def combshd(train, horizon, seasonality, init):
'''Author: Sandeep Pawar
Date: 8/30/2020
version: 1.1'''
train_x, lam = boxcox(train)
ses = sm.tsa.statespace.ExponentialSmoothing(train_x,
trend=True,
seasonal=None,
initialization_method=init,
damped_trend=False).fit()
fc1 = inv_boxcox(ses.forecast(horizon), lam)
holt = sm.tsa.statespace.ExponentialSmoothing(train_x,
trend=True,
seasonal=seasonality,
initialization_method=init,
damped_trend=False).fit()
fc2 = inv_boxcox(holt.forecast(horizon), lam)
damp = sm.tsa.statespace.ExponentialSmoothing(train_x,
trend=True,
seasonal=seasonality,
initialization_method=init,
damped_trend=True).fit()
fc3 = inv_boxcox(damp.forecast(horizon), lam)
fc = (fc1 + fc2 + fc3) / 3
return fc
def pellet_forecast(train, forecast_horizon):
train_x, lam = boxcox(train)
ses = sm.tsa.statespace.ExponentialSmoothing(
train_x,
trend=True,
seasonal=None,
initialization_method='estimated',
damped_trend=False).fit()
fc1 = inv_boxcox(ses.forecast(forecast_horizon), lam)
holt = sm.tsa.statespace.ExponentialSmoothing(
train_x,
trend=True,
seasonal=12,
initialization_method='estimated',
damped_trend=False).fit()
fc2 = inv_boxcox(holt.forecast(forecast_horizon), lam)
damp = sm.tsa.statespace.ExponentialSmoothing(
train_x,
trend=True,
seasonal=12,
initialization_method='estimated',
damped_trend=True).fit()
fc3 = inv_boxcox(damp.forecast(forecast_horizon), lam)
fc = (fc1 + fc2 + fc3) / 3
return fc
def build_model(train, test, bc_lambda):
# Now lets see how well we can predict the boxcox transform of property_crime
formula = "property_crime_bc ~ " + ' + '.join(model_vars)
lm1 = smf.ols(formula=formula, data=train).fit()
print(lm1.summary())
pred_train = inv_boxcox(lm1.fittedvalues, bc_lambda)
pred_test = inv_boxcox(lm1.predict(test), bc_lambda)
resids_train = train["property_crime"] - pred_train
resids_test = test["property_crime"] - pred_test
#print("RMSE: {:.4f}".format(resids_train.std()))
#print("------\nTrain\n------")
r2_test_bc = r2_score(test["property_crime_bc"], lm1.predict(test))
r2_test = r2_score(test["property_crime"], pred_test)
print("R-squared (Property Crime Box-Cox): {}".format(r2_test_bc))
print("R-squared (Property Crime): {}".format(r2_test))
#print("------\nTest\n------")
build_evaluate_model(train, test, bc_lambda, model_vars)
return lm1, pred_train, pred_test, resids_train, resids_test
def train_arima(dataframe, p, d, q, test, BOXCOX):
print(dataframe)
if (BOXCOX == "Yes"):
dataframe['closing_balance'], lam = boxcox(
dataframe['closing_balance'])
else:
lam = None
model = ARIMA(dataframe, order=(p, d, q))
results_ARIMA = model.fit(disp=-1)
ARIMA_predict = pd.DataFrame(results_ARIMA.predict(start=test.index[0],
end=test.index[-1]),
index=test.index)
print(results_ARIMA.fittedvalues)
if (BOXCOX == "Yes"):
results_ARIMA.fittedvalues = inv_boxcox(results_ARIMA.fittedvalues,
lam)
ARIMA_predict = inv_boxcox(ARIMA_predict, lam)
ARIMA_predict.columns = ['y']
response = {}
response['model'] = results_ARIMA
response['predictions'] = ARIMA_predict
response['lam'] = lam
return response
else:
ARIMA_predict.columns = ['y']
response = {}
response['model'] = results_ARIMA
response['predictions'] = ARIMA_predict
response['lam'] = lam
return response
def inverse_transform(self, X):
xtemp = X*self.xstd + self.xmean
if isinstance(self.lmbda, float):
