(0, 0, 2, 12) - AIC:916.3258311113823
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(0, 0, 3, 12) - AIC:3633.774089322332
SARIMA(2, 1, 2)x(1, 0, 0, 12) - AIC:1073.2912713647358
SARIMA(2, 1, 2)x(1, 0, 1, 12) - AIC:1044.1909354079382
SARIMA(2, 1, 2)x(1, 0, 2, 12) - AIC:907.6661488803095
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(1, 0, 3, 12) - AIC:4957.761937989
SARIMA(2, 1, 2)x(2, 0, 0, 12) - AIC:897.3464439903059
SARIMA(2, 1, 2)x(2, 0, 1, 12) - AIC:898.3781888656102
SARIMA(2, 1, 2)x(2, 0, 2, 12) - AIC:890.6687980831923
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(2, 0, 3, 12) - AIC:4350.478253367723
SARIMA(2, 1, 2)x(3, 0, 0, 12) - AIC:785.1199712000284
SARIMA(2, 1, 2)x(3, 0, 1, 12) - AIC:786.9410035572644
SARIMA(2, 1, 2)x(3, 0, 2, 12) - AIC:786.9640485973642
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(3, 0, 3, 12) - AIC:3398.187540191992
SARIMA(2, 1, 3)x(0, 0, 0, 12) - AIC:1237.8703532286174
SARIMA(2, 1, 3)x(0, 0, 1, 12) - AIC:1067.8073333288985
SARIMA(2, 1, 3)x(0, 0, 2, 12) - AIC:908.3349287560114
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 3)x(0, 0, 3, 12) - AIC:3943.3919761974244
SARIMA(2, 1, 3)x(1, 0, 0, 12) - AIC:1073.2563215611572
SARIMA(2, 1, 3)x(1, 0, 1, 12) - AIC:1024.0462175045611
SARIMA(2, 1, 3)x(1, 0, 2, 12) - AIC:890.9483354879636
SARIMA(2, 1, 3)x(1, 0, 3, 12) - AIC:4875.380195043681
SARIMA(2, 1, 3)x(2, 0, 0, 12) - AIC:893.3579301967291
SARIMA(2, 1, 3)x(2, 0, 1, 12) - AIC:903.2328102116879
SARIMA(2, 1, 3)x(2, 0, 2, 12) - AIC:879.2191806455926
SARIMA(2, 1, 3)x(2, 0, 3, 12) - AIC:3910.096067055002
SARIMA(2, 1, 3)x(3, 0, 0, 12) - AIC:782.407420821715
SARIMA(2, 1, 3)x(3, 0, 1, 12) - AIC:783.4101474226819
SARIMA(2, 1, 3)x(3, 0, 2, 12) - AIC:781.0452527246688
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/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 3)x(3, 0, 3, 12) - AIC:3657.7805023865617
SARIMA(3, 1, 0)x(0, 0, 0, 12) - AIC:1269.8130062641505
SARIMA(3, 1, 0)x(0, 0, 1, 12) - AIC:1119.1703158042212
SARIMA(3, 1, 0)x(0, 0, 2, 12) - AIC:953.3440589118
SARIMA(3, 1, 0)x(0, 0, 3, 12) - AIC:4102.575930511147
SARIMA(3, 1, 0)x(1, 0, 0, 12) - AIC:1080.5468456726712
SARIMA(3, 1, 0)x(1, 0, 1, 12) - AIC:1065.55697267847
SARIMA(3, 1, 0)x(1, 0, 2, 12) - AIC:943.6865996304866
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(1, 0, 3, 12) - AIC:5089.026982514662
SARIMA(3, 1, 0)x(2, 0, 0, 12) - AIC:909.720319794397
SARIMA(3, 1, 0)x(2, 0, 1, 12) - AIC:911.0620713976493
SARIMA(3, 1, 0)x(2, 0, 2, 12) - AIC:913.0438816472888
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(2, 0, 3, 12) - AIC:4261.26555772244
SARIMA(3, 1, 0)x(3, 0, 0, 12) - AIC:796.0564701527546
SARIMA(3, 1, 0)x(3, 0, 1, 12) - AIC:795.5410167662434
SARIMA(3, 1, 0)x(3, 0, 2, 12) - AIC:794.6677017189005
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(3, 0, 3, 12) - AIC:3628.022908937539
SARIMA(3, 1, 1)x(0, 0, 0, 12) - AIC:1255.065818070933
SARIMA(3, 1, 1)x(0, 0, 1, 12) - AIC:1095.6894641221731
SARIMA(3, 1, 1)x(0, 0, 2, 12) - AIC:923.8872427547274
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 1)x(0, 0, 3, 12) - AIC:3980.441650337353
SARIMA(3, 1, 1)x(1, 0, 0, 12) - AIC:1064.6149136513127
SARIMA(3, 1, 1)x(1, 0, 1, 12) - AIC:1046.0837553926033
SARIMA(3, 1, 1)x(1, 0, 2, 12) - AIC:917.0308009384297
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 1)x(1, 0, 3, 12) - AIC:4955.9101070779625
SARIMA(3, 1, 1)x(2, 0, 0, 12) - AIC:887.3204459897219
SARIMA(3, 1, 1)x(2, 0, 1, 12) - AIC:888.327920853796
SARIMA(3, 1, 1)x(2, 0, 2, 12) - AIC:890.1571523503426
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 1)x(2, 0, 3, 12) - AIC:4401.519764610639
SARIMA(3, 1, 1)x(3, 0, 0, 12) - AIC:775.4266990414403
SARIMA(3, 1, 1)x(3, 0, 1, 12) - AIC:775.4953300768736
SARIMA(3, 1, 1)x(3, 0, 2, 12) - AIC:774.4002851291933
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3 1 1)x(3 0 3 12) AIC:3851 4641339090285
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SARIMA(3, 1, 1)x(3, 0, 3, 12) - AIC:3851.4641339090285
SARIMA(3, 1, 2)x(0, 0, 0, 12) - AIC:1255.9835656483847
SARIMA(3, 1, 2)x(0, 0, 1, 12) - AIC:1086.7092402616931
SARIMA(3, 1, 2)x(0, 0, 2, 12) - AIC:917.7980111743593
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 2)x(0, 0, 3, 12) - AIC:3907.9754003683133
SARIMA(3, 1, 2)x(1, 0, 0, 12) - AIC:1066.2776211359667
SARIMA(3, 1, 2)x(1, 0, 1, 12) - AIC:1046.1260524471309
SARIMA(3, 1, 2)x(1, 0, 2, 12) - AIC:909.2875091740544
SARIMA(3, 1, 2)x(1, 0, 3, 12) - AIC:3522.4964048100464
SARIMA(3, 1, 2)x(2, 0, 0, 12) - AIC:889.3183828655746
SARIMA(3, 1, 2)x(2, 0, 1, 12) - AIC:890.3277441192816
SARIMA(3, 1, 2)x(2, 0, 2, 12) - AIC:896.1449588288822
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 2)x(2, 0, 3, 12) - AIC:4132.51353468468
SARIMA(3, 1, 2)x(3, 0, 0, 12) - AIC:777.2505638721133
SARIMA(3, 1, 2)x(3, 0, 1, 12) - AIC:776.3462157596755
SARIMA(3, 1, 2)x(3, 0, 2, 12) - AIC:774.8809379012717
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 2)x(3, 0, 3, 12) - AIC:3803.1453667314477
SARIMA(3, 1, 3)x(0, 0, 0, 12) - AIC:1243.7385910067642
SARIMA(3, 1, 3)x(0, 0, 1, 12) - AIC:1060.5397650502816
SARIMA(3, 1, 3)x(0, 0, 2, 12) - AIC:910.3340191085928
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 3)x(0, 0, 3, 12) - AIC:3745.5520041951904
SARIMA(3, 1, 3)x(1, 0, 0, 12) - AIC:1067.0471158124926
SARIMA(3, 1, 3)x(1, 0, 1, 12) - AIC:1039.7662380613049
SARIMA(3, 1, 3)x(1, 0, 2, 12) - AIC:900.0483664211636
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 3)x(1, 0, 3, 12) - AIC:5088.16146818907
SARIMA(3, 1, 3)x(2, 0, 0, 12) - AIC:884.0463711767236
SARIMA(3, 1, 3)x(2, 0, 1, 12) - AIC:885.9217116475709
SARIMA(3, 1, 3)x(2, 0, 2, 12) - AIC:880.5595715039394
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 3)x(2, 0, 3, 12) - AIC:3846.133966300414
SARIMA(3, 1, 3)x(3, 0, 0, 12) - AIC:775.5610184871357
SARIMA(3, 1, 3)x(3, 0, 1, 12) - AIC:776.3690400436935
SARIMA(3, 1, 3)x(3, 0, 2, 12) - AIC:778.2316174188821
SARIMA(3, 1, 3)x(3, 0, 3, 12) - AIC:2802.222641228999
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
In [572…
SARIMA_AIC.sort_values(by=['AIC']).head()
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Out[572… param seasonal AIC
222 (3, 1, 1) (3, 0, 2, 12) 774.400285
238 (3, 1, 2) (3, 0, 2, 12) 774.880938
220 (3, 1, 1) (3, 0, 0, 12) 775.426699
221 (3, 1, 1) (3, 0, 1, 12) 775.495330
252 (3, 1, 3) (3, 0, 0, 12) 775.561018
In [573…
import statsmodels.api as sm
auto_SARIMA = sm.tsa.statespace.SARIMAX(rtrain['Rose'],
order=(3, 1, 1),
seasonal_order=(3, 0, 2, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_auto_SARIMA = auto_SARIMA.fit(maxiter=1000)
print(results_auto_SARIMA.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
======================
Dep. Variable: Rose No. Observation
s: 132
Model: SARIMAX(3, 1, 1)x(3, 0, [1, 2], 12) Log Likelihood
-377.200
Date: Sat, 27 Mar 2021 AIC
774.400
Time: 14:16:50 BIC
799.618
Sample: 01-01-1980 HQIC
784.578
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 0.0464 0.126 0.367 0.714 -0.202
0.294
ar.L2 -0.0060 0.120 -0.050 0.960 -0.241
0.229
ar.L3 -0.1808 0.098 -1.837 0.066 -0.374
0.012
ma.L1 -0.9370 0.067 -13.904 0.000 -1.069 -
0.805
ar.S.L12 0.7639 0.165 4.639 0.000 0.441
1.087
ar.S.L24 0.0840 0.159 0.527 0.598 -0.229
0.397
ar.S.L36 0.0727 0.095 0.764 0.445 -0.114
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a .S. 36 0.0 0.0 5 0. 6 0. 5 0.
0.259
ma.S.L12 -0.4968 0.250 -1.988 0.047 -0.987 -
0.007
ma.S.L24 -0.2191 0.210 -1.044 0.296 -0.630
0.192
sigma2 192.1607 39.630 4.849 0.000 114.487 26
9.834
=========================================================================
==========
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB):
1.64
Prob(Q): 0.58 Prob(JB):
0.44
Heteroskedasticity (H): 1.11 Skew:
0.33
Prob(H) (two-sided): 0.77 Kurtosis:
3.03
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
In [574…
results_auto_SARIMA.plot_diagnostics();
plt.savefig('rose_sarima_auto_30212_diag_plot.jpg', bbox_inches='tight')
Out[574…
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Predict on the Test Set using this model and
evaluate the model.
