Python stattools.acf方法代碼示例

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def fit(self, magnitude, nlags):

        AC = stattools.acf(magnitude, nlags=nlags, fft=True)
        k = next(
            (index for index, value in enumerate(AC) if value < np.exp(-1)),
            None,
        )

        while k is None:
            nlags = nlags + 100
            AC = stattools.acf(magnitude, nlags=nlags, fft=True)
            k = next(
                (
                    index
                    for index, value in enumerate(AC)
                    if value < np.exp(-1)
                ),
                None,
            )

        return {"Autocor_length": k} 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def __init__(self, options):

        self.handle_options(options)

        params = options.get('params', {})
        converted_params = convert_params(
            params,
            ints=['k', 'conf_interval'],
            bools=['fft'],
            aliases={'k': 'nlags'},
        )

        # Set the default name to be used so that PACF can override
        self.default_name = 'acf({})'

        # Set the lags, alpha and fft parameters
        self.nlags = converted_params.pop('nlags', 40)
        self.fft = converted_params.pop('fft', False)

        conf_int = converted_params.pop('conf_interval', 95)
        if conf_int <= 0 or conf_int >= 100:
            raise RuntimeError('conf_interval cannot be less than 1 or more than 99.')
        if self.nlags <= 0:
            raise RuntimeError('k must be greater than 0.')
        self.alpha = confidence_interval_to_alpha(conf_int) 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def _calculate(self, df):
        """Calculate the ACF.

        Args:
            X (dataframe): input data

        Returns:
            autocors (array): array of autocorrelations
            conf_int (array): array of confidence intervals
        """
        autocors, conf_int = acf(
            x=df.values,
            nlags=self.nlags,
            alpha=self.alpha,
            fft=self.fft
        )
        return autocors, conf_int 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def test_acf():
    acf_x = tsa.acf(x100, unbiased=False)[:21]
    assert_array_almost_equal(mlacf.acf100.ravel(), acf_x, 8)  # why only dec=8
    acf_x = tsa.acf(x1000, unbiased=False)[:21]
    assert_array_almost_equal(mlacf.acf1000.ravel(), acf_x, 8)  # why only dec=9 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def acf(x, unbiased=False, nlags=40, qstat=False, fft=False,
        alpha=None, missing='none'):
    return sm_acf(x=x, unbiased=unbiased, nlags=nlags,
                  qstat=qstat, fft=fft, alpha=alpha,
                  missing=missing) 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def agg_autocorrelation(x, param):
    """Credit goes to https://github.com/blue-yonder/tsfresh"""
    # if the time series is longer than the following threshold, we use fft to calculate the acf
    THRESHOLD_TO_USE_FFT = 1250
    var = np.var(x)
    n = len(x)
    max_maxlag = max([config["maxlag"] for config in param])

    if np.abs(var) < 10 ** -10 or n == 1:
        a = [0] * len(x)
    else:
        a = acf(x, unbiased=True, fft=n > THRESHOLD_TO_USE_FFT, nlags=max_maxlag)[1:]
    return [("f_agg_\"{}\"__maxlag_{}".format(config["f_agg"], config["maxlag"]),
             getattr(np, config["f_agg"])(a[:int(config["maxlag"])])) for config in param] 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def compute_n_eff_acf(theta_chain):
    """ computes autocorrelation based effective sample size"""
    n = theta_chain.shape[0]
    return n / (1. + 2 * stattools.acf(theta_chain)[1:].sum()) 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def sharpe_autocorr_factor(returns, q):
    """
    Auto-correlation correction for Sharpe ratio time aggregation based on
    Andrew Lo's 2002 paper.

    Link:
    https://www.google.co.uk/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&uact=8&ved=0ahUKEwj5wf2OjO_OAhWDNxQKHT0wB3EQFggeMAA&url=http%3A%2F%2Fedge-fund.com%2FLo02.pdf&usg=AFQjCNHbSz0LDZxFXm6pmBQukCfAYd0K7w&sig2=zQgZAN22RQcQatyP68VKmQ

    Parameters:
        returns :
            return sereis
        q :
            time aggregation factor, e.g. 12 for monthly to annual,
            252 for daily to annual

    Returns:
        factor : time aggregation factor
        p-value : p-value for Ljung-Box serial correation test.
    """
    # Ljung-Box Null: data is independent, i.e. no auto-correlation.
    # smaller p-value would reject the Null, i.e. there is auto-correlation
    acf, _, pval = sts.acf(returns, unbiased=False, nlags=q, qstat=True)
    term = [(q - (k + 1)) * acf[k + 1] for k in range(q - 2)]
    factor = q / np.sqrt(q + 2 * np.sum(term))