xinv = inv_boxcox(xtemp, self.lmbda)
else:
xinv = numpy.zeros(shape=X.shape)
for j, lmb in enumerate(self.lmbda):
xinv[:, j] = inv_boxcox(xtemp[:, j], lmb)
return xinv #- self.shift
def inverse_transform(self, X):
xtemp = X * self.xstd + self.xmean
if isinstance(self.lmbda, float):
xinv = inv_boxcox(xtemp, self.lmbda)
else:
xinv = numpy.zeros(shape=X.shape)
for j, lmb in enumerate(self.lmbda):
xinv[:, j] = inv_boxcox(xtemp[:, j], lmb)
return xinv # - self.shift
def gbm_error_func(y_pred, y_true):
if target == 'log_y':
y_pred = np.exp(y_pred)
y_true = np.exp(y_true)
if target == 'boxcox_y':
y_pred = inv_boxcox(y_pred, lba_boxcox)
y_true = inv_boxcox(y_true, lba_boxcox)
eval_result = error_func(y_pred, y_true)
return 'error', eval_result, False
def renormalize(self):
if self.lambda_boxcox == float(-999):
self.predict_mean = self.predict[0]
self.predict_down = self.predict[1][:, 0]
self.predict_up = self.predict[1][:, 1]
else:
self.predict_mean = inv_boxcox(self.predict[0], self.lambda_boxcox)
self.predict_down = inv_boxcox(self.predict[1][:, 0],
self.lambda_boxcox)
self.predict_up = inv_boxcox(self.predict[1][:, 1],
self.lambda_boxcox)
# Join predict dates with values into a dataframe
df_final = pd.DataFrame(self.predict_mean, self.dates_prev)
df_final.columns = ['endo_value']
return (df_final)
def predict(self, dataset):
"""Predict from X"""
X = dataset[self.columns]
Xscaled = self.scaler.transform(X)
Xpca = self.pca.transform(Xscaled)
predsbc = self.estimator.predict(Xpca)
return inv_boxcox(predsbc, self.lmbda)
def transform_test(df, column):
initial_mean = df[column].mean()
initial_std = df[column].std()
# 1. Boxcox transform
boxcox_transformed, max_log = boxcox(df[column].values)
# 2. Standardize
mean_value = boxcox_transformed.mean()
std_value = boxcox_transformed.std()
standardized = (boxcox_transformed - mean_value) / std_value
# 3. Inverse standardize
inverse_standardized = (standardized * std_value) + mean_value
# 4. Inverse Boxcox transform
inversed_boxcox = inv_boxcox(inverse_standardized, max_log)
# inversed_boxcox = (inversed_boxcox + initial_mean) * initial_std
print('Test Results:')
print(f'max_log = {max_log}')
print(f' * Intial Array: mean = {df[column].values.mean()}, std = {df[column].values.std()}')
print(f' * Boxcox Transformed: mean = {boxcox_transformed.mean()}, std = {boxcox_transformed.std()}')
print(f' * Standardized: mean = {standardized.mean()}, std = {standardized.std()}')
print(f' * Inverse Standardized: mean = {inverse_standardized.mean()}, std = {inverse_standardized.std()}')
print(f' * Inverse Boxcox: mean = {inversed_boxcox.mean()}, std = {inversed_boxcox.std()}')
def train_theta_boxcox(ts, seasonality, n):
theta_bc = Theta(theta=0, season_mode=SeasonalityMode.NONE)
shiftdata = 0
if (ts.univariate_values() < 0).any():
shiftdata = -ts.min() + 100
ts = ts + shiftdata
new_values, lmbd = boxcox(ts.univariate_values())
if lmbd < 0:
lmbds, value = boxcox_normplot(ts.univariate_values(),
lmbd - 1,
0,
N=100)
if np.isclose(value[0], 0):
lmbd = lmbds[np.argmax(value)]
new_values = boxcox(ts.univariate_values(), lmbd)
if np.isclose(new_values, new_values[0]).all():
lmbd = 0
new_values = boxcox(ts.univariate_values(), lmbd)
ts = TimeSeries.from_times_and_values(ts.time_index(), new_values)
theta_bc.fit(ts)