In [575…
predicted_auto_SARIMA = results_auto_SARIMA.get_forecast(steps=len(rtest)
predicted_auto_SARIMA1= results_auto_SARIMA.get_prediction(start=pd.to_da
In [576…
predicted_auto_SARIMA.summary_frame(alpha=0.05).head()
Out[576… Rose mean mean_se mean_ci_lower mean_ci_upper
1991-01-01 55.235174 13.907775 27.976436 82.493913
1991-02-01 68.123024 13.991219 40.700739 95.545310
1991-03-01 67.908688 14.012270 40.445143 95.372233
1991-04-01 66.786177 14.099578 39.151513 94.420842
1991-05-01 69.760081 14.108937 42.107073 97.413089
In [577…
predicted_auto_SARIMA1
<statsmodels.tsa.statespace.mlemodel.PredictionResultsWrapper at 0x7ffedd
Out[577…
d10a90>
In [578…
rmse = mean_squared_error(rtest['Rose'],predicted_auto_SARIMA.predicted_m
mape = mean_absolute_percentage_error(rtest['Rose'],predicted_auto_SARIMA
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 18.88192892028345
MAPE: 36.375464857240615
In [579…
temp_resultsDf = pd.DataFrame({'Test RMSE Rose': rmse,'Test MAPE Rose':ma
,index=['SARIMA(3, 1, 1)(3, 0, 2, 12)'])
resultsDf = pd.concat([resultsR0,temp_resultsDf])
resultsDf
Out[579… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
SARIMA(3, 1, 1)(3, 0, 2, 12) 18.881929 36.375465
In [580…
resultsR0 = resultsDf.copy()
resultsR0.to_csv('rose_auto_sarima.csv')
resultsR0
Out[580 Test RMSE Rose Test MAPE Rose
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Out[580… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
SARIMA(3, 1, 1)(3, 0, 2, 12) 18.881929 36.375465
In [581…
## Plotting the Training data, Test data and the forecasted values
plt.plot(rtrain, label='Train')
plt.plot(rtest, label='Test')
# plt.plot(predicted_auto_SARIMA,label='SARIMA(3, 1, 1)(3, 0, 2, 12)')
# predicted_auto_SARIMA.plot(label='SARIMA(3, 1, 1)(3, 0, 2, 12)')
predicted_auto_SARIMA.predicted_mean.plot(label='SARIMA(3, 1, 1)(3, 0, 2,
plt.legend(loc='best')
plt.grid()
plt.title('SARIMA(3, 1, 1)(3, 0, 2, 12) - Rose', fontsize=17);
plt.savefig('rose_sarima_auto_30212.jpg', bbox_inches='tight');
Build a version of the SARIMA model for which
the best parameters are selected by looking at
the ACF and the PACF plots. - Seasonality at 12
Let us look at the ACF and the PACF plots once more.
In [582…
plot_acf(rtrain.diff(),title='Training Data Autocorrelation - Rose',missi
plot_pacf(rtrain.diff().dropna(),title='Training Data Partial Autocorrela
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Here, we have taken alpha=0.05.
We are going to take the seasonal period as 12
We are taking the p value to be 2
and the q value also to be 2 as the parameters same as the ARIMA model.
The Auto-Regressive parameter in an SARIMA model is 'P' which comes from
the significant lag after which the PACF plot cuts-off to 0.
The Moving-Average parameter in an SARIMA model is 'Q' which comes from
the significant lag after which the ACF plot cuts-off to 3.
In [583…
import statsmodels.api as sm
manual_SARIMA = sm.tsa.statespace.SARIMAX(rtrain['Rose'],
order=(2,1,2),
seasonal_order=(2, 1, 2, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_manual_SARIMA = manual_SARIMA.fit(maxiter=1000)
print(results_manual_SARIMA.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
=================
Dep. Variable: Rose No. Observations:
132
Model: SARIMAX(2, 1, 2)x(2, 1, 2, 12) Log Likelihood
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( , , ) ( , , , ) g
-379.498
Date: Sat, 27 Mar 2021 AIC
776.996
Time: 14:16:57 BIC
799.692
Sample: 01-01-1980 HQIC
786.156
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 -0.8551 0.146 -5.838 0.000 -1.142 -
0.568
ar.L2 -0.0022 0.125 -0.017 0.986 -0.247
0.242
ma.L1 -0.0128 0.193 -0.066 0.947 -0.392
0.366
ma.L2 -1.0600 0.168 -6.293 0.000 -1.390 -
0.730
ar.S.L12 0.0347 0.185 0.188 0.851 -0.328
0.397
ar.S.L24 -0.0459 0.029 -1.599 0.110 -0.102
0.010
ma.S.L12 -0.7223 0.333 -2.172 0.030 -1.374 -
0.071
ma.S.L24 -0.0772 0.212 -0.364 0.716 -0.493
0.339
sigma2 171.0467 54.135 3.160 0.002 64.944 27
7.150
=========================================================================
==========
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB):
7.06
Prob(Q): 0.86 Prob(JB):
0.03
Heteroskedasticity (H): 0.87 Skew:
0.45
Prob(H) (two-sided): 0.71 Kurtosis:
4.01
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
In [584…
import statsmodels.api as sm
manual_SARIMA = sm.tsa.statespace.SARIMAX(rtrain['Rose'],
order=(2,1,2),
seasonal_order=(3, 1, 2, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_manual_SARIMA1 = manual_SARIMA.fit(maxiter=1000)
print(results_manual_SARIMA1.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
i f d f MS ill b d
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so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
=================
Dep. Variable: Rose No. Observations:
132
Model: SARIMAX(2, 1, 2)x(3, 1, 2, 12) Log Likelihood
-334.893
Date: Sat, 27 Mar 2021 AIC
689.786
Time: 14:17:05 BIC
713.730
Sample: 01-01-1980 HQIC
699.392
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 0.7091 0.403 1.758 0.079 -0.081
1.499
ar.L2 -0.1504 0.176 -0.856 0.392 -0.495
0.194
ma.L1 -1.6098 0.422 -3.819 0.000 -2.436 -
0.784
ma.L2 0.6496 0.396 1.639 0.101 -0.127
1.426
ar.S.L12 -0.0423 0.234 -0.181 0.857 -0.501
0.416
ar.S.L24 -0.0170 0.158 -0.108 0.914 -0.327
0.293
ar.S.L36 2.067e-06 0.067 3.1e-05 1.000 -0.131
0.131
ma.S.L12 -0.8407 52.428 -0.016 0.987 -103.599 10
1.917
ma.S.L24 -0.1605 8.180 -0.020 0.984 -16.193 1
5.872
sigma2 185.4804 9715.078 0.019 0.985 -1.89e+04 1.9
2e+04
=========================================================================
==========
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB):
4.59
Prob(Q): 0.82 Prob(JB):
0.10
Heteroskedasticity (H): 0.63 Skew:
0.48
Prob(H) (two-sided): 0.24 Kurtosis:
3.67
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
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In [585…
results_manual_SARIMA.plot_diagnostics()
plt.savefig('rose_sarima_21212.jpg', bbox_inches='tight');
In [586…
results_manual_SARIMA1.plot_diagnostics()
plt.savefig('rose_sarima_31212.jpg', bbox_inches='tight');
Predict on the Test Set using this model and
evaluate the model.
In [587…
predicted_manual_SARIMA = results_manual_SARIMA.get_forecast(steps=len(rt
predicted_manual_SARIMA1 = results_manual_SARIMA1.get_forecast(steps=len(
In [588…
rmse = mean_squared_error(rtest['Rose'],predicted_manual_SARIMA.predicted
mape = mean_absolute_percentage_error(rtest['Rose'],predicted_manual_SARI
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 16.55096022982394
MAPE: 25 477542490098948
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MAPE: 25.477542490098948
In [589…
rmse = mean_squared_error(rtest['Rose'],predicted_manual_SARIMA1.predicte
mape = mean_absolute_percentage_error(rtest['Rose'],predicted_manual_SARI
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 15.357056655945197
MAPE: 22.955088595573685
In [590…
temp_resultsDf = pd.DataFrame({'Test RMSE Rose': [rmse],'Test MAPE Rose':
,index=['SARIMA(2,1,2)(3,1,2,12)'])
resultsDf = pd.concat([resultsDf,temp_resultsDf])
resultsDf
Out[590… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
SARIMA(3, 1, 1)(3, 0, 2, 12) 18.881929 36.375465
SARIMA(2,1,2)(3,1,2,12) 15.357057 22.955089
In [591…
resultsR0 = resultsDf.copy()
In [592…
plt.plot(rtrain, label='Train')
plt.plot(rtest, label ='Test')
predicted_manual_SARIMA.predicted_mean.plot(label = 'SARIMA (2, 1, 2) (2,
plt.grid()
plt.legend(loc='best')
plt.title('SARIMA (2, 1, 2) (2, 1, 2, 12) Forecast - ROSE', fontsize=17)
plt.savefig('rose_sarima_manual_forecast.jpg', bbox_inches='tight');
In [593…
plt.plot(rtrain, label='Train')
plt.plot(rtest, label ='Test')
predicted manual SARIMA1.predicted mean.plot(label = 'SARIMA (2, 1, 2) (3
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predicted_manual_SARIMA1.predicted_mean.plot(label SARIMA (2, 1, 2) (3
plt.grid()
plt.legend(loc='best')
plt.title('SARIMA (2, 1, 2) (3, 1, 2, 12) Forecast - ROSE', fontsize=17)
plt.savefig('rose_sarima_manual_forecast1.jpg', bbox_inches='tight');
Building the most optimum model on the Full
Data.
Here, we have a scenario where our training data was stationary but our full data
was not stationary. So, we will use the same parameters as our training data but
with adding a level of differencing which is needed for the data to be stationary.
In [594…
full_data_model = sm.tsa.statespace.SARIMAX(dfr['Rose'],
order=(2,1,2),
seasonal_order=(2,1,2,12),
enforce_stationarity=False,
enforce_invertibility=False)
results_full_data_model = full_data_model.fit(maxiter=1000)
print(results_full_data_model.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
=================
Dep. Variable: Rose No. Observations:
187
Model: SARIMAX(2, 1, 2)x(2, 1, 2, 12) Log Likelihood
-587.531
Date: Sat, 27 Mar 2021 AIC
1193.062
Time: 14:17:14 BIC
1219.976
Sample: 01-01-1980 HQIC
1203.997
- 07-01-1995
Covariance Type: opg
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Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 -0.8649 0.101 -8.556 0.000 -1.063 -
0.667
ar.L2 0.0340 0.091 0.375 0.707 -0.144
0.211
ma.L1 0.0892 169.811 0.001 1.000 -332.734 33
2.912
ma.L2 -0.9108 154.672 -0.006 0.995 -304.063 30
2.241
ar.S.L12 0.0719 0.165 0.435 0.664 -0.252
0.396
ar.S.L24 -0.0357 0.017 -2.046 0.041 -0.070 -
0.002
ma.S.L12 -0.6870 0.222 -3.094 0.002 -1.122 -
0.252
ma.S.L24 -0.0549 0.150 -0.365 0.715 -0.350
0.240
sigma2 158.9057 2.7e+04 0.006 0.995 -5.27e+04 5.3
1e+04
=========================================================================
==========
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB):
10.12
Prob(Q): 0.83 Prob(JB):
0.01
Heteroskedasticity (H): 0.53 Skew:
0.35
Prob(H) (two-sided): 0.03 Kurtosis:
4.08
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
Evaluate the model on the whole data and
predict 12 months into the future
In [595…
predicted_manual_SARIMA_full_data = results_full_data_model.get_forecast(
In [596…
pred_full_manual_SARIMA_date = predicted_manual_SARIMA_full_data.summary_
pred_full_manual_SARIMA_date.head()
Out[596… Rose mean mean_se mean_ci_lower mean_ci_upper
1995-08-01 43.083183 12.674168 18.242271 67.924095
1995-09-01 43.341539 12.959930 17.940542 68.742535
1995-10-01 45.827000 12.963927 20.418170 71.235830
1995-11-01 57.396966 13.124657 31.673111 83.120821
1995-12-01 85.074561 13.133487 59.333399 110.815723
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In [597…
rmse = mean_squared_error(dfr['Rose'],results_full_data_model.fittedvalue
print('RMSE of the Full Model',rmse)
RMSE of the Full Model 35.911101459061385
In [598…
axis = dfr['Rose'].plot(label='Observed')
pred_full_manual_SARIMA_date['mean'].plot(ax=axis, label='Forecast', alph
axis.set_xlabel('YearMonth')
axis.set_ylabel('Rose_Sales')
plt.legend(loc='best')
plt.grid();
plt.title('SARIMA(2,1,2)(2,1,2,12) Forecast Next 12 Months - Rose', fonts
plt.savefig('rose_forecast.jpg', bbox_inches='tight');
In [599…
resultsDf
Out[599… Test RMSE Rose Test MAPE Rose
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
SARIMA(3, 1, 1)(3, 0, 2, 12) 18.881929 36.375465
SARIMA(2,1,2)(3,1,2,12) 15.357057 22.955089
In [600…
resultsR0 = resultsDf.copy()
resultsR0.to_csv('rose_all_arima.csv')
In [602…
results_rose = pd.concat([resultsDf14, resultsR0], axis=0)
results_rose
Out[602… Test
Test RMSE Test MAPE
RMSE
Sparkling Rose
Rose
RegressionOnTime 15 268955 1389 135175 NaN
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RegressionOnTime 15.268955 1389.135175 NaN
NaiveModel 79.718773 3864.279352 NaN
SimpleAverageModel 53.460570 1275.081804 NaN
2pointTrailingMovingAverage 11.529278 813.400684 NaN
4pointTrailingMovingAverage 14.451403 1156.589694 NaN
6pointTrailingMovingAverage 14.566327 1283.927428 NaN
9pointTrailingMovingAverage 14.727630 1346.278315 NaN
Simple Exponential Smoothing 36.796225 1338.004623 NaN
Double Exponential Smoothing 15.270968 5291.879833 NaN
Triple Exponential Smoothing (Additive
14.243240 378.626241 NaN
Season)
Triple Exponential Smoothing (Multiplicative
19.113110 403.706228 NaN
Season)
Triple Exponential Smoothing (Additive
26.039948 378.626241 NaN
Season, Damped Trend)
Triple Exponential Smoothing (Multiplicative
25.994867 352.450966 NaN
Season, Damped Trend)
ARIMA(2,1,3) 36.812249 NaN 75.837193
ARIMA(2,1,2) 36.871197 NaN 76.056213
SARIMA(3, 1, 1)(3, 0, 2, 12) 18.881929 NaN 36.375465
SARIMA(2,1,2)(3,1,2,12) 15.357057 NaN 22.955089
In [604…
results_rose.sort_values(by=['Test RMSE Rose']).to_csv('results_rose.csv'
In [601…
resultsDf.sort_values(by=['Test RMSE Rose'])
Out[601… Test RMSE Rose Test MAPE Rose
SARIMA(2,1,2)(3,1,2,12) 15.357057 22.955089
SARIMA(3, 1, 1)(3, 0, 2, 12) 18.881929 36.375465
ARIMA(2,1,3) 36.812249 75.837193
ARIMA(2,1,2) 36.871197 76.056213
===========================
ARIMA / SARIMA Modelling on SPARKLING
dataset
Check for stationarity of the Training Data - Sparkling
Let us plot the training data once.
