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ARIMA Models in Python Chapter2

This document discusses ARIMA time series models in Python. It covers creating AR and MA models, fitting ARIMA models to time series data, and making predictions using fitted ARIMA models. Key points include fitting an ARMA(2,1) model to sample data and examining the output summary, introducing ARMAX models which include exogenous variables, and using the Statsmodels library to make one-step-ahead and multi-step forecasts both in-sample and out-of-sample.

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119 views

ARIMA Models in Python Chapter2

This document discusses ARIMA time series models in Python. It covers creating AR and MA models, fitting ARIMA models to time series data, and making predictions using fitted ARIMA models. Key points include fitting an ARMA(2,1) model to sample data and examining the output summary, introducing ARMAX models which include exogenous variables, and using the Statsmodels library to make one-step-ahead and multi-step forecasts both in-sample and out-of-sample.

Uploaded by

Fgpeqw
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Fitting time series

models
A RIMA MODELS IN P YTH ON

James Fulton
Climate informatics researcher
Creating a model
from statsmodels.tsa.arima_model import ARMA

model = ARMA(timeseries, order=(p,q))

ARIMA MODELS IN PYTHON


Creating AR and MA models
ar_model = ARMA(timeseries, order=(p,0))

ma_model = ARMA(timeseries, order=(0,q))

ARIMA MODELS IN PYTHON


Fitting the model and t summary
model = ARMA(timeseries, order=(2,1))

results = model.fit()

print(results.summary())

ARIMA MODELS IN PYTHON


Fit summary
ARMA Model Results
==============================================================================
Dep. Variable: y No. Observations: 1000
Model: ARMA(2, 1) Log Likelihood 148.580
Method: css-mle S.D. of innovations 0.208
Date: Thu, 25 Apr 2019 AIC -287.159
Time: 22:57:00 BIC -262.621
Sample: 0 HQIC -277.833

==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -0.0017 0.012 -0.147 0.883 -0.025 0.021
ar.L1.y 0.5253 0.054 9.807 0.000 0.420 0.630
ar.L2.y -0.2909 0.042 -6.850 0.000 -0.374 -0.208
ma.L1.y 0.3679 0.052 7.100 0.000 0.266 0.469
Roots
=============================================================================
Real Imaginary Modulus Frequency
-----------------------------------------------------------------------------
AR.1 0.9029 -1.6194j 1.8541 -0.1690
AR.2 0.9029 +1.6194j 1.8541 0.1690
MA.1 -2.7184 +0.0000j 2.7184 0.5000
-----------------------------------------------------------------------------

ARIMA MODELS IN PYTHON


Fit summary
ARMA Model Results
==============================================================================
Dep. Variable: y No. Observations: 1000
Model: ARMA(2, 1) Log Likelihood 148.580
Method: css-mle S.D. of innovations 0.208
Date: Thu, 25 Apr 2019 AIC -287.159
Time: 22:57:00 BIC -262.621
Sample: 0 HQIC -277.833

ARIMA MODELS IN PYTHON


Fit summary
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -0.0017 0.012 -0.147 0.883 -0.025 0.021
ar.L1.y 0.5253 0.054 9.807 0.000 0.420 0.630
ar.L2.y -0.2909 0.042 -6.850 0.000 -0.374 -0.208
ma.L1.y 0.3679 0.052 7.100 0.000 0.266 0.469

ARIMA MODELS IN PYTHON


Introduction to ARMAX models
Exogenous ARMA

Use external variables as well as time series

ARMAX = ARMA + linear regression

ARIMA MODELS IN PYTHON


ARMAX equation
ARMA(1,1) model :
yt = a1 yt−1 + m1 ϵt−1 + ϵt

ARMAX(1,1) model :
yt = x1 zt + a1 yt−1 + m1 ϵt−1 + ϵt

ARIMA MODELS IN PYTHON


ARMAX example

ARIMA MODELS IN PYTHON


ARMAX example

ARIMA MODELS IN PYTHON


Fitting ARMAX
# Instantiate the model
model = ARMA(df['productivity'], order=(2,1), exog=df['hours_sleep'])

# Fit the model


results = model.fit()

ARIMA MODELS IN PYTHON


ARMAX summary
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const -0.1936 0.092 -2.098 0.041 -0.375 -0.013
x1 0.1131 0.013 8.602 0.000 0.087 0.139
ar.L1.y 0.1917 0.252 0.760 0.450 -0.302 0.686
ar.L2.y -0.3740 0.121 -3.079 0.003 -0.612 -0.136
ma.L1.y -0.0740 0.259 -0.286 0.776 -0.581 0.433

ARIMA MODELS IN PYTHON


Let's practice!
A RIMA MODELS IN P YTH ON
Forecasting
A RIMA MODELS IN P YTH ON

James Fulton
Climate informatics researcher
Predicting the next value
Take an AR(1) model

yt = a1 yt−1 + ϵt

Predict next value

yt = 0.6 x 10 + ϵt

yt = 6.0 + ϵt

Uncertainty on prediction

5.0 < yt < 7.0

ARIMA MODELS IN PYTHON


One-step-ahead predictions

ARIMA MODELS IN PYTHON


Statsmodels SARIMAX class
from statsmodels.tsa.statespace.sarimax import SARIMAX

# Just an ARMA(p,q) model


model = SARIMAX(df, order=(p,0,q))

