问题
After i developed my little ARMAX-forecasting model for in-sample analysis i´d like to predict some data out of sample.
The time series i use for forecasting calculation starts at 2013-01-01 and ends at 2013-12-31!
Here is my data I am working with:
hr = np.loadtxt("Data_2013_17.txt")
index = date_range(start='2013-1-1', end='2013-12-31', freq='D')
df = pd.DataFrame(hr, index=index)
holidays = ['2013-1-1', '2013-3-29', '2013-4-1', '2013-5-1', '2013-5-9', '2013-5-20', '2013-10-3', '2013-12-25', '2013-12-26']
# holidays for all Bundesländer
idx = df.asfreq('B').index - DatetimeIndex(holidays)
indexed_df = df.reindex(idx)
# indexed_df = df.asfreq('B') (includes holidays)
# 'D'=day
#'B'=business day
# W@MON=shows only mondays
# external variable
hr_ = np.loadtxt("Data_2_2013.txt")
index = date_range(start='2013-1-1', end='2013-12-31', freq='D')
df = pd.DataFrame(hr_, index=index)
idx2 = df.asfreq('B').index - DatetimeIndex(holidays)
external_df1 = df.reindex(idx2)
external_df = external_df1.fillna(external_df1.mean())
Out:
0
2013-01-02 49.56
2013-01-03 48.09
2013-01-04 36.79
2013-01-07 60.84
2013-01-08 59.72
2013-01-09 61.88
2013-01-10 57.95
2013-01-11 56.29
2013-01-14 57.89
2013-01-15 64.49
2013-01-16 58.92
2013-01-17 62.30
2013-01-18 55.92
2013-01-21 55.67
2013-01-22 60.73
2013-01-23 60.12
2013-01-24 65.70
2013-01-25 55.15
2013-01-28 51.79
2013-01-29 39.69
2013-01-30 37.90
2013-01-31 37.60
2013-02-01 41.26
2013-02-04 29.18
2013-02-05 39.55
2013-02-06 47.57
2013-02-07 51.97
2013-02-08 46.95
2013-02-11 42.79
2013-02-12 51.83
... ...
2013-11-18 58.04
2013-11-19 62.96
2013-11-20 63.90
2013-11-21 64.09
2013-11-22 64.78
2013-11-25 59.59
2013-11-26 70.69
2013-11-27 61.57
2013-11-28 47.87
2013-11-29 34.61
2013-12-02 68.77
2013-12-03 77.84
2013-12-04 63.09
2013-12-05 40.94
2013-12-06 38.60
2013-12-09 65.79
2013-12-10 68.98
2013-12-11 77.86
2013-12-12 76.44
2013-12-13 85.90
2013-12-16 53.51
2013-12-17 73.67
2013-12-18 59.76
2013-12-19 53.11
2013-12-20 38.33
2013-12-23 36.93
2013-12-24 11.30
2013-12-27 30.32
2013-12-30 39.94
2013-12-31 31.27
[252 rows x 1 columns]
0
2013-01-02 70770
2013-01-03 74155
2013-01-04 74286
2013-01-07 75360
2013-01-08 76910
2013-01-09 78561
2013-01-10 77427
2013-01-11 75260
2013-01-14 78738
2013-01-15 78286
2013-01-16 79568
2013-01-17 79761
2013-01-18 77518
2013-01-21 80089
2013-01-22 79915
2013-01-23 78607
2013-01-24 79761
2013-01-25 77908
2013-01-28 79873
2013-01-29 80535
2013-01-30 76340
2013-01-31 78244
2013-02-01 77749
2013-02-04 79125
2013-02-05 79001
2013-02-06 77837
2013-02-07 77495
2013-02-08 75372
2013-02-11 73856
2013-02-12 77494
... ...