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In [605…
strain.plot(grid=True);
In [606…
dftest = adfuller(strain,regression='ct')
print('DF test statistic is %3.3f' %dftest[0])
print('DF test p-value is' ,dftest[1])
print('Number of lags used' ,dftest[2])
DF test statistic is -2.062
DF test p-value is 0.56741103885937
Number of lags used 12
The training data is non-stationary at 95% confidence level. Let us take a first level
of differencing to stationarize the Time Series.
In [607…
dftest = adfuller(strain.diff().dropna(),regression='ct')
print('DF test statistic is %3.3f' %dftest[0])
print('DF test p-value is' ,dftest[1])
print('Number of lags used' ,dftest[2])
DF test statistic is -7.968
DF test p-value is 8.479210655513744e-11
Number of lags used 11
Training data is now Stationary
Now, let us go ahead and plot the differenced
training data.
In [608…
strain.diff().dropna().plot(grid=True);
plt.title('Sparkling Train Stationary Time Series with lag 1', fontsize=1
plt.savefig('spark_train_stationary.jpg', bbox_inches='tight');
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In [609…
strain.info()
<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 132 entries, 1980-01-01 to 1990-12-01
Data columns (total 1 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 Sparkling 132 non-null int64
dtypes: int64(1)
memory usage: 2.1 KB
Build an Automated version of an ARIMA
model for which the best parameters are
selected in accordance with the lowest Akaike
Information Criteria (AIC) - SPARKLING
Note: The data has some seasonality so ideally we should build a SARIMA model.
But we'll check least AIC of ARIMA and then SARIMA
In [610…
## The following loop helps us in getting a combination of different para
## We have kept the value of d as 1 as we need to take a difference of th
import itertools
p = q = range(0, 4)
d= range(1,2)
pdq = list(itertools.product(p, d, q))
print('Examples of the parameter combinations for the Model')
for i in range(0,len(pdq)):
print('Model: {}'.format(pdq[i]))
Examples of the parameter combinations for the Model
Model: (0, 1, 0)
Model: (0, 1, 1)
Model: (0, 1, 2)
Model: (0, 1, 3)
Model: (1, 1, 0)
Model: (1, 1, 1)
Model: (1, 1, 2)
Model: (1, 1, 3)
Model: (2, 1, 0)
Model: (2, 1, 1)
Model: (2, 1, 2)
Model: (2, 1, 3)
Model: (3, 1, 0)
Model: (3, 1, 1)
Model: (3, 1, 2)
Model: (3, 1, 3)
In [611…
# Creating an empty Dataframe with column names only
ARIMA_AIC = pd.DataFrame(columns=['param', 'AIC'])
ARIMA_AIC
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Out[611… param AIC
In [612…
from statsmodels.tsa.arima.model import ARIMA
for param in pdq:# running a loop within the pdq parameters defined by it
ARIMA_model = ARIMA(strain['Sparkling'].values,order=param).fit()#fit
#using the parameters from the loop
print('ARIMA{} - AIC:{}'.format(param,ARIMA_model.aic))#printing the
#from the fitted models
ARIMA_AIC = ARIMA_AIC.append({'param':param, 'AIC': ARIMA_model.aic},
#appending the AIC values and the model parameters to the previously
#for easier understanding and sorting of the AIC values
ARIMA(0, 1, 0) - AIC:2267.6630357855465
ARIMA(0, 1, 1) - AIC:2263.060015591336
ARIMA(0, 1, 2) - AIC:2234.408323126579
ARIMA(0, 1, 3) - AIC:2233.9948577488954
ARIMA(1, 1, 0) - AIC:2266.6085393190087
ARIMA(1, 1, 1) - AIC:2235.7550946672563
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/st
atespace/sarimax.py:978: UserWarning: Non-invertible starting MA paramete
rs found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
ARIMA(1, 1, 2) - AIC:2234.5272004517738
ARIMA(1, 1, 3) - AIC:2235.60780915136
ARIMA(2, 1, 0) - AIC:2260.36574396809
ARIMA(2, 1, 1) - AIC:2233.777626315349
ARIMA(2, 1, 2) - AIC:2213.509212451414
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
ARIMA(2, 1, 3) - AIC:2232.8722214888976
ARIMA(3, 1, 0) - AIC:2257.72337899794
ARIMA(3, 1, 1) - AIC:2235.4989166426767
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
ARIMA(3, 1, 2) - AIC:2230.758014766513
ARIMA(3, 1, 3) - AIC:2221.4625120053342
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
In [613…
## Sort the above AIC values in the ascending order to get the parameters
ARIMA_AIC.sort_values(by='AIC',ascending=True).head()
Out[613… param AIC
10 (2, 1, 2) 2213.509212
15 (3, 1, 3) 2221.462512
14 (3, 1, 2) 2230.758015
11 (2, 1, 3) 2232.872221
9 (2, 1, 1) 2233.777626
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In [614…
auto_ARIMA = ARIMA(strain, order=(2,1,2))
results_auto_ARIMA = auto_ARIMA.fit()
print(results_auto_ARIMA.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
=====
Dep. Variable: Sparkling No. Observations:
132
Model: ARIMA(2, 1, 2) Log Likelihood -110
1.755
Date: Sat, 27 Mar 2021 AIC 221
3.509
Time: 14:50:05 BIC 222
7.885
Sample: 01-01-1980 HQIC 221
9.351
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 1.3121 0.046 28.779 0.000 1.223
1.401
ar.L2 -0.5593 0.072 -7.740 0.000 -0.701 -
0.418
ma.L1 -1.9917 0.109 -18.217 0.000 -2.206 -
1.777
ma.L2 0.9999 0.110 9.109 0.000 0.785
1.215
sigma2 1.099e+06 1.99e-07 5.51e+12 0.000 1.1e+06 1.
1e+06
=========================================================================
==========
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB):
14.46
Prob(Q): 0.67 Prob(JB):
0.00
Heteroskedasticity (H): 2.43 Skew:
0.61
Prob(H) (two-sided): 0.00 Kurtosis:
4.08
=========================================================================
==========
Warnings:
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[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
[2] Covariance matrix is singular or near-singular, with condition number
5.57e+27. Standard errors may be unstable.
Diagnostics plot - Sparkling
In [615…
results_auto_ARIMA.plot_diagnostics();
plt.savefig('spark_arima_diag_plot.jpg', bbox_inches='tight');
Predict on the Test Set using this model and
evaluate the model.
In [616…
predicted_auto_ARIMA = results_auto_ARIMA.forecast(steps=len(stest))
In [617…
## Mean Absolute Percentage Error (MAPE) - Function Definition
def mean_absolute_percentage_error(y_true, y_pred):
return np.mean((np.abs(y_true-y_pred))/(y_true))*100
## Importing the mean_squared_error function from sklearn to calculate th
from sklearn.metrics import mean_squared_error
In [618…
rmse = mean_squared_error(stest['Sparkling'],predicted_auto_ARIMA,squared
mape = mean_absolute_percentage_error(stest['Sparkling'],predicted_auto_A
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 1299.9791952854541
MAPE: 47.09993235502316
In [619…
resultsDf = pd.DataFrame({'RMSE': rmse,'MAPE':mape}
,index=['ARIMA(2,1,2)'])
resultsDf.to_csv('spark_arima_auto_212.csv')
resultsDf
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Out[619… RMSE MAPE
ARIMA(2,1,2) 1299.979195 47.099932
In [620…
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(predicted_auto_ARIMA, label='ARIMA (2, 1, 2)')
plt.title('ARIMA (2, 1, 2) - Sparkling', fontsize=17)
plt.grid()
plt.legend(loc='best')
plt.savefig('spark_arima_auto_212.jpg', bbox_inches='tight');
Build a version of the ARIMA model for which
the best parameters are selected by looking at
the ACF and the PACF plots - SPARKLING
Let us look at the ACF and the PACF plots once more.
In [621…
plot_acf(strain.diff(),missing='drop')
plt.title('Sparkling Training Data Autocorrelation', fontsize=17)
plt.savefig('spark_train_acf.jpg', bbox_inches='tight');
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In [622…
plot_pacf(strain.diff().dropna(),title='Training Data Partial Autocorrela
plt.title('Sparkling Training Data Partial Autocorrelation', fontsize=17)
plt.savefig('spark_train_pacf.jpg', bbox_inches='tight');
By looking at the above plots, we will take the value of p and q to be 0 and 0
respectively.
In [623…
manual_ARIMA = ARIMA(strain['Sparkling'], order=(0,1,0))
results_manual_ARIMA = manual_ARIMA.fit()
print(results_manual_ARIMA.summary())
SARIMAX Results
=========================================================================
=====
Dep. Variable: Sparkling No. Observations:
132
Model: ARIMA(0, 1, 0) Log Likelihood -113
2.832
Date: Sat, 27 Mar 2021 AIC 226
7.663
Time: 14:50:09 BIC 227
0.538
Sample: 01-01-1980 HQIC 226
8.831
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
sigma2 1.885e+06 1.29e+05 14.658 0.000 1.63e+06 2.1
4e+06
=========================================================================
==========
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Ljung-Box (L1) (Q): 3.07 Jarque-Bera (JB):
198.83
Prob(Q): 0.08 Prob(JB):
0.00
Heteroskedasticity (H): 2.46 Skew:
-1.92
Prob(H) (two-sided): 0.00 Kurtosis:
7.65
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
Let us analyse the residuals from the various diagnostics plot.
In [624…
results_manual_ARIMA.plot_diagnostics();
plt.savefig('spark_train_diag_plot.jpg', bbox_inches='tight');
Predict on the Test Set using this model and
evaluate the model.
In [625…
predicted_manual_ARIMA = results_manual_ARIMA.forecast(steps=len(stest))
In [626…
rmse = mean_squared_error(stest['Sparkling'],predicted_manual_ARIMA,squar
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mape = mean_absolute_percentage_error(stest['Sparkling'],predicted_manual
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 3864.2793518443914
MAPE: 201.32764950352743
In [627…
temp_resultsDf = pd.DataFrame({'RMSE': rmse,'MAPE':mape}
,index=['ARIMA(0,1,0)'])
resultsDf = pd.concat([resultsDf,temp_resultsDf])
resultsDf
Out[627… RMSE MAPE
ARIMA(2,1,2) 1299.979195 47.099932
ARIMA(0,1,0) 3864.279352 201.327650
In [628…
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
plt.plot(predicted_manual_ARIMA, label='ARIMA (0, 1, 0) Forecast')
plt.grid()
plt.legend(loc='best')
plt.title('ARIMA (0, 1, 0) Forecast- Sparkling', fontsize=17)
plt.savefig('spark_manual_arima_010.jpg', bbox_inches='tight');
Build an Automated version of a SARIMA
model for which the best parameters are
selected in accordance with the lowest Akaike
Information Criteria (AIC) - SPARKLING
Let us look at the ACF plot once more to understand the seasonal parameter for
the SARIMA model.
