def test_gamma(self, components, params, expected_gamma, expected_gamma_1, expected_gamma_2):
c = Components(**components)
p = ModelParams(c, **params)
assert np.array_equal(expected_gamma, p.gamma_params)
assert np.array_equal(expected_gamma_1, p.gamma_1())
assert np.array_equal(expected_gamma_2, p.gamma_2())
def test_forecast_confidence_intervals(self):
T = 30
steps = 5
period_length = 6
y = [0] * T
b = b0 = 2.1
l = l0 = 1.2
alpha = 0.5
beta = 0.2
np.random.seed(3433)
for t in range(0, T):
d = np.random.normal()
y[t] = l + b + d
l = l + b + alpha * d
b = b + beta * d
c = Components(use_arma_errors=False,
use_trend=True,
use_damped_trend=False,
use_box_cox=False)
p = ModelParams(c, alpha=0.5, beta=0.2, x0=[1.2, 2.1])
model = self.create_model(p)
model = model.fit(y)
forecasts, confidence_info = model.forecast(steps=4,
confidence_level=0.95)
assert 0.95 == confidence_info['calculated_for_level']
assert np.array_equal(forecasts, confidence_info['mean'])
assert np.allclose([59.46379894, 60.44336595, 61.290095, 62.02915299],
confidence_info['lower_bound'])
assert np.allclose([62.99372071, 64.75218458, 66.64348641, 68.6424593],
confidence_info['upper_bound'])
def test_fit_alpha_only(self):
alpha = 0.7
np.random.seed(345)
T = 200
l = l0 = 0.2
y = [0] * T
for t in range(0, T):
d = np.random.normal()
y[t] = l + d
l = l + alpha * d
c = Components(use_arma_errors=False)
p = ModelParams(c, alpha=alpha, x0=np.array([l0]))
model = self.create_model(p)
fitted_model = model.fit(y)
resid = fitted_model.resid
# Residuals should form a normal distribution
_, pvalue = stats.normaltest(resid)
assert 0.05 < pvalue # large p-value, we can not reject null hypothesis of normal distribution
# Mean of residuals should be close to 0
_, pvalue = stats.ttest_1samp(resid, popmean=0.0)
assert 0.05 < pvalue # large p-value we can not reject null hypothesis that mean is 0
# We expect 95% of residuals to lie within [-2,2] interval
assert len(resid[np.where(np.abs(resid) < 2)]) / len(resid) > 0.90
def test_optimization_with_seasonal_period(self):
alpha = 0.7
gamma1 = 0.1
gamma2 = 0.05
period_length = 4
np.random.seed(2342)
T = 200
l = 0.2
s = 1
s_star = 0
y = [0] * T
lam = 2 * np.pi / period_length
for t in range(0, T):
d = np.random.normal()
y[t] = l + s + d
l = l + alpha * d
s_prev = s
s = s_prev * np.cos(lam) + s_star * np.sin(lam) + gamma1 * d
s_star = - s_prev * np.sin(lam) + s_star * np.cos(lam) + gamma2 * d
c = Components(use_arma_errors=False, seasonal_periods=[period_length], seasonal_harmonics=[1])
initial_params = ModelParams(components=c, alpha=0.09, gamma_params=[0., 0.])
optimizer = ParamsOptimizer(self.context)
optimizer.optimize(y, initial_params)
assert optimizer.converged()
model = optimizer.optimal_model()
assert np.isclose(alpha, model.params.alpha, atol=0.1)
assert np.allclose([gamma1, gamma2], model.params.gamma_params, atol=0.1)
def test_calculate_seed_x0(self, components, params, expected):
y = [2.0, 4.0, 2.0]
c = Components(**components)
p = ModelParams(c, **params)
m = ParamsOptimizer(self.context)
x0 = m._calculate_seed_x0(y, p)
assert np.allclose(expected, x0)
def test_fit_predict_trigonometric_seasonal(self, seasonal_periods,
seasonal_harmonics,
starting_values):
"""
The aim of the test is to check if model is correctly calculating trigonometric series with no noise.