ARIMA MODELS IN PYTHON


Statsmodels SARIMAX class
from statsmodels.tsa.statespace.sarimax import SARIMAX

# An ARMA(p,q) + constant model


model = SARIMAX(df, order=(p,0,q), trend='c')

ARIMA MODELS IN PYTHON


Making one-step-ahead predictions
# Make predictions for last 25 values
results = model.fit()

# Make in-sample prediction


forecast = results.get_prediction(start=-25)

ARIMA MODELS IN PYTHON


Making one-step-ahead predictions
# Make predictions for last 25 values
results = model.fit()

# Make in-sample prediction


forecast = results.get_prediction(start=-25)

# forecast mean
mean_forecast = forecast.predicted_mean

Predicted mean is a pandas series

2013-10-28 1.519368
2013-10-29 1.351082
2013-10-30 1.218016

ARIMA MODELS IN PYTHON


Con dence intervals
# Get confidence intervals of forecasts
confidence_intervals = forecast.conf_int()

Con dence interval method returns pandas DataFrame

lower y upper y
2013-09-28 -4.720471 -0.815384
2013-09-29 -5.069875 0.112505
2013-09-30 -5.232837 0.766300
2013-10-01 -5.305814 1.282935
2013-10-02 -5.326956 1.703974

ARIMA MODELS IN PYTHON


Plotting predictions
plt.figure()

# Plot prediction
plt.plot(dates,
mean_forecast.values,
color='red',
label='forecast')

# Shade uncertainty area


plt.fill_between(dates, lower_limits, upper_limits, color='pink')

plt.show()

ARIMA MODELS IN PYTHON


Plotting predictions

ARIMA MODELS IN PYTHON


Dynamic predictions

ARIMA MODELS IN PYTHON


Making dynamic predictions
results = model.fit()
forecast = results.get_prediction(start=-25, dynamic=True)

# forecast mean
mean_forecast = forecast.predicted_mean

# Get confidence intervals of forecasts


confidence_intervals = forecast.conf_int()

ARIMA MODELS IN PYTHON


Forecasting out of sample
forecast = results.get_forecast(steps=20)

# forecast mean
mean_forecast = forecast.predicted_mean

# Get confidence intervals of forecasts


confidence_intervals = forecast.conf_int()

ARIMA MODELS IN PYTHON


Forecasting out of sample
forecast = results.get_forecast(steps=20)

ARIMA MODELS IN PYTHON


Let's practice!
A RIMA MODELS IN P YTH ON
Introduction to
ARIMA models
A RIMA MODELS IN P YTH ON

James Fulton
Climate informatics researcher
Non-stationary time series recap

ARIMA MODELS IN PYTHON


Non-stationary time series recap

ARIMA MODELS IN PYTHON


Forecast of differenced time series

ARIMA MODELS IN PYTHON


Reconstructing original time series after
differencing
diff_forecast = results.get_forecast(steps=10).predicted_mean

from numpy import cumsum

mean_forecast = cumsum(diff_forecast)

ARIMA MODELS IN PYTHON


Reconstructing original time series after
differencing
diff_forecast = results.get_forecast(steps=10).predicted_mean

from numpy import cumsum

mean_forecast = cumsum(diff_forecast) + df.iloc[-1,0]

ARIMA MODELS IN PYTHON


Reconstructing original time series after
differencing

ARIMA MODELS IN PYTHON


The ARIMA model
 

Take the difference

Fit ARMA model

Integrate forecast

Can we avoid doing so much work?

Yes!

ARIMA - Autoregressive Integrated Moving Average

ARIMA MODELS IN PYTHON


Using the ARIMA model
from statsmodels.tsa.statespace.sarimax import SARIMAX

model = SARIMAX(df, order =(p,d,q))

p - number of autoregressive lags

d - order of differencing

q - number of moving average lags

ARMA(p, 0, q) = ARMA(p, q)

ARIMA MODELS IN PYTHON


Using the ARIMA model
# Create model
model = SARIMAX(df, order=(2,1,1))

# Fit model
model.fit()

# Make forecast
mean_forecast = results.get_forecast(steps=10).predicted_mean

ARIMA MODELS IN PYTHON


Using the ARIMA model
# Make forecast
mean_forecast = results.get_forecast(steps=steps).predicted_mean

ARIMA MODELS IN PYTHON


Picking the difference order
adf = adfuller(df.iloc[:,0])
print('ADF Statistic:', adf[0])
print('p-value:', adf[1])

ADF Statistic: -2.674


p-value: 0.0784

adf = adfuller(df.diff().dropna().iloc[:,0])
print('ADF Statistic:', adf[0])
print('p-value:', adf[1])

ADF Statistic: -4.978


p-value: 2.44e-05

ARIMA MODELS IN PYTHON


Picking the difference order
model = SARIMAX(df, order=(p,1,q))

ARIMA MODELS IN PYTHON


Let's practice!
A RIMA MODELS IN P YTH ON

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