In [629…
plot_acf(strain.diff(),title='Training Data Autocorrelation',missing='dro
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We can see that there is a seasonality.
In [630…
import itertools
p = q = range(0, 4)
d= range(1,2)
D = range(0,1)
pdq = list(itertools.product(p, d, q))
PDQ = [(x[0], x[1], x[2], 12) for x in list(itertools.product(p, D, q))]
print('Examples of the parameter combinations for the Model are')
for i in range(1,len(pdq)):
print('Model: {}{}'.format(pdq[i], PDQ[i]))
Examples of the parameter combinations for the Model are
Model: (0, 1, 1)(0, 0, 1, 12)
Model: (0, 1, 2)(0, 0, 2, 12)
Model: (0, 1, 3)(0, 0, 3, 12)
Model: (1, 1, 0)(1, 0, 0, 12)
Model: (1, 1, 1)(1, 0, 1, 12)
Model: (1, 1, 2)(1, 0, 2, 12)
Model: (1, 1, 3)(1, 0, 3, 12)
Model: (2, 1, 0)(2, 0, 0, 12)
Model: (2, 1, 1)(2, 0, 1, 12)
Model: (2, 1, 2)(2, 0, 2, 12)
Model: (2, 1, 3)(2, 0, 3, 12)
Model: (3, 1, 0)(3, 0, 0, 12)
Model: (3, 1, 1)(3, 0, 1, 12)
Model: (3, 1, 2)(3, 0, 2, 12)
Model: (3, 1, 3)(3, 0, 3, 12)
In [631…
SARIMA_AIC = pd.DataFrame(columns=['param','seasonal', 'AIC'])
SARIMA_AIC
Out[631… param seasonal AIC
In [632…
import statsmodels.api as sm
for param in pdq:
for param_seasonal in PDQ:
SARIMA_model = sm.tsa.statespace.SARIMAX(strain['Sparkling'].valu
order=param,
seasonal_order=param_seasonal
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enforce_stationarity=False,
enforce_invertibility=False)
results_SARIMA = SARIMA_model.fit(maxiter=1000)
print('SARIMA{}x{} - AIC:{}'.format(param, param_seasonal, result
SARIMA_AIC = SARIMA_AIC.append({'param':param,'seasonal':param_se
SARIMA(0, 1, 0)x(0, 0, 0, 12) - AIC:2251.3597196862966
SARIMA(0, 1, 0)x(0, 0, 1, 12) - AIC:1956.2614616846495
SARIMA(0, 1, 0)x(0, 0, 2, 12) - AIC:1723.153364023484
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(0, 0, 3, 12) - AIC:3233.0728811525782
SARIMA(0, 1, 0)x(1, 0, 0, 12) - AIC:1837.4366022456675
SARIMA(0, 1, 0)x(1, 0, 1, 12) - AIC:1806.9905301389254
SARIMA(0, 1, 0)x(1, 0, 2, 12) - AIC:1633.2108735791417
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(1, 0, 3, 12) - AIC:3654.4599434356355
SARIMA(0, 1, 0)x(2, 0, 0, 12) - AIC:1648.3776153470858
SARIMA(0, 1, 0)x(2, 0, 1, 12) - AIC:1647.20541586126
SARIMA(0, 1, 0)x(2, 0, 2, 12) - AIC:1630.989805392085
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(2, 0, 3, 12) - AIC:3425.9454460337265
SARIMA(0, 1, 0)x(3, 0, 0, 12) - AIC:1467.4574095308406
SARIMA(0, 1, 0)x(3, 0, 1, 12) - AIC:1469.187105262565
SARIMA(0, 1, 0)x(3, 0, 2, 12) - AIC:1471.0594530064977
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 0)x(3, 0, 3, 12) - AIC:3207.480669367104
SARIMA(0, 1, 1)x(0, 0, 0, 12) - AIC:2230.162907850584
SARIMA(0, 1, 1)x(0, 0, 1, 12) - AIC:1923.768864956665
SARIMA(0, 1, 1)x(0, 0, 2, 12) - AIC:1692.7089572785467
SARIMA(0, 1, 1)x(0, 0, 3, 12) - AIC:7384.385998588748
SARIMA(0, 1, 1)x(1, 0, 0, 12) - AIC:1797.179588183819
SARIMA(0, 1, 1)x(1, 0, 1, 12) - AIC:1738.0903193770848
SARIMA(0, 1, 1)x(1, 0, 2, 12) - AIC:1570.1319656311694
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(1, 0, 3, 12) - AIC:3350.2109990889394
SARIMA(0, 1, 1)x(2, 0, 0, 12) - AIC:1605.6751954175038
SARIMA(0, 1, 1)x(2, 0, 1, 12) - AIC:1599.2245085126938
SARIMA(0, 1, 1)x(2, 0, 2, 12) - AIC:1570.4018824194525
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(2, 0, 3, 12) - AIC:3148.844863473218
SARIMA(0, 1, 1)x(3, 0, 0, 12) - AIC:1428.4607679621838
SARIMA(0, 1, 1)x(3, 0, 1, 12) - AIC:1428.8727987761347
SARIMA(0, 1, 1)x(3, 0, 2, 12) - AIC:1429.5889259941462
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
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o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 1)x(3, 0, 3, 12) - AIC:3148.2265090900473
SARIMA(0, 1, 2)x(0, 0, 0, 12) - AIC:2187.441010168716
SARIMA(0, 1, 2)x(0, 0, 1, 12) - AIC:1887.9128007201448
SARIMA(0, 1, 2)x(0, 0, 2, 12) - AIC:1659.878989044937
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(0, 0, 3, 12) - AIC:328.3432014509426
SARIMA(0, 1, 2)x(1, 0, 0, 12) - AIC:1790.0326332308982
SARIMA(0, 1, 2)x(1, 0, 1, 12) - AIC:1724.167507602131
SARIMA(0, 1, 2)x(1, 0, 2, 12) - AIC:1557.1605067953274
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(1, 0, 3, 12) - AIC:3957.1096963663927
SARIMA(0, 1, 2)x(2, 0, 0, 12) - AIC:1603.9654774529552
SARIMA(0, 1, 2)x(2, 0, 1, 12) - AIC:1600.5438810609037
SARIMA(0, 1, 2)x(2, 0, 2, 12) - AIC:1557.1211887794698
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(2, 0, 3, 12) - AIC:3763.5831882149214
SARIMA(0, 1, 2)x(3, 0, 0, 12) - AIC:1428.599340792235
SARIMA(0, 1, 2)x(3, 0, 1, 12) - AIC:1429.7448371016283
SARIMA(0, 1, 2)x(3, 0, 2, 12) - AIC:1430.6883846066264
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 2)x(3, 0, 3, 12) - AIC:3760.994185583773
SARIMA(0, 1, 3)x(0, 0, 0, 12) - AIC:2168.092540843854
SARIMA(0, 1, 3)x(0, 0, 1, 12) - AIC:1873.9770700767267
SARIMA(0, 1, 3)x(0, 0, 2, 12) - AIC:1643.2973663539874
SARIMA(0, 1, 3)x(0, 0, 3, 12) - AIC:7219.150098566697
SARIMA(0, 1, 3)x(1, 0, 0, 12) - AIC:1792.0340892645388
SARIMA(0, 1, 3)x(1, 0, 1, 12) - AIC:1710.640407992547
SARIMA(0, 1, 3)x(1, 0, 2, 12) - AIC:1542.7418987071455
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(1, 0, 3, 12) - AIC:2892.3332108526592
SARIMA(0, 1, 3)x(2, 0, 0, 12) - AIC:1604.571580738762
SARIMA(0, 1, 3)x(2, 0, 1, 12) - AIC:1601.0674815939813
SARIMA(0, 1, 3)x(2, 0, 2, 12) - AIC:1543.0486177143111
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(2, 0, 3, 12) - AIC:2480.9435648151407
SARIMA(0, 1, 3)x(3, 0, 0, 12) - AIC:1429.6529448028239
SARIMA(0, 1, 3)x(3, 0, 1, 12) - AIC:1441.1435174763608
SARIMA(0, 1, 3)x(3, 0, 2, 12) - AIC:1431.154479647332
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(0, 1, 3)x(3, 0, 3, 12) - AIC:3355.871172947651
SARIMA(1, 1, 0)x(0, 0, 0, 12) - AIC:2250.3181267386713
SARIMA(1 1 0)x(0 0 1 12) AIC:1954 3938339904505
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SARIMA(1, 1, 0)x(0, 0, 1, 12) - AIC:1954.3938339904505
SARIMA(1, 1, 0)x(0, 0, 2, 12) - AIC:1721.2688476355704
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(0, 0, 3, 12) - AIC:7074.059671524906
SARIMA(1, 1, 0)x(1, 0, 0, 12) - AIC:1811.2440279330294
SARIMA(1, 1, 0)x(1, 0, 1, 12) - AIC:1788.5343592680952
SARIMA(1, 1, 0)x(1, 0, 2, 12) - AIC:1616.4894406504018
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(1, 0, 3, 12) - AIC:3561.138160962342
SARIMA(1, 1, 0)x(2, 0, 0, 12) - AIC:1621.6355080128988
SARIMA(1, 1, 0)x(2, 0, 1, 12) - AIC:1617.135613203656
SARIMA(1, 1, 0)x(2, 0, 2, 12) - AIC:1616.5412067553962
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(2, 0, 3, 12) - AIC:3377.9167657306393
SARIMA(1, 1, 0)x(3, 0, 0, 12) - AIC:1440.513464037538
SARIMA(1, 1, 0)x(3, 0, 1, 12) - AIC:1442.1719780340688
SARIMA(1, 1, 0)x(3, 0, 2, 12) - AIC:1443.7660405606389
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 0)x(3, 0, 3, 12) - AIC:3353.199899281392
SARIMA(1, 1, 1)x(0, 0, 0, 12) - AIC:2204.9340491545663
SARIMA(1, 1, 1)x(0, 0, 1, 12) - AIC:1907.3558974129205
SARIMA(1, 1, 1)x(0, 0, 2, 12) - AIC:1678.0981352657789
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 1)x(0, 0, 3, 12) - AIC:328.4675206680713
SARIMA(1, 1, 1)x(1, 0, 0, 12) - AIC:1775.1424466849473
SARIMA(1, 1, 1)x(1, 0, 1, 12) - AIC:1739.5449251640066
SARIMA(1, 1, 1)x(1, 0, 2, 12) - AIC:1571.3248866664726
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 1)x(1, 0, 3, 12) - AIC:3404.4049548242792
SARIMA(1, 1, 1)x(2, 0, 0, 12) - AIC:1590.6161606880898
SARIMA(1, 1, 1)x(2, 0, 1, 12) - AIC:1586.3142233698893
SARIMA(1, 1, 1)x(2, 0, 2, 12) - AIC:1571.806997940027
SARIMA(1, 1, 1)x(2, 0, 3, 12) - AIC:3205.0842737409657
SARIMA(1, 1, 1)x(3, 0, 0, 12) - AIC:1414.9112080157563
SARIMA(1, 1, 1)x(3, 0, 1, 12) - AIC:1415.9502529465142
SARIMA(1, 1, 1)x(3, 0, 2, 12) - AIC:1417.014896140928
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 1)x(3, 0, 3, 12) - AIC:3225.140727820408
SARIMA(1, 1, 2)x(0, 0, 0, 12) - AIC:2188.4633450505607
SARIMA(1, 1, 2)x(0, 0, 1, 12) - AIC:1889.7708307505668
SARIMA(1, 1, 2)x(0, 0, 2, 12) - AIC:1659.6291423342966
SARIMA(1, 1, 2)x(0, 0, 3, 12) - AIC:7307.225753393465
SARIMA(1, 1, 2)x(1, 0, 0, 12) - AIC:1771.8259799015566
SARIMA(1, 1, 2)x(1, 0, 1, 12) - AIC:1723.9952183267171
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( , , ) ( , , , )
SARIMA(1, 1, 2)x(1, 0, 2, 12) - AIC:1555.5842471959754
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 2)x(1, 0, 3, 12) - AIC:4209.018605402422
SARIMA(1, 1, 2)x(2, 0, 0, 12) - AIC:1588.4216936593366
SARIMA(1, 1, 2)x(2, 0, 1, 12) - AIC:1585.5152906808949
SARIMA(1, 1, 2)x(2, 0, 2, 12) - AIC:1555.9345640652302
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 2)x(2, 0, 3, 12) - AIC:4012.346059441517
SARIMA(1, 1, 2)x(3, 0, 0, 12) - AIC:1413.810240872052
SARIMA(1, 1, 2)x(3, 0, 1, 12) - AIC:1414.914697387373
SARIMA(1, 1, 2)x(3, 0, 2, 12) - AIC:1415.9690509258544
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 2)x(3, 0, 3, 12) - AIC:4010.5511560756318
SARIMA(1, 1, 3)x(0, 0, 0, 12) - AIC:2171.0264039777717
SARIMA(1, 1, 3)x(0, 0, 1, 12) - AIC:1869.9381459434067
SARIMA(1, 1, 3)x(0, 0, 2, 12) - AIC:1646.5176767111768
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 3)x(0, 0, 3, 12) - AIC:1045.19404374035
SARIMA(1, 1, 3)x(1, 0, 0, 12) - AIC:1772.3921596617693
SARIMA(1, 1, 3)x(1, 0, 1, 12) - AIC:1711.9554895085614
