Python pandas linear regression groupby

Question

I am trying to use a linear regression on a group by pandas python dataframe:

This is the dataframe df:

  group      date      value
    A     01-02-201         


        

Answer 1

New Answer

def model(df, delta):
    y = df[['value']].values
    X = df[['date_delta']].values
    return np.squeeze(LinearRegression().fit(X, y).predict(delta))

def group_predictions(df, date):
    date = pd.to_datetime(date)
    df.date = pd.to_datetime(df.date)

    day = np.timedelta64(1, 'D')
    mn = df.date.min()
    df['date_delta'] = df.date.sub(mn).div(day)

    dd = (date - mn) / day

    return df.groupby('group').apply(model, delta=dd)

demo

group_predictions(df, '01-10-2016')

group
A    22.333333333333332
B     3.500000000000007
C                  16.0
dtype: object

Old Answer

You're using LinearRegression wrong.

• you don't call it with the data and fit with the data. Just call the class like this
  • model = LinearRegression()
• then fit with
  • model.fit(X, y)

But all that does is set value in the object stored in model There is no nice summary method. There probably is one somewhere, but I know the one in statsmodels soooo, see below

---

option 1
use statsmodels instead

from statsmodels.formula.api import ols

for k, g in df_group:
    model = ols('value ~ date_delta', g)
    results = model.fit()
    print(results.summary())

---

                        OLS Regression Results                            
==============================================================================
Dep. Variable:                  value   R-squared:                       0.652
Model:                            OLS   Adj. R-squared:                  0.565
Method:                 Least Squares   F-statistic:                     7.500
Date:                Fri, 06 Jan 2017   Prob (F-statistic):             0.0520
Time:                        10:48:17   Log-Likelihood:                -9.8391
No. Observations:                   6   AIC:                             23.68
Df Residuals:                       4   BIC:                             23.26
Df Model:                           1                                         
Covariance Type:            nonrobust                                         
==============================================================================
                 coef    std err          t      P>|t|      [95.0% Conf. Int.]
------------------------------------------------------------------------------
Intercept     14.3333      1.106     12.965      0.000        11.264    17.403
date_delta     1.0000      0.365      2.739      0.052        -0.014     2.014
==============================================================================
Omnibus:                          nan   Durbin-Watson:                   1.393
Prob(Omnibus):                    nan   Jarque-Bera (JB):                0.461
Skew:                          -0.649   Prob(JB):                        0.794
Kurtosis:                       2.602   Cond. No.                         5.78
==============================================================================

Warnings:
[1] Standard Errors assume that the covariance matrix of the errors is correctly specified.
                            OLS Regression Results                            
==============================================================================
Dep. Variable:                  value   R-squared:                       0.750
Model:                            OLS   Adj. R-squared:                  0.500
Method:                 Least Squares   F-statistic:                     3.000
Date:                Fri, 06 Jan 2017   Prob (F-statistic):              0.333
Time:                        10:48:17   Log-Likelihood:                -3.2171
No. Observations:                   3   AIC:                             10.43
Df Residuals:                       1   BIC:                             8.631
Df Model:                           1                                         
Covariance Type:            nonrobust                                         
==============================================================================
                 coef    std err          t      P>|t|      [95.0% Conf. Int.]
------------------------------------------------------------------------------
Intercept     15.5000      1.118     13.864      0.046         1.294    29.706
date_delta    -1.5000      0.866     -1.732      0.333       -12.504     9.504
==============================================================================
Omnibus:                          nan   Durbin-Watson:                   3.000
Prob(Omnibus):                    nan   Jarque-Bera (JB):                0.531
Skew:                          -0.707   Prob(JB):                        0.767
Kurtosis:                       1.500   Cond. No.                         2.92
==============================================================================

Warnings:
[1] Standard Errors assume that the covariance matrix of the errors is correctly specified.
                            OLS Regression Results                            
==============================================================================
Dep. Variable:                  value   R-squared:                        -inf
Model:                            OLS   Adj. R-squared:                   -inf
Method:                 Least Squares   F-statistic:                    -0.000
Date:                Fri, 06 Jan 2017   Prob (F-statistic):                nan
Time:                        10:48:17   Log-Likelihood:                 63.481
No. Observations:                   2   AIC:                            -123.0
Df Residuals:                       0   BIC:                            -125.6
Df Model:                           1                                         
Covariance Type:            nonrobust                                         
==============================================================================
                 coef    std err          t      P>|t|      [95.0% Conf. Int.]
------------------------------------------------------------------------------
Intercept     16.0000        inf          0        nan           nan       nan
date_delta -3.553e-15        inf         -0        nan           nan       nan
==============================================================================
Omnibus:                          nan   Durbin-Watson:                   0.400
Prob(Omnibus):                    nan   Jarque-Bera (JB):                0.333
Skew:                           0.000   Prob(JB):                        0.846
Kurtosis:                       1.000   Cond. No.                         2.62
==============================================================================