def arimaTest(l_eq):
for i in range(1, 6):
ar = ARIMA(l_eq, order=(i, d, 0))
arfit = ar.fit(disp=-1)
arresults = ARIMAResults.bic(arfit)
mktBIC["AR (" + str(i) + ")"] = arresults
for i in range(1, 6):
ma = ARIMA(l_eq, order=(0, d, i))
mafit = ma.fit(disp=-1)
maresults = ARIMAResults.bic(mafit)
mktBIC["MA (" + str(i) + ")"] = maresults
def model_select(self):
self.aic = []
self.bic = []
## If data is stock
if self.is_stock:
for i in range(3):
for j in range(3):
if i == 0:
if j == 2:
continue
init = [.1 for j in range(i + j + 2)]
model = ARIMA(self.train_set, order=(j + 1, 0, i))
self.model_fit = model.fit(start_params=init, disp=0)
self.aic.append(ARIMAResults.aic(self.model_fit))
self.bic.append(ARIMAResults.bic(self.model_fit))
#print(ARIMAResults.summary(self.model_fit))
else:
init = [.4 for j in range(i + j + 1)]
model = ARIMA(self.train_set, order=(j, 0, i))
self.model_fit = model.fit(start_params=init,
maxiter=150,
disp=0)
self.aic.append(ARIMAResults.aic(self.model_fit))
self.bic.append(ARIMAResults.bic(self.model_fit))
#print(ARIMAResults.summary(self.model_fit))
## If data is forex
else:
for i in range(3):
for j in range(3):
if i == 0:
if j == 2:
continue
init = [.1 for j in range(i + j + 2)]
model = ARIMA(self.train_set, order=(j + 1, 0, i))
self.model_fit = model.fit(start_params=init,
maxiter=150,
disp=0)
self.aic.append(ARIMAResults.aic(self.model_fit))
self.bic.append(ARIMAResults.bic(self.model_fit))
print(ARIMAResults.summary(self.model_fit))
else:
init = [.28 for j in range(i + j + 1)]
model = ARIMA(self.train_set, order=(j, 0, i))
self.model_fit = model.fit(start_params=init,
maxiter=150,
disp=0)
self.aic.append(ARIMAResults.aic(self.model_fit))
self.bic.append(ARIMAResults.bic(self.model_fit))
print(ARIMAResults.summary(self.model_fit))
## Compare AIC and BIC, select the best model
min_aic = min(self.aic)
min_bic = min(self.bic)
x = PrettyTable(["Model", "AIC", "BIC"])
x.align["Model"] = "l"
x.padding_width = 1
x.add_row(["ARIMA(1,1,0)", self.aic[0], self.bic[0]])
x.add_row(["ARIMA(2,1,0)", self.aic[1], self.bic[1]])
x.add_row(["ARIMA(0,1,1)", self.aic[2], self.bic[2]])
x.add_row(["ARIMA(1,1,1)", self.aic[3], self.bic[3]])
x.add_row(["ARIMA(2,1,1)", self.aic[4], self.bic[4]])
x.add_row(["ARIMA(0,1,2)", self.aic[5], self.bic[5]])
x.add_row(["ARIMA(1,1,2)", self.aic[6], self.bic[6]])
x.add_row(["ARIMA(2,1,2)", self.aic[7], self.bic[7]])
print(x)