SARIMA(1, 1, 3)x(1, 0, 2, 12) - AIC:1542.5744596412358
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 3)x(1, 0, 3, 12) - AIC:3336.4509265491065
SARIMA(1, 1, 3)x(2, 0, 0, 12) - AIC:1590.4166382599421
SARIMA(1, 1, 3)x(2, 0, 1, 12) - AIC:1587.3668974774178
SARIMA(1, 1, 3)x(2, 0, 2, 12) - AIC:1543.2449122961725
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 3)x(2, 0, 3, 12) - AIC:3062.6853364867525
SARIMA(1, 1, 3)x(3, 0, 0, 12) - AIC:1415.7723330830063
SARIMA(1, 1, 3)x(3, 0, 1, 12) - AIC:1416.7509762140166
SARIMA(1, 1, 3)x(3, 0, 2, 12) - AIC:1417.7649194139344
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(1, 1, 3)x(3, 0, 3, 12) - AIC:3056.405911123527
SARIMA(2, 1, 0)x(0, 0, 0, 12) - AIC:2227.302761872421
SARIMA(2, 1, 0)x(0, 0, 1, 12) - AIC:1946.4383435405136
SARIMA(2, 1, 0)x(0, 0, 2, 12) - AIC:1711.412303983321
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(0, 0, 3, 12) - AIC:7013.916580105316
SARIMA(2, 1, 0)x(1, 0, 0, 12) - AIC:1780.764606605179
SARIMA(2, 1, 0)x(1, 0, 1, 12) - AIC:1756.9357349618792
SARIMA(2 1 0) (1 0 2 12) AIC 1600 9702205255576
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SARIMA(2, 1, 0)x(1, 0, 2, 12) - AIC:1600.9702205255576
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(1, 0, 3, 12) - AIC:2747.711977688
SARIMA(2, 1, 0)x(2, 0, 0, 12) - AIC:1592.2403464890845
SARIMA(2, 1, 0)x(2, 0, 1, 12) - AIC:1587.6344986945842
SARIMA(2, 1, 0)x(2, 0, 2, 12) - AIC:1585.9191732420945
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(2, 0, 3, 12) - AIC:3908.4750752568325
SARIMA(2, 1, 0)x(3, 0, 0, 12) - AIC:1411.94497280323
SARIMA(2, 1, 0)x(3, 0, 1, 12) - AIC:1413.1017620229813
SARIMA(2, 1, 0)x(3, 0, 2, 12) - AIC:1414.1975645180419
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 0)x(3, 0, 3, 12) - AIC:3052.0298132361067
SARIMA(2, 1, 1)x(0, 0, 0, 12) - AIC:2199.8586131458096
SARIMA(2, 1, 1)x(0, 0, 1, 12) - AIC:1905.0209496038747
SARIMA(2, 1, 1)x(0, 0, 2, 12) - AIC:1675.423408033206
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(0, 0, 3, 12) - AIC:14.0
SARIMA(2, 1, 1)x(1, 0, 0, 12) - AIC:1792.8234290433793
SARIMA(2, 1, 1)x(1, 0, 1, 12) - AIC:1740.0911249473959
SARIMA(2, 1, 1)x(1, 0, 2, 12) - AIC:1571.9888280236912
SARIMA(2, 1, 1)x(1, 0, 3, 12) - AIC:3719.5026002512204
SARIMA(2, 1, 1)x(2, 0, 0, 12) - AIC:1577.123506119908
SARIMA(2, 1, 1)x(2, 0, 1, 12) - AIC:1573.1595853925019
SARIMA(2, 1, 1)x(2, 0, 2, 12) - AIC:1572.3428630590975
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(2, 0, 3, 12) - AIC:3222.787103336664
SARIMA(2, 1, 1)x(3, 0, 0, 12) - AIC:1402.4673327203514
SARIMA(2, 1, 1)x(3, 0, 1, 12) - AIC:1403.1221281178066
SARIMA(2, 1, 1)x(3, 0, 2, 12) - AIC:1403.8241328446993
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 1)x(3, 0, 3, 12) - AIC:3502.049278561742
SARIMA(2, 1, 2)x(0, 0, 0, 12) - AIC:2176.8681147728626
SARIMA(2, 1, 2)x(0, 0, 1, 12) - AIC:1892.2372616925293
SARIMA(2, 1, 2)x(0, 0, 2, 12) - AIC:1661.5523432268392
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(0, 0, 3, 12) - AIC:16.0
SARIMA(2, 1, 2)x(1, 0, 0, 12) - AIC:1757.2140931320082
SARIMA(2, 1, 2)x(1, 0, 1, 12) - AIC:1725.600576225183
SARIMA(2, 1, 2)x(1, 0, 2, 12) - AIC:1557.340402181692
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
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ConvergenceWarning)
SARIMA(2, 1, 2)x(1, 0, 3, 12) - AIC:3496.4875598042267
SARIMA(2, 1, 2)x(2, 0, 0, 12) - AIC:1599.7978682061191
SARIMA(2, 1, 2)x(2, 0, 1, 12) - AIC:1573.5475998338584
SARIMA(2, 1, 2)x(2, 0, 2, 12) - AIC:1557.6893340466147
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(2, 0, 3, 12) - AIC:3215.923059021789
SARIMA(2, 1, 2)x(3, 0, 0, 12) - AIC:1401.4376142069823
SARIMA(2, 1, 2)x(3, 0, 1, 12) - AIC:1402.503611940902
SARIMA(2, 1, 2)x(3, 0, 2, 12) - AIC:1403.4358953370345
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 2)x(3, 0, 3, 12) - AIC:3335.154543529762
SARIMA(2, 1, 3)x(0, 0, 0, 12) - AIC:2171.039587263988
SARIMA(2, 1, 3)x(0, 0, 1, 12) - AIC:1865.0573258153315
SARIMA(2, 1, 3)x(0, 0, 2, 12) - AIC:1646.7077292584463
SARIMA(2, 1, 3)x(0, 0, 3, 12) - AIC:18.0
SARIMA(2, 1, 3)x(1, 0, 0, 12) - AIC:1759.0476574866332
SARIMA(2, 1, 3)x(1, 0, 1, 12) - AIC:1707.9492689217377
SARIMA(2, 1, 3)x(1, 0, 2, 12) - AIC:1542.5288610108364
SARIMA(2, 1, 3)x(1, 0, 3, 12) - AIC:3643.8573830411588
SARIMA(2, 1, 3)x(2, 0, 0, 12) - AIC:1577.6909667518278
SARIMA(2, 1, 3)x(2, 0, 1, 12) - AIC:1571.4573754059754
SARIMA(2, 1, 3)x(2, 0, 2, 12) - AIC:1543.9976861286355
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(2, 1, 3)x(2, 0, 3, 12) - AIC:3424.4466986348125
SARIMA(2, 1, 3)x(3, 0, 0, 12) - AIC:1399.7898728724535
SARIMA(2, 1, 3)x(3, 0, 1, 12) - AIC:1403.99128650768
SARIMA(2, 1, 3)x(3, 0, 2, 12) - AIC:1401.2951208872744
SARIMA(2, 1, 3)x(3, 0, 3, 12) - AIC:3447.5912622484316
SARIMA(3, 1, 0)x(0, 0, 0, 12) - AIC:2208.40250139061
SARIMA(3, 1, 0)x(0, 0, 1, 12) - AIC:1946.3686291418626
SARIMA(3, 1, 0)x(0, 0, 2, 12) - AIC:1709.5089923151033
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(0, 0, 3, 12) - AIC:4054.4112698753693
SARIMA(3, 1, 0)x(1, 0, 0, 12) - AIC:1762.796110470297
SARIMA(3, 1, 0)x(1, 0, 1, 12) - AIC:1740.3783833297132
SARIMA(3, 1, 0)x(1, 0, 2, 12) - AIC:1600.047196913583
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(1, 0, 3, 12) - AIC:3303.715673811839
SARIMA(3, 1, 0)x(2, 0, 0, 12) - AIC:1578.274802556116
SARIMA(3, 1, 0)x(2, 0, 1, 12) - AIC:1572.9330813807464
SARIMA(3, 1, 0)x(2, 0, 2, 12) - AIC:1571.6808198757922
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(2, 0, 3, 12) - AIC:3431.7941995792035
SARIMA(3, 1, 0)x(3, 0, 0, 12) - AIC:1396.86786204626
SARIMA(3, 1, 0)x(3, 0, 1, 12) - AIC:1397.6774711517667
SARIMA(3, 1, 0)x(3, 0, 2, 12) - AIC:1398.3074657947327
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/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 0)x(3, 0, 3, 12) - AIC:3466.440879350322
SARIMA(3, 1, 1)x(0, 0, 0, 12) - AIC:2188.222098338342
SARIMA(3, 1, 1)x(0, 0, 1, 12) - AIC:1906.9690726585497
SARIMA(3, 1, 1)x(0, 0, 2, 12) - AIC:1677.4234050595812
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 1)x(0, 0, 3, 12) - AIC:264.93888055285225
SARIMA(3, 1, 1)x(1, 0, 0, 12) - AIC:1746.2222521262515
SARIMA(3, 1, 1)x(1, 0, 1, 12) - AIC:1742.3811988318876
SARIMA(3, 1, 1)x(1, 0, 2, 12) - AIC:1573.6844965305775
SARIMA(3, 1, 1)x(1, 0, 3, 12) - AIC:3721.5026002509553
SARIMA(3, 1, 1)x(2, 0, 0, 12) - AIC:1564.9377505328043
SARIMA(3, 1, 1)x(2, 0, 1, 12) - AIC:1576.295987947555
SARIMA(3, 1, 1)x(2, 0, 2, 12) - AIC:1576.3498135884906
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 1)x(2, 0, 3, 12) - AIC:3221.860358721851
SARIMA(3, 1, 1)x(3, 0, 0, 12) - AIC:1387.7883313634131
SARIMA(3, 1, 1)x(3, 0, 1, 12) - AIC:1388.6814835760895
SARIMA(3, 1, 1)x(3, 0, 2, 12) - AIC:1389.1959200508327
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 1)x(3, 0, 3, 12) - AIC:3235.5554496582013
SARIMA(3, 1, 2)x(0, 0, 0, 12) - AIC:2187.314727181537
SARIMA(3, 1, 2)x(0, 0, 1, 12) - AIC:1887.773143085538
SARIMA(3, 1, 2)x(0, 0, 2, 12) - AIC:1659.6255029897861
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 2)x(0, 0, 3, 12) - AIC:887.5656040657443
SARIMA(3, 1, 2)x(1, 0, 0, 12) - AIC:1744.9635864105967
SARIMA(3, 1, 2)x(1, 0, 1, 12) - AIC:1727.3650391229303
SARIMA(3, 1, 2)x(1, 0, 2, 12) - AIC:1559.4354430962153
SARIMA(3, 1, 2)x(1, 0, 3, 12) - AIC:3676.209771747834
SARIMA(3, 1, 2)x(2, 0, 0, 12) - AIC:1566.9418071864438
SARIMA(3, 1, 2)x(2, 0, 1, 12) - AIC:1560.7894279480306
SARIMA(3, 1, 2)x(2, 0, 2, 12) - AIC:1559.8091532245512
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 2)x(2, 0, 3, 12) - AIC:3271.8720892050446
SARIMA(3, 1, 2)x(3, 0, 0, 12) - AIC:1400.4206591542093
SARIMA(3, 1, 2)x(3, 0, 1, 12) - AIC:1388.602195306941
SARIMA(3, 1, 2)x(3, 0, 2, 12) - AIC:1389.7145115370574
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
SARIMA(3, 1, 2)x(3, 0, 3, 12) - AIC:2994.775814812784
SARIMA(3, 1, 3)x(0, 0, 0, 12) - AIC:2155.774954204649
SARIMA(3, 1, 3)x(0, 0, 1, 12) - AIC:1874.7818355061759
SARIMA(3, 1, 3)x(0, 0, 2, 12) - AIC:1643.7829973422217
SARIMA(3 1 3)x(0 0 3 12) AIC:7219 058950059913
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SARIMA(3, 1, 3)x(0, 0, 3, 12) - AIC:7219.058950059913
SARIMA(3, 1, 3)x(1, 0, 0, 12) - AIC:1749.2986466926225
SARIMA(3, 1, 3)x(1, 0, 1, 12) - AIC:1715.8307276617647
SARIMA(3, 1, 3)x(1, 0, 2, 12) - AIC:1544.393578894266
SARIMA(3, 1, 3)x(1, 0, 3, 12) - AIC:3645.8573971055907
SARIMA(3, 1, 3)x(2, 0, 0, 12) - AIC:1567.1763977154558
SARIMA(3, 1, 3)x(2, 0, 1, 12) - AIC:1559.9575038297357
SARIMA(3, 1, 3)x(2, 0, 2, 12) - AIC:1546.6633266128958
SARIMA(3, 1, 3)x(2, 0, 3, 12) - AIC:3314.627495091771
SARIMA(3, 1, 3)x(3, 0, 0, 12) - AIC:1464.112788347103
SARIMA(3, 1, 3)x(3, 0, 1, 12) - AIC:1394.0424188555537
SARIMA(3, 1, 3)x(3, 0, 2, 12) - AIC:1391.6961902318155
SARIMA(3, 1, 3)x(3, 0, 3, 12) - AIC:3410.2070643057164
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/base/m
odel.py:568: ConvergenceWarning: Maximum Likelihood optimization failed t
o converge. Check mle_retvals
ConvergenceWarning)
In [633…
SARIMA_AIC.sort_values(by=['AIC']).head(40)
Out[633… param seasonal AIC
147 (2, 1, 1) (0, 0, 3, 12) 14.000000
163 (2, 1, 2) (0, 0, 3, 12) 16.000000
179 (2, 1, 3) (0, 0, 3, 12) 18.000000
211 (3, 1, 1) (0, 0, 3, 12) 264.938881