forecast = theta_bc.predict(n)
new_values = inv_boxcox(forecast.univariate_values(), lmbd)
forecast = TimeSeries.from_times_and_values(seasonality.time_index(),
new_values)
if shiftdata > 0:
forecast = forecast - shiftdata
forecast = forecast * seasonality
if (forecast.univariate_values() < 0).any():
indices = seasonality.time_index()[forecast < 0]
forecast = forecast.update(indices,
np.zeros(len(indices)),
inplace=True)
return forecast
def model_predict(model, X):
y = model['model'].predict(X)
if 'transform' in model:
y_lambda = model['transform'][1]
y = inv_boxcox(y, y_lambda) - model['transform'][2]
return y
def briquette_forecast(series_with_dates, forecast_horizon):
#ETS
series_with_dates.index.freq = 'MS'
train = series_with_dates.values
train_x, lam = boxcox(series_with_dates)
comb_fc = combshd(train,
horizon=forecast_horizon,
seasonality=12,
init='concentrated')
# SARIMA
sarima = (SARIMAX(endog=train_x,
order=(1, 1, 1),
seasonal_order=(1, 0, 1, 12),
trend='c',
enforce_invertibility=False)).fit()
start = len(train_x)
end = len(train_x) + forecast_horizon - 1
sarima_fc = inv_boxcox(sarima.predict(start, end, dynamic=False), lam)
briquette_fc = pd.Series((comb_fc + sarima_fc) / 2)
return briquette_fc.values
def predict(self, metrics, **kwargs):
"""
This function generate and returns prediction of the duration of a
CSV recreate job. The user should only pass to this
function a snapshot of the metrics for the cluster on which he is
trying to execute the job and the input size information.
:param metrics:
:return int: Duration prediction in seconds
"""
# Feature selection
features = np.array([
float(metrics.AvailableMB), # YARN_AVAILABLE_MEMORY
float(metrics.AvailableVCores), # YARN_AVAILABLE_VIRTUAL_CORES
])
data = xgboost.DMatrix(features.reshape(1, -1),
feature_names=[
'YARN_AVAILABLE_MEMORY',
'YARN_AVAILABLE_VIRTUAL_CORES'
])
# Generate predictions
prediction = self._model.predict(data)
# Apply inverse Boxcox function on generate prediction
return inv_boxcox(prediction, self._config['boxcoxMaxLog'])
def predict(self, steps):
print("Forecasting...")
progress_bar = ProgressBar(len(self.models.items()))
self.fcst_ds = pd.date_range(
start=self.train_ds.min(),
freq="D",
periods=len(self.train_ds)+steps)[-365:]
for item, model in self.models.items():
pred = model.predict(
exogenous=fourier(
steps,
seasonality=self.seasonality,
n_terms=self.n_fourier_terms),
n_periods=steps,
return_conf_int=True,
alpha=(1.0 - self.confidence_interval))
self.fcst[item] = pd.DataFrame(
{"yhat":pred[0],
"yhat_lower":pred[1][:,0],
"yhat_upper":pred[1][:,1]},
index=self.fcst_ds)
if self.use_boxcox:
self.fcst[item] = inv_boxcox(
self.fcst[item],
self.lmbda_boxcox[item])
progress_bar.update()
progress_bar.finish()
return pd.concat(self.fcst, axis=1)
def inverse_transform(self, x):
"""
Scale back the data to the original representation.
Parameters
----------
x: DataFrame, Series, ndarray, list
The data used to scale along the features axis.
Returns
-------
DataFrame
Inverse transformed data.
"""
x = self._check_type(x)
xs = []
for col, shift, lmd in zip(x.T, self._shift, self._lmd):
for case in Switch(lmd):
if case(np.nan, np.inf):
_x = col
break
if case():
_x = inv_boxcox(col, lmd) - shift
xs.append(_x.reshape(-1, 1))
xs = np.concatenate(xs, axis=1)
if len(self._shape) == 1:
return xs.