    return factor, pval[-2] 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def acf_coefs(x, maxlag=100):
    x = np.asarray(x).ravel()
    nlags = np.minimum(len(x) - 1, maxlag)
    return acf(x, nlags=nlags).ravel() 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def rise_benchmarking():
    for i in range(0, len(benchmark_datasets)):
        dataset = benchmark_datasets[i]
        print(str(i) + " problem = " + dataset)
        rise = fb.RandomIntervalSpectralForest(n_estimators=100)
        exp.run_experiment(overwrite=True, problem_path=data_dir,
                           results_path=results_dir, cls_name="PythonRISE",
                           classifier=rise, dataset=dataset, train_file=False)
        steps = [
            ('segment', RandomIntervalSegmenter(n_intervals=1, min_length=5)),
            ('transform', FeatureUnion([
                ('acf', RowTransformer(
                    FunctionTransformer(func=acf_coefs, validate=False))),
                ('ps', RowTransformer(
                    FunctionTransformer(func=powerspectrum, validate=False)))
            ])),
            ('tabularise', Tabularizer()),
            ('clf', DecisionTreeClassifier())
        ]
        base_estimator = Pipeline(steps)
        rise = TimeSeriesForestClassifier(estimator=base_estimator,
                                          n_estimators=100)
        exp.run_experiment(overwrite=True, problem_path=data_dir,
                           results_path=results_dir,
                           cls_name="PythonRISEComposite",
                           classifier=rise, dataset=dataset, train_file=False) 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def fit(self, data):

        magnitude = data[0]
        AC = stattools.acf(magnitude, nlags=self.nlags)
        k = next((index for index, value in
                 enumerate(AC) if value < np.exp(-1)), None)

        while k is None:
            self.nlags = self.nlags + 100
            AC = stattools.acf(magnitude, nlags=self.nlags)
            k = next((index for index, value in
                      enumerate(AC) if value < np.exp(-1)), None)

        return k 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def autocorrelation_seasonality_test(y, sp):
    """Seasonality test used in M4 competition

    Parameters
    ----------
    sp : int
        Seasonal periodicity

    Returns
    -------
    is_seasonal : bool
        Test result

    References
    ----------
    ..[1]  https://github.com/Mcompetitions/M4-methods/blob/master
    /Benchmarks%20and%20Evaluation.R
    """
    y = check_y(y)
    sp = check_sp(sp)

    y = np.asarray(y)
    n_timepoints = len(y)

    if sp == 1:
        return False

    if n_timepoints < 3 * sp:
        warn(
            "Did not perform seasonality test, as `y`` is too short for the "
            "given `sp`, returned: False")
        return False

    else:
        coefs = acf(y, nlags=sp, fft=False)  # acf coefficients
        coef = coefs[sp]  # coefficient to check

        tcrit = 1.645  # 90% confidence level
        limits = tcrit / np.sqrt(n_timepoints) * np.sqrt(
            np.cumsum(np.append(1, 2 * coefs[1:] ** 2)))
        limit = limits[sp - 1]  #  zero-based indexing
        return np.abs(coef) > limit 

# 需要導入模塊: from statsmodels.tsa import stattools [as 別名]
# 或者: from statsmodels.tsa.stattools import acf [as 別名]
def set_classifier(cls, resampleId):
    """
    Basic way of determining the classifier to build. To differentiate settings just and another elif. So, for example, if
    you wanted tuned TSF, you just pass TuneTSF and set up the tuning mechanism in the elif.
    This may well get superceded, it is just how e have always done it
    :param cls: String indicating which classifier you want
    :return: A classifier.

    """
    if cls.lower() == 'pf':
        return pf.ProximityForest(random_state = resampleId)
    elif cls.lower() == 'pt':
        return pf.ProximityTree(random_state = resampleId)
    elif cls.lower() == 'ps':
        return pf.ProximityStump(random_state = resampleId)
    elif cls.lower() == 'rise':
        return fb.RandomIntervalSpectralForest(random_state = resampleId)
    elif  cls.lower() == 'tsf':
        return ib.TimeSeriesForest(random_state = resampleId)
    elif cls.lower() == 'boss':
        return db.BOSSEnsemble()
    elif cls.lower() == 'st':
        return st.ShapeletTransformClassifier(time_contract_in_mins=1500)
    elif cls.lower() == 'dtwcv':
        return nn.KNeighborsTimeSeriesClassifier(metric="dtwcv")
    elif cls.lower() == 'ee' or cls.lower() == 'elasticensemble':
        return dist.ElasticEnsemble()
    elif cls.lower() == 'tsfcomposite':
        #It defaults to TSF
        return ensemble.TimeSeriesForestClassifier()
    elif cls.lower() == 'risecomposite':
        steps = [
            ('segment', RandomIntervalSegmenter(n_intervals=1, min_length=5)),
            ('transform', FeatureUnion([
                ('acf', RowTransformer(FunctionTransformer(func=acf_coefs, validate=False))),
                ('ps', RowTransformer(FunctionTransformer(func=powerspectrum, validate=False)))
            ])),
            ('tabularise', Tabularizer()),
            ('clf', DecisionTreeClassifier())
        ]
        base_estimator = Pipeline(steps)
        return ensemble.TimeSeriesForestClassifier(estimator=base_estimator, n_estimators=100)
    else:
        raise Exception('UNKNOWN CLASSIFIER')