35 (0, 1, 2) (0, 0, 3, 12) 328.343201
83 (1, 1, 1) (0, 0, 3, 12) 328.467521
227 (3, 1, 2) (0, 0, 3, 12) 887.565604
115 (1, 1, 3) (0, 0, 3, 12) 1045.194044
220 (3, 1, 1) (3, 0, 0, 12) 1387.788331
237 (3, 1, 2) (3, 0, 1, 12) 1388.602195
221 (3, 1, 1) (3, 0, 1, 12) 1388.681484
222 (3, 1, 1) (3, 0, 2, 12) 1389.195920
238 (3, 1, 2) (3, 0, 2, 12) 1389.714512
254 (3, 1, 3) (3, 0, 2, 12) 1391.696190
253 (3, 1, 3) (3, 0, 1, 12) 1394.042419
204 (3, 1, 0) (3, 0, 0, 12) 1396.867862
205 (3, 1, 0) (3, 0, 1, 12) 1397.677471
206 (3, 1, 0) (3, 0, 2, 12) 1398.307466
188 (2, 1, 3) (3, 0, 0, 12) 1399.789873
236 (3, 1, 2) (3, 0, 0, 12) 1400.420659
190 (2, 1, 3) (3, 0, 2, 12) 1401.295121
172 (2, 1, 2) (3, 0, 0, 12) 1401.437614
156 (2, 1, 1) (3, 0, 0, 12) 1402.467333
173 (2, 1, 2) (3, 0, 1, 12) 1402.503612
157 (2 1 1) (3 0 1 12) 1403 122128
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157 (2, 1, 1) (3, 0, 1, 12) 1403.122128
174 (2, 1, 2) (3, 0, 2, 12) 1403.435895
158 (2, 1, 1) (3, 0, 2, 12) 1403.824133
189 (2, 1, 3) (3, 0, 1, 12) 1403.991287
140 (2, 1, 0) (3, 0, 0, 12) 1411.944973
141 (2, 1, 0) (3, 0, 1, 12) 1413.101762
108 (1, 1, 2) (3, 0, 0, 12) 1413.810241
142 (2, 1, 0) (3, 0, 2, 12) 1414.197565
92 (1, 1, 1) (3, 0, 0, 12) 1414.911208
109 (1, 1, 2) (3, 0, 1, 12) 1414.914697
124 (1, 1, 3) (3, 0, 0, 12) 1415.772333
93 (1, 1, 1) (3, 0, 1, 12) 1415.950253
110 (1, 1, 2) (3, 0, 2, 12) 1415.969051
125 (1, 1, 3) (3, 0, 1, 12) 1416.750976
94 (1, 1, 1) (3, 0, 2, 12) 1417.014896
126 (1, 1, 3) (3, 0, 2, 12) 1417.764919
In [634…
import statsmodels.api as sm
auto_SARIMA = sm.tsa.statespace.SARIMAX(strain['Sparkling'],
order=(3, 1, 1),
seasonal_order=(3, 0, 0, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_auto_SARIMA = auto_SARIMA.fit(maxiter=1000)
print(results_auto_SARIMA.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
==================
Dep. Variable: Sparkling No. Observations:
132
Model: SARIMAX(3, 1, 1)x(3, 0, [], 12) Log Likelihood
-685.894
Date: Sat, 27 Mar 2021 AIC
1387.788
Time: 14:58:32 BIC
1407.963
Sample: 01-01-1980 HQIC
1395.931
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0 025
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coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 0.1615 0.150 1.075 0.282 -0.133
0.456
ar.L2 -0.0928 0.150 -0.618 0.537 -0.388
0.202
ar.L3 0.0916 0.136 0.676 0.499 -0.174
0.357
ma.L1 -0.9195 0.092 -10.033 0.000 -1.099 -
0.740
ar.S.L12 0.5805 0.104 5.575 0.000 0.376
0.785
ar.S.L24 0.2559 0.119 2.159 0.031 0.024
0.488
ar.S.L36 0.2132 0.121 1.761 0.078 -0.024
0.451
sigma2 1.729e+05 2.18e+04 7.940 0.000 1.3e+05 2.1
6e+05
=========================================================================
==========
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB):
18.78
Prob(Q): 0.88 Prob(JB):
0.00
Heteroskedasticity (H): 1.08 Skew:
0.47
Prob(H) (two-sided): 0.84 Kurtosis:
5.00
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
In [635…
results_auto_SARIMA.plot_diagnostics()
plt.savefig('spark_sarima00312_diag_plot.jpg', bbox_inches='tight');
plt.show()
Out[635…
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Predict on the Test Set using this model and
evaluate the model.
In [636…
predicted_auto_SARIMA = results_auto_SARIMA.get_forecast(steps=len(stest)
In [637…
predicted_auto_SARIMA.summary_frame(alpha=0.05).head()
Out[637… Sparkling mean mean_se mean_ci_lower mean_ci_upper
1991-01-01 1389.352763 415.861324 574.279546 2204.425980
1991-02-01 1224.671167 427.865923 386.069367 2063.272966
1991-03-01 1673.336573 428.010439 834.451528 2512.221618
1991-04-01 1533.304393 432.773834 685.083266 2381.525520
1991-05-01 1425.949281 435.887638 571.625210 2280.273353
In [638…
rmse = mean_squared_error(stest['Sparkling'],predicted_auto_SARIMA.predic
mape = mean_absolute_percentage_error(stest['Sparkling'],predicted_auto_S
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 601.2438411947355
MAPE: 25.870694854181043
In [639…
temp_resultsDf = pd.DataFrame({'RMSE': rmse,'MAPE':mape}
,index=['SARIMA(3,1,1)(3,0,2,12)'])
resultsDf = pd.concat([resultsDf,temp_resultsDf])
resultsDf
Out[639… RMSE MAPE
ARIMA(2,1,2) 1299.979195 47.099932
ARIMA(0,1,0) 3864.279352 201.327650
SARIMA(3,1,1)(3,0,2,12) 601.243841 25.870695
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In [640…
## Plotting the Training data, Test data and the forecasted values
plt.plot(strain, label='Train')
plt.plot(stest, label='Test')
# plt.plot(predicted_auto_SARIMA,label='SARIMA(3, 1, 1)(3, 0, 2, 12)')
# predicted_auto_SARIMA.plot(label='SARIMA(3, 1, 1)(3, 0, 2, 12)')
predicted_auto_SARIMA.predicted_mean.plot(label='SARIMA (3, 1, 1,) (3, 0,
plt.legend(loc='best')
plt.grid()
plt.title('SARIMA (3, 1, 1,) (3, 0, 0, 12) - Sparkling', fontsize=17);
plt.savefig('spark_sarima_auto_30012.jpg', bbox_inches='tight');
Build a version of the SARIMA model for which
the best parameters are selected by looking at
the ACF and the PACF plots. - Seasonality at 12
- SPARKLING
Let us look at the ACF and the PACF plots once more.
In [641…
plot_acf(strain.diff(),title='Training Data Autocorrelation - Rose',missi
plot_pacf(strain.diff().dropna(),title='Training Data Partial Autocorrela
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In [642…
import statsmodels.api as sm
manual_SARIMA = sm.tsa.statespace.SARIMAX(strain['Sparkling'],
order=(0,1,0),
seasonal_order=(1, 1, 1, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_manual_SARIMA = manual_SARIMA.fit(maxiter=1000)
print(results_manual_SARIMA.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
===================
Dep. Variable: Sparkling No. Observations:
132
Model: SARIMAX(0, 1, 0)x(1, 1, [1], 12) Log Likelihood
-811.162
Date: Sat, 27 Mar 2021 AIC
1628.324
Time: 14:58:36 BIC
1636.315
Sample: 01-01-1980 HQIC
1631.563
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.S.L12 0.1482 0.223 0.664 0.507 -0.289
0.586
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ma.S.L12 -0.5732 0.217 -2.640 0.008 -0.999 -
0.148
sigma2 2.577e+05 2.63e+04 9.806 0.000 2.06e+05 3.0
9e+05
=========================================================================
==========
Ljung-Box (L1) (Q): 13.54 Jarque-Bera (JB):
27.17
Prob(Q): 0.00 Prob(JB):
0.00
Heteroskedasticity (H): 0.73 Skew:
0.59
Prob(H) (two-sided): 0.36 Kurtosis:
5.19
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
In [643…
import statsmodels.api as sm
manual_SARIMA = sm.tsa.statespace.SARIMAX(strain['Sparkling'],
order=(0,1,0),
seasonal_order=(2, 1, 2, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_manual_SARIMA1 = manual_SARIMA.fit(maxiter=1000)
print(results_manual_SARIMA1.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
======================
Dep. Variable: Sparkling No. Observation
s: 132
Model: SARIMAX(0, 1, 0)x(2, 1, [1, 2], 12) Log Likelihood
-722.996
Date: Sat, 27 Mar 2021 AIC
1455.991
Time: 14:58:37 BIC
1468.708
Sample: 01-01-1980 HQIC
1461.128
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.S.L12 -0.2445 0.879 -0.278 0.781 -1.967
1.478
S L24 0 2107 0 257 0 820 0 412 0 714
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ar.S.L24 -0.2107 0.257 -0.820 0.412 -0.714
0.293
ma.S.L12 -0.1220 0.860 -0.142 0.887 -1.807
1.563
ma.S.L24 0.0444 0.502 0.088 0.930 -0.940
1.029
sigma2 2.806e+05 3.2e+04 8.764 0.000 2.18e+05 3.4
3e+05
=========================================================================
==========
Ljung-Box (L1) (Q): 12.20 Jarque-Bera (JB):
37.03
Prob(Q): 0.00 Prob(JB):
0.00
Heteroskedasticity (H): 0.76 Skew:
0.77
Prob(H) (two-sided): 0.44 Kurtosis:
5.66
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
In [644…
import statsmodels.api as sm
manual_SARIMA = sm.tsa.statespace.SARIMAX(strain['Sparkling'],
order=(0,1,0),
seasonal_order=(3, 1, 2, 12),
enforce_stationarity=False,
enforce_invertibility=False)
results_manual_SARIMA2 = manual_SARIMA.fit(maxiter=1000)
print(results_manual_SARIMA2.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
======================
Dep. Variable: Sparkling No. Observation
s: 132
Model: SARIMAX(0, 1, 0)x(3, 1, [1, 2], 12) Log Likelihood
-638.304
Date: Sat, 27 Mar 2021 AIC
1288.607
Time: 14:58:39 BIC
1303.120
Sample: 01-01-1980 HQIC
1294.438
- 12-01-1990
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
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-----
ar.S.L12 -1.0545 0.201 -5.254 0.000 -1.448 -
0.661
ar.S.L24 -0.9168 0.187 -4.913 0.000 -1.283 -
0.551
ar.S.L36 -0.2828 0.128 -2.202 0.028 -0.535 -
0.031
ma.S.L12 0.8582 0.339 2.533 0.011 0.194
1.522
ma.S.L24 0.8162 0.496 1.646 0.100 -0.156
1.788
sigma2 2.363e+05 9.04e+04 2.613 0.009 5.91e+04 4.1
4e+05
=========================================================================
==========
Ljung-Box (L1) (Q): 9.10 Jarque-Bera (JB):
48.00
Prob(Q): 0.00 Prob(JB):
0.00
Heteroskedasticity (H): 0.58 Skew:
1.01
Prob(H) (two-sided): 0.15 Kurtosis:
6.13
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
In [645…
results_manual_SARIMA.plot_diagnostics()
plt.savefig('spark_sarima_11112.jpg', bbox_inches='tight');
In [646…
results_manual_SARIMA1.plot_diagnostics()
plt.savefig('spark_sarima_21212.jpg', bbox_inches='tight');
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In [647…
results_manual_SARIMA2.plot_diagnostics()
plt.savefig('spark_sarima_31212.jpg', bbox_inches='tight');
Predict on the Test Set using this model and
evaluate the model.
In [648…
predicted_manual_SARIMA = results_manual_SARIMA.get_forecast(steps=len(st
predicted_manual_SARIMA1 = results_manual_SARIMA1.get_forecast(steps=len(
predicted_manual_SARIMA2 = results_manual_SARIMA2.get_forecast(steps=len(
In [649…
rmse = mean_squared_error(stest['Sparkling'],predicted_manual_SARIMA.pred
mape = mean_absolute_percentage_error(stest['Sparkling'],predicted_manual
print('RMSE:',rmse,'\nMAPE:',mape)
RMSE: 1189.8357745333994
MAPE: 54.87253527143429
In [650…
rmse1 = mean_squared_error(stest['Sparkling'],predicted_manual_SARIMA1.pr
mape1 = mean_absolute_percentage_error(stest['Sparkling'],predicted_manua
print('RMSE:',rmse1,'\nMAPE:',mape1)
RMSE: 1757.7268040140987
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MAPE: 81.78523135822165
In [651…
rmse2 = mean_squared_error(stest['Sparkling'],predicted_manual_SARIMA2.pr
mape2 = mean_absolute_percentage_error(stest['Sparkling'],predicted_manua
print('RMSE:',rmse2,'\nMAPE:',mape2)
RMSE: 1551.645770171487
MAPE: 71.56617248495675
In [652…
temp_resultsDf = pd.DataFrame({'RMSE': [rmse, rmse1, rmse2],'MAPE':[mape,
,index=['SARIMA(0,1,0)(3,1,2,12)', 'SARIMA(0,1
resultsDf = pd.concat([resultsDf,temp_resultsDf])
resultsDf
Out[652… RMSE MAPE
ARIMA(2,1,2) 1299.979195 47.099932
ARIMA(0,1,0) 3864.279352 201.327650
SARIMA(3,1,1)(3,0,2,12) 601.243841 25.870695
SARIMA(0,1,0)(3,1,2,12) 1189.835775 54.872535
SARIMA(0,1,0)(2,1,2,12) 1757.726804 81.785231
SARIMA(0,1,0)(3,1,2,12) 1551.645770 71.566172
In [653…
resultsR0 = resultsDf.copy()
In [654…
plt.plot(strain, label='Train')
plt.plot(stest, label ='Test')
predicted_manual_SARIMA.predicted_mean.plot(label = 'SARIMA (0, 1, 0) (1,
plt.grid()
plt.legend(loc='best')
plt.title('SARIMA (0, 1, 0) (1, 1, 1, 12) Forecast - SPARKLING', fontsize
plt.savefig('SPARK_sarima_manual_forecast_11112.jpg', bbox_inches='tight'
In [655
( i i )
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In [655…
plt.plot(strain, label='Train')
plt.plot(stest, label ='Test')
predicted_manual_SARIMA1.predicted_mean.plot(label = 'SARIMA (0, 1, 0) (2
plt.grid()
plt.legend(loc='best')
plt.title('SARIMA (0, 1, 0) (2, 1, 2, 12) Forecast - SPARKLING', fontsize
plt.savefig('spark_sarima_manual_forecast1.jpg', bbox_inches='tight');
In [656…
plt.plot(strain, label='Train')
plt.plot(stest, label ='Test')
predicted_manual_SARIMA2.predicted_mean.plot(label = 'SARIMA (0, 1, 0) (3
plt.grid()
plt.legend(loc='best')
plt.title('SARIMA (0, 1, 0) (3, 1, 2, 12) Forecast - SPARKLING', fontsize
plt.savefig('spark_sarima_manual_forecast2.jpg', bbox_inches='tight');
Building the most optimum model on the Full
Data.
Here, we have a scenario where our training data was stationary but our full data
was not stationary. So, we will use the same parameters as our training data but
with adding a level of differencing which is needed for the data to be stationary.
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In [657…
full_data_model = sm.tsa.statespace.SARIMAX(dfr['Rose'],
order=(2,1,2),
seasonal_order=(2,1,2,12),
enforce_stationarity=False,
enforce_invertibility=False)
results_full_data_model = full_data_model.fit(maxiter=1000)
print(results_full_data_model.summary())
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
SARIMAX Results
=========================================================================
=================
Dep. Variable: Rose No. Observations:
187
Model: SARIMAX(2, 1, 2)x(2, 1, 2, 12) Log Likelihood
-587.531
Date: Sat, 27 Mar 2021 AIC
1193.062
Time: 14:58:51 BIC
1219.976
Sample: 01-01-1980 HQIC
1203.997
- 07-01-1995
Covariance Type: opg
=========================================================================
=====
coef std err z P>|z| [0.025
0.975]
-------------------------------------------------------------------------
-----
ar.L1 -0.8649 0.101 -8.556 0.000 -1.063 -
0.667
ar.L2 0.0340 0.091 0.375 0.707 -0.144
0.211
ma.L1 0.0892 169.811 0.001 1.000 -332.734 33
2.912
ma.L2 -0.9108 154.672 -0.006 0.995 -304.063 30
2.241
ar.S.L12 0.0719 0.165 0.435 0.664 -0.252
0.396
ar.S.L24 -0.0357 0.017 -2.046 0.041 -0.070 -
0.002
ma.S.L12 -0.6870 0.222 -3.094 0.002 -1.122 -
0.252
ma.S.L24 -0.0549 0.150 -0.365 0.715 -0.350
0.240
sigma2 158.9057 2.7e+04 0.006 0.995 -5.27e+04 5.3
1e+04
=========================================================================
==========
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB):
10.12
Prob(Q): 0.83 Prob(JB):
0.01
Heteroskedasticity (H): 0.53 Skew:
0.35
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Prob(H) (two-sided): 0.03 Kurtosis:
4.08
=========================================================================
==========
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (co
mplex-step).
Evaluate the model on the whole data and
predict 12 months into the future
In [658…
predicted_manual_SARIMA_full_data = results_full_data_model.get_forecast(
In [659…
pred_full_manual_SARIMA_date = predicted_manual_SARIMA_full_data.summary_
pred_full_manual_SARIMA_date.head()
Out[659… Rose mean mean_se mean_ci_lower mean_ci_upper
1995-08-01 43.083183 12.674168 18.242271 67.924095
1995-09-01 43.341539 12.959930 17.940542 68.742535
1995-10-01 45.827000 12.963927 20.418170 71.235830
1995-11-01 57.396966 13.124657 31.673111 83.120821
1995-12-01 85.074561 13.133487 59.333399 110.815723
In [660…
rmse = mean_squared_error(dfr['Rose'],results_full_data_model.fittedvalue
print('RMSE of the Full Model',rmse)
RMSE of the Full Model 35.911101459061385
In [661…
axis = dfr['Rose'].plot(label='Observed')
pred_full_manual_SARIMA_date['mean'].plot(ax=axis, label='Forecast', alph
axis.set_xlabel('YearMonth')
axis.set_ylabel('Rose_Sales')
plt.legend(loc='best')
plt.grid();
plt.title('SARIMA(2,1,2)(2,1,2,12) Forecast Next 12 Months - Rose', fonts
plt.savefig('rose_forecast.jpg', bbox_inches='tight');
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In [662…
resultsDf
Out[662… RMSE MAPE
ARIMA(2,1,2) 1299.979195 47.099932
ARIMA(0,1,0) 3864.279352 201.327650
SARIMA(3,1,1)(3,0,2,12) 601.243841 25.870695
SARIMA(0,1,0)(3,1,2,12) 1189.835775 54.872535
SARIMA(0,1,0)(2,1,2,12) 1757.726804 81.785231
SARIMA(0,1,0)(3,1,2,12) 1551.645770 71.566172
In [663…
resultsS0 = resultsDf.copy()
resultsS0.to_csv('spark_all_arima.csv')
In [664…
results_all_spark = pd.concat([resultsDf14, resultsS0], axis=0)
results_all_spark
Out[664… Test
Test RMSE
RMSE RMSE MAPE
Sparkling
Rose
RegressionOnTime 15.268955 1389.135175 NaN NaN
NaiveModel 79.718773 3864.279352 NaN NaN
SimpleAverageModel 53.460570 1275.081804 NaN NaN
2pointTrailingMovingAverage 11.529278 813.400684 NaN NaN
4pointTrailingMovingAverage 14.451403 1156.589694 NaN NaN
6pointTrailingMovingAverage 14.566327 1283.927428 NaN NaN
9pointTrailingMovingAverage 14.727630 1346.278315 NaN NaN
Simple Exponential Smoothing 36.796225 1338.004623 NaN NaN
Double Exponential Smoothing 15.270968 5291.879833 NaN NaN
Triple Exponential Smoothing
14.243240 378.626241 NaN NaN
(Additive Season)
Triple Exponential Smoothing
19.113110 403.706228 NaN NaN
(Multiplicative Season)
Triple Exponential Smoothing
26.039948 378.626241 NaN NaN
(Additive Season, Damped Trend)
Triple Exponential Smoothing
(Multiplicative Season, Damped 25.994867 352.450966 NaN NaN
Trend)
ARIMA(2,1,2) NaN NaN 1299.979195 47.099932
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ARIMA(0,1,0) NaN NaN 3864.279352 201.327650
SARIMA(3,1,1)(3,0,2,12) NaN NaN 601.243841 25.870695
SARIMA(0,1,0)(3,1,2,12) NaN NaN 1189.835775 54.872535
SARIMA(0,1,0)(2,1,2,12) NaN NaN 1757.726804 81.785231
SARIMA(0,1,0)(3,1,2,12) NaN NaN 1551.645770 71.566172
In [665…
results_all_spark.to_csv('results_all_spark.csv')
===========================
===========================
Best Model for ROSE with Least RMSE - 2 Pt
Moving Average
In [761…
MovingAverage = dfr.copy()
MovingAverage.head()
Out[761… Rose
YearMonth
1980-01-01 112.0
1980-02-01 118.0
1980-03-01 129.0
1980-04-01 99.0
1980-05-01 116.0
Trailing moving averages
In [762…
MovingAverage['Trailing_2'] = MovingAverage['Rose'].rolling(2).mean()
MovingAverage.head()
MovingAverage.tail()
Out[762… Rose Trailing_2
YearMonth
1980-01-01 112.0 NaN
1980-02-01 118.0 115.0
1980-03-01 129.0 123.5
1980-04-01 99.0 114.0
1980 05 01 116 0 107 5
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1980-05-01 116.0 107.5
Out[762… Rose Trailing_2
YearMonth
1995-03-01 45.0 42.0
1995-04-01 52.0 48.5
1995-05-01 28.0 40.0
1995-06-01 40.0 34.0
1995-07-01 62.0 51.0
In [774…
#Creating train and test set
trailing_MovingAverage_train=MovingAverage[MovingAverage.index<'1991']
trailing_MovingAverage_test=MovingAverage[MovingAverage.index>='1991']
MovingAverage.head()
Out[774… Rose Trailing_2 forecast_12
1980-01-01 112.0 NaN NaN
1980-02-01 118.0 115.0 115.0
1980-03-01 129.0 123.5 123.5
1980-04-01 99.0 114.0 114.0
1980-05-01 116.0 107.5 107.5
In [764…
import pandas as pd
from datetime import datetime
datelist = pd.date_range(start='08/01/1995', periods=12, freq='MS')
ts = pd.to_datetime(datelist, format="%Y-%m-%d")
ma_forecast = pd.DataFrame(columns=['Rose', 'Trailing_2', 'forecast_12'],
MovingAverage = pd.concat([MovingAverage, ma_forecast], axis=0)
MovingAverage['forecast_12'] = MovingAverage['Rose'].rolling(2).mean()
In [779…
MovingAverage.tail()
MovingAverage.shape
MovingAverage.fillna(0)
MovingAverage['Rose'].iloc[0:2]
Out[779… Rose Trailing_2 forecast_12
1996-03-01 NaN NaN NaN
1996-04-01 NaN NaN NaN
1996-05-01 NaN NaN NaN
1996-06-01 NaN NaN NaN
1996-07-01 NaN NaN NaN
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(199, 3)
Out[779…
Out[779… Rose Trailing_2 forecast_12
1980-01-01 112.0 0.0 0.0
1980-02-01 118.0 115.0 115.0
1980-03-01 129.0 123.5 123.5
1980-04-01 99.0 114.0 114.0
1980-05-01 116.0 107.5 107.5
... ... ... ...