2013-11-18 76292
2013-11-19 77420
2013-11-20 74993
2013-11-21 76658
2013-11-22 74769
2013-11-25 78347
2013-11-26 77756
2013-11-27 79648
2013-11-28 80075
2013-11-29 78587
2013-12-02 76867
2013-12-03 76070
2013-12-04 80344
2013-12-05 81736
2013-12-06 79617
2013-12-09 78085
2013-12-10 78430
2013-12-11 78120
2013-12-12 77735
2013-12-13 75872
2013-12-16 78651
2013-12-17 76180
2013-12-18 75867
2013-12-19 76018
2013-12-20 71101
2013-12-23 66841
2013-12-24 64557
2013-12-27 66747
2013-12-30 64787
2013-12-31 61101
[252 rows x 1 columns]
Descriptive statistics of ts:
0
count 252.000000
mean 44.583651
std 11.708938
min 11.300000
25% 34.597500
50% 44.200000
75% 51.947500
max 85.900000
Skewness of endog_var: [ 0.44315988]
Kurtsosis of endog_var: [ 3.18049689]
Correlation hr & hr_: (0.71074420030220553, 2.0635001219278823e-57)
Augmented Dickey-Fuller Test for endog_var: (-2.9282259926181839, 0.042162780619902182, {'5%': -2.8698573654386559, '1%': -3.4492269328800189, '10%': -2.5712010851306641}, <statsmodels.tsa.stattools.ResultsStore object at 0x111e2ca50>)
Selection of p and q values:
In: arma_mod = sm.tsa.ARMA(indexed_df, (3,3), external_df).fit() z = arma_mod.params print 'P- and Q-Values:' print z
Out:
P- and Q-Values:
const 19.674538
0 0.000345
ar.L1.0 -0.062796
ar.L2.0 0.340800
ar.L3.0 0.436345
ma.L1.0 0.613498
ma.L2.0 0.057267
ma.L3.0 -0.415455
dtype: float64
/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/base/model.py:466: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
"Check mle_retvals", ConvergenceWarning)
Here´s what i do to forecast out of sample:
In:
start_pred = '2014-1-3'
end_pred = '2014-1-3'
predict_price1 = arma_mod1.predict(start_pred, end_pred, external_df)#, dynamic=True)
print ('Predicted Price (ARMAX): {}' .format(predict_price1))
Out:
Traceback (most recent call last):
File "<ipython-input-34-ad7feec95e4a>", line 6, in <module>
predict_price1 = arma_mod1.predict(start_pred, end_pred, external_df)#, dynamic=True)
File "/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/base/wrapper.py", line 92, in wrapper
return data.wrap_output(func(results, *args, **kwargs), how)
File "/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/tsa/arima_model.py", line 1441, in predict
return self.model.predict(self.params, start, end, exog, dynamic)
File "/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/tsa/arima_model.py", line 711, in predict
start = self._get_predict_start(start, dynamic)
File "/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/tsa/arima_model.py", line 646, in _get_predict_start
method)
File "/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/tsa/arima_model.py", line 376, in _validate
start = _index_date(start, dates)
File "/Applications/anaconda/lib/python2.7/site-packages/statsmodels-0.6.1-py2.7-macosx-10.5-x86_64.egg/statsmodels/tsa/base/datetools.py", line 57, in _index_date
"an integer" % date)
ValueError: There is no frequency for these dates and date 2014-01-03 00:00:00 is not in dates index. Try giving a date that is in the dates index or use an integer
I DO NOT UNDERSTAND THIS ERROR!
The arima source-code i.e. 'datetools.py' tells me the following:
except KeyError as err:
freq = _infer_freq(dates)
if freq is None:
#TODO: try to intelligently roll forward onto a date in the
# index. Waiting to drop pandas 0.7.x support so this is
# cleaner to do.
raise ValueError("There is no frequency for these dates and "
"date %s is not in dates index. Try giving a "
"date that is in the dates index or use "
"an integer" % date)
# we can start prediction at the end of endog
if _idx_from_dates(dates[-1], date, freq) == 1:
return len(dates)
raise ValueError("date %s not in date index. Try giving a "
"date that is in the dates index or use an integer"
% date)
def _date_from_idx(d1, idx, freq):
"""
Returns the date from an index beyond the end of a date series.
d1 is the datetime of the last date in the series. idx is the
index distance of how far the next date should be from d1. Ie., 1 gives
the next date from d1 at freq.
Notes
-----
This does not do any rounding to make sure that d1 is actually on the
offset. For now, this needs to be taken care of before you get here.
"""
So that means that it should be possible to forecast out of sample. i just do not understand where and how i need to change my objects?!
I found some older posts but they wont tell me what to do neither: Python out of sample forecasting ARIMA predict() and https://stats.stackexchange.com/questions/76160/im-not-sure-that-statsmodels-is-predicting-out-of-sample
How to forecast data out of sample with the given information above?
Help much appreciated
回答1:
Two problems. As the error message indicates, '2014-1-3' isn't in your data. You need to start the prediction within one time step of your data, as the docs should mention.
Second problem, your data doesn't have a defined frequency. By removing the holidays from the business day frequency data, you lose any sense of what the next day is. There's no way for us to know what the next day is supposed to be now. You could code up a custom date offset for pandas, but that would be some work.
Easiest workaround is just to use numpy arrays and drop the pandas DatetimeIndex.
回答2:
A solution I came across on blackarbs for out of sample forecasting done on a time series indexed by a pandas DatetimeIndex
They run arma.forecast() for an integer indexed number of data points and stitch together the output into a dataframe.
The pd.date_range call converts the integer index into dates continuing beyond your original sample of data
#ts=your data
n_steps=12
idx = pd.date_range(ts.index[-1], periods=n_steps, freq='D')
f, err95, ci95 = mdl.forecast(steps=n_steps) # 95% CI
_, err99, ci99 = mdl.forecast(steps=n_steps, alpha=0.01) # 99% CI
fc_95 = pd.DataFrame(np.column_stack([f, ci95]),
index=idx, columns=['forecast','lower_ci_95','upper_ci_95'])
fc_99 = pd.DataFrame(np.column_stack([ci99]),
index=idx, columns=['lower_ci_99', 'upper_ci_99'])
fc_all = fc_95.combine_first(fc_99)
fc_all.head()
来源：https://stackoverflow.com/questions/27931571/arma-predict-for-out-of-sample-forecast-does-not-work-with-floating-points