"""
T = 60
steps = 10
l = 3.1
x0 = [[l]]
# construct trigonometric series
y = [l] * T
for period in range(0, len(seasonal_periods)):
period_length = seasonal_periods[period]
period_harmonics = seasonal_harmonics[period]
s_harmonic = np.array(starting_values[period])
s = s_harmonic[:int(len(s_harmonic) / 2)]
s_star = s_harmonic[int(len(s_harmonic) / 2):]
x0.append(s_harmonic)
lambdas = 2 * np.pi * (np.arange(
1, period_harmonics + 1)) / period_length
# add periodic impact to y
for t in range(0, T):
y[t] += np.sum(s)
s_prev = s
s = s_prev * np.cos(lambdas) + s_star * np.sin(lambdas)
s_star = -s_prev * np.sin(lambdas) + s_star * np.cos(lambdas)
x0 = np.concatenate(x0)
y_to_fit = y[:(T - steps)]
y_to_predict = y[(T - steps):]
c = Components(use_arma_errors=False,
seasonal_periods=seasonal_periods,
seasonal_harmonics=seasonal_harmonics)
p = ModelParams(
c, alpha=0.0,
x0=np.array(x0)) # gamma_params initialize to zeros here
model = self.create_model(p)
fitted_model = model.fit(y_to_fit)
resid = fitted_model.resid
# sequence should be modelled perfectly
assert np.allclose([0] * (T - steps), resid)
assert np.allclose(y_to_fit, fitted_model.y_hat)
# forecast should be perfect
y_predicted = fitted_model.forecast(steps=steps)
assert np.allclose(y_to_predict, y_predicted)
def test_trend_and_seasonal(self):
T = 30
steps = 5
phi = 0.99
period_length = 6
y = [0] * T
b = b0 = 2.1
l = l0 = 1.2
s = s0 = 0
s_star = s0_star = 0.2
for t in range(0, T):
y[t] = l + phi * b + s
l = l + phi * b
b = phi * b
lam = 2 * np.pi / period_length
s_prev = s
s = s_prev * np.cos(lam) + s_star * np.sin(lam)
s_star = -s_prev * np.sin(lam) + s_star * np.cos(lam)
y_to_fit = y[:(T - steps)]
y_to_predict = y[(T - steps):]
c = Components(use_arma_errors=False,
use_trend=True,
use_damped_trend=True,
seasonal_periods=[period_length],
seasonal_harmonics=[1])
p = ModelParams(
c,
phi=phi,
# alpha, beta, gamma_params do not matter in this case as there is no noise
alpha=0,
beta=0,
gamma_params=[0, 0],
x0=np.array([l0, b0, s0, s0_star]))
model = self.create_model(p)
fitted_model = model.fit(y_to_fit)
resid = fitted_model.resid
# sequence should be modelled perfectly
assert np.allclose([0] * (T - steps), resid)
assert np.allclose(y_to_fit, fitted_model.y_hat)
# forecast should be perfect
y_predicted = fitted_model.forecast(steps=steps)
assert np.allclose(y_to_predict, y_predicted)
def test_fit_alpha_and_trigonometric_series(self):
alpha = 0.7
gamma1 = 0.1
gamma2 = 0.05
period_length = 4
np.random.seed(2342)
T = 300
l = l0 = 0.2
s = s0 = 1
s_star = s0_star = 0
y = [0] * T
lam = 2 * np.pi / period_length
for t in range(0, T):
d = np.random.normal()
y[t] = l + s + d
l = l + alpha * d
s_prev = s
s = s_prev * np.cos(lam) + s_star * np.sin(lam) + gamma1 * d
s_star = -s_prev * np.sin(lam) + s_star * np.cos(lam) + gamma2 * d
c = Components(use_arma_errors=False,
seasonal_periods=[period_length],
seasonal_harmonics=[1])
p = ModelParams(
c,
alpha=alpha, # gamma_params=[gamma1, gamma2],
x0=np.array([l0, s0, s0_star]))
model = self.create_model(p)
fitted_model = model.fit(y)
resid = fitted_model.resid
# Residuals should form a normal distribution
_, pvalue = stats.normaltest(resid)
assert 0.05 < pvalue # large p-value, we can not reject null hypothesis of normal distribution
# Mean of residuals should be close to 0
_, pvalue = stats.ttest_1samp(resid, popmean=0.0)
assert 0.05 < pvalue # large p-value we can not reject null hypothesis that mean is 0
# We expect 95% of residuals to lie within [-2,2] interval
# 0.8 - lets choose something that expected 0.95 will meet
assert len(resid[np.where(np.abs(resid) < 2)]) / len(resid) > 0.80
def test_optimization_with_2_seasonal_periods(self):
alpha = 0.4
gamma = 0.05
period1_length = 4
period2_length = 12
np.random.seed(2342)
T = 200
l = 0.2
s1 = 1
s1_star = 0
s2 = 0
s2_star = 1
y = [0] * T
lam1 = 2 * np.pi / period1_length
lam2 = 2 * np.pi / period2_length
for t in range(0, T):
d = np.random.normal()
y[t] = l + s1 + s2 + d
l = l + alpha * d
s1_prev = s1
s1 = s1_prev * np.cos(lam1) + s1_star * np.sin(lam1) + gamma * d
s1_star = - s1_prev * np.sin(lam1) + s1_star * np.cos(lam1)
s2_prev = s2
s2 = s2_prev * np.cos(lam2) + s2_star * np.sin(lam2)
s2_star = - s2_prev * np.sin(lam2) + s2_star * np.cos(lam2)
c = Components(use_arma_errors=False,
seasonal_periods=[period1_length, period2_length], seasonal_harmonics=[1, 1])
initial_params = ModelParams(components=c, alpha=0.09, gamma_params=[0., 0., 0., 0.])
optimizer = ParamsOptimizer(self.context)
optimizer.optimize(y, initial_params)
assert optimizer.converged()
model = optimizer.optimal_model()
assert np.isclose(alpha, model.params.alpha, atol=0.1)
assert np.allclose([gamma, 0., 0., 0.], model.params.gamma_params, atol=0.25)
def test_make_vector(self, components, params, expected_w, expected_g):
m = MatrixBuilder(ModelParams(Components(**components), **params))
assert np.array_equal(expected_w, m.make_w_vector())
assert np.array_equal(expected_g, m.make_g_vector())
def test_make_F_matrix(self, components, params, expected_matrix):
m = MatrixBuilder(ModelParams(Components(**components), **params))
F = m.make_F_matrix()
assert np.allclose(expected_matrix, F)
def test_make_gamma_vector(self, components, params, expected_gamma):
m = MatrixBuilder(
ModelParams(components=Components(**components), **params))
assert np.array_equal(expected_gamma, m.make_gamma_vector())
def fit(self, y):
params = ModelParams(self.components, alpha=0)
return TestTBATSHarmonicsChoosingStrategy.ModelMock(y, params, self.aic_score)