1996-03-01 0.0 0.0 0.0
1996-04-01 0.0 0.0 0.0
1996-05-01 0.0 0.0 0.0
1996-06-01 0.0 0.0 0.0
1996-07-01 0.0 0.0 0.0
199 rows × 3 columns
1980-01-01 112.0
Out[779…
1980-02-01 118.0
Name: Rose, dtype: float64
In [780…
import math
k = 2
yhat = []
for i in range(0,199):
tmp = 0.0
tmp = math.fsum(MovingAverage['Rose'].iloc[i:i+2])
yhat.append(tmp/k)
yhat
[115.0,
Out[780…
123.5,
114.0,
107.5,
142.0,
143.0,
123.5,
167.0,
176.0,
148.5,
208.5,
196.5,
127.5,
126.5,
110.5,
99.5,
114.5,
174.5,
218.0,
166.0,
129.5,
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147.5,
190.0,
157.5,
83.0,
79.5,
89.5,
112.0,
124.0,
119.0,
117.0,
111.5,
109.0,
123.0,
151.5,
122.0,
91.5,
111.5,
100.0,
93.0,
104.5,
108.5,
116.5,
114.5,
100.0,
115.0,
149.5,
126.0,
86.5,
98.5,
99.5,
89.0,
89.0,
87.0,
114.5,
118.5,
101.5,
123.5,
149.0,
110.0,
71.5,
103.0,
108.5,
100.5,
91.5,
81.0,
95.0,
96.5,
99.0,
115.5,
126.0,
93.0,
61.0,
66.0,
69.0,
73.5,
71.5,
88.5,
114.0,
108.5,
92.0,
96.0,
124.0,
99.5,
61.5,
67 5
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67.5,
78.0,
89.5,
83.5,
80.5,
80.0,
87.0,
100.5,
98.0,
126.5,
110.0,
89.0,
92.5,
68.0,
66.5,
75.0,
81.0,
78.0,
89.5,
109.0,
108.0,
117.5,
103.0,
65.5,
74.5,
81.5,
73.5,
82.0,
88.5,
80.0,
80.5,
87.0,
98.0,
123.0,
90.0,
56.0,
71.0,
75.0,
73.0,
72.5,
77.0,
74.0,
76.5,
74.0,
87.5,
121.0,
93.0,
54.5,
60.5,
65.5,
62.5,
62.5,
80.5,
75.5,
63.0,
67.0,
68.5,
90.0,
70.0,
40.5,
51.5,
54.5,
53.0,
54.0,
61.0,
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,
59.5,
49.0,
48.5,
54.5,
74.5,
62.0,
36.5,
43.0,
45.5,
43.0,
48.0,
56.0,
55.5,
50.0,
49.0,
50.0,
62.5,
53.5,
32.5,
38.5,
45.0,
46.0,
44.5,
45.16666666666667,
45.5,
45.83333333333333,
48.5,
57.0,
73.5,
57.0,
34.5,
42.0,
48.5,
40.0,
34.0,
51.0,
nan,
nan,
nan,
nan,
nan,
nan,
nan,
nan,
nan,
nan,
nan,
nan,
nan]
In [669…
## Plotting on both the Training and Test data
plt.figure(figsize=(16,9))
plt.plot(trailing_MovingAverage_train['Rose'], label='Train')
plt.plot(trailing_MovingAverage_test['Rose'], label='Test')
plt.plot(trailing_MovingAverage_test['Trailing_2'], label='2 Point Traili
plt.legend(loc = 'best')
plt.grid();
plt.title('Best Model for Rose - 2 Pt Moving Average', fontsize=17);
plt.savefig('rose best model 2pt.jpg', bbox inches='tight');
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p t.sa e g( ose_best_ ode _ pt.jpg , bbo _ c es t g t );
FORECAST ON NEXT 12 MONTHS -
ROSE
(Using 2 Pt Moving Average Model)
In [27]:
dfr1 = pd.read_csv('Rose2.csv', parse_dates=True,index_col='YearMonth')
dfr1.head()
dfr1.tail()
Out[27]: Rose forecast
YearMonth
1980-01-01 112.0 NaN
1980-02-01 118.0 115.0
1980-03-01 129.0 123.5
1980-04-01 99.0 114.0
1980-05-01 116.0 107.5
Out[27]: Rose forecast
YearMonth
1996-03-01 NaN 45.355469
1996-04-01 NaN 45.322266
1996-05-01 NaN 45.338867
1996-06-01 NaN 45.330566
1996-07-01 NaN 45.334717
In [41]:
## FORECAST ON NEXT 12 MONTHS
plt.figure(figsize=(16,9))
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plt.figure(figsize=(16,9))
plt.plot(dfr1['Rose'], label='Full data Rose')
plt.plot(dfr1['forecast'].iloc[-12:], label='Forecast on next 12 months')
plt.legend(loc='best')
plt.grid()
plt.title('Forecast Next 12 Months for Rose - 2 Pt MA', fontsize=17);
plt.savefig('rose_forecast_2ptma.jpg', bbox_inches='tight');
Holt-Winters - ETS(A, A, M) - Best Model for
Sparkling Till Now
ETS(A, Ad, M) model - Taking MULTIPLICATIVE
SEASONALITY
USING DAMPED TREND
In [58]:
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(dfs,trend='add',seasonal='multiplicat
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES_am.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.07571591750340637, 'smoothing_trend': 0.06489924562
418184, 'smoothing_seasonal': 0.2738625830314173, 'damping_trend': 0.9899
998705682354, 'initial_level': 2356.5347406793244, 'initial_trend': -13.3
96006155922343, 'initial_seasons': array([0.77173236, 0.71600393, 0.91730
41 , 0.83138204, 0.68225091,
0.67620719, 0.91532251, 1.1546779 , 0.94410173, 1.26995442,
1.950702 , 2.52501085]), 'use_boxcox': False, 'lamda': None, 'rem
ove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
/t d l 527 V l W i N f i f ti id d
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se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [59]:
# Forecasting using this model for the duration of the test set
TES_predict_am_damp_spark = model_TES_am.forecast(steps=12)
TES_predict_am_damp_spark
prediction_1 = TES_predict_am_damp_spark
TES_predict_am_damp_spark.to_csv('spark_forecast_tes.csv')
1995-08-01 1931.441163
Out[59]:
1995-09-01 2351.978730
1995-10-01 3179.461286
1995-11-01 3918.068026
1995-12-01 5985.901895
1996-01-01 1357.574635
1996-02-01 1599.153662
1996-03-01 1830.307852
1996-04-01 1791.018797
1996-05-01 1641.838880
1996-06-01 1556.371947
1996-07-01 1965.995789
Freq: MS, dtype: float64
In [24]:
plt.rcParams["figure.figsize"] = [16,9]
In [19]:
pred_1_df = pd.DataFrame({'lower_CI':prediction_1 - 1.96*np.std(model_TES
'prediction':prediction_1,
'upper_ci': prediction_1 + 1.96*np.std(model_TE
pred_1_df.head()
Out[19]: lower_CI prediction upper_ci
1995-08-01 1252.078711 1931.441163 2610.803614
1995-09-01 1672.616279 2351.978730 3031.341182
1995-10-01 2500.098834 3179.461286 3858.823737
1995-11-01 3238.705575 3918.068026 4597.430478
1995-12-01 5306.539443 5985.901895 6665.264346
In [26]:
## Plotting the Training data, Test data and the forecasted values
plt.plot(dfs['Sparkling'], label='Original Data - Sparkling')
ax =TES_predict_am_damp_spark.plot(label='Forecast next 12 months - Spark
ax.fill_between(pred_1_df.index,pred_1_df['lower_CI'], pred_1_df['upper_c
plt.legend(loc='best')
plt.grid()
plt.title('Forecast Next 12 Months for Sparkling - Holt Winter ETS(A, Ad,
plt.savefig('spark_forecast_tes.jpg', bbox_inches='tight');
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Building the second most optimum model on
ROSE - TES ETS(A, A, A)
Here, we have a scenario where our training data was stationary but our full data
was not stationary. So, we will use the same parameters as our training data but
with adding a level of differencing which is needed for the data to be stationary.
In [51]:
# Initializing the Double Exponential Smoothing Model
model_TES_am = ExponentialSmoothing(dfr,trend='add',seasonal='additive',i
# Fitting the model
model_TES_am = model_TES_am.fit()
print('')
print('==Holt Winters model Exponential Smoothing Estimated Parameters ==
print('')
print(model_TES_am.params)
==Holt Winters model Exponential Smoothing Estimated Parameters ==
{'smoothing_level': 0.09735117361719348, 'smoothing_trend': 5.50762975348
4272e-06, 'smoothing_seasonal': 0.0002767929725687986, 'damping_trend': n
an, 'initial_level': 145.48998105259932, 'initial_trend': -0.537003747132
04, 'initial_seasons': array([-28.14126307, -17.20156253, -9.04796115, -
15.68849474,
-11.76246934, -5.79244325, 5.28480569, 5.30230053,
2.3165333 , 2.29373567, 17.61244964, 55.0886928 ]), 'use_box
cox': False, 'lamda': None, 'remove_bias': False}
/Users/chetan/DS/anaconda3/lib/python3.7/site-packages/statsmodels/tsa/ba
se/tsa_model.py:527: ValueWarning: No frequency information was provided,
so inferred frequency MS will be used.
% freq, ValueWarning)
In [56]:
# Forecasting using this model for the duration of the test set
TES_predict = model_TES_am.forecast(steps=12)
TES_predict
prediction_1 = TES_predict
TES_predict.to_csv('rose_forecast_tes.csv')
1995-08-01 50.020850
Out[56]:
1995-09-01 46.499553
1995-10-01 45.936706
1995-11-01 60.717805
1995-12-01 97.662698
1996-01-01 13.892676
1996-02-01 24.294943
1996-03-01 31 911300
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1996-03-01 31.911300
1996-04-01 24.733799
1996-05-01 28.122724
1996-06-01 33.556066
1996-07-01 44.093271
Freq: MS, dtype: float64
In [53]:
plt.rcParams["figure.figsize"] = [16,9]
In [54]:
pred_1_df = pd.DataFrame({'lower_CI':prediction_1 - 1.96*np.std(model_TES
'prediction':prediction_1,
'upper_ci': prediction_1 + 1.96*np.std(model_TE
pred_1_df.head()
Out[54]: lower_CI prediction upper_ci
1995-08-01 15.305048 50.020850 84.736652
1995-09-01 11.783751 46.499553 81.215355
1995-10-01 11.220903 45.936706 80.652508
1995-11-01 26.002003 60.717805 95.433607
1995-12-01 62.946896 97.662698 132.378500
In [55]:
## Plotting the Training data, Test data and the forecasted values
plt.plot(dfr['Rose'], label='Original Data - Sparkling')
ax =TES_predict.plot(label='Forecast next 12 months - Rose')
ax.fill_between(pred_1_df.index,pred_1_df['lower_CI'], pred_1_df['upper_c
plt.legend(loc='best')
plt.grid()
plt.title('Forecast Next 12 Months for Rose - Holt Winter ETS(A, A, A)',
plt.savefig('rose_forecast_tes.jpg', bbox_inches='tight');
In [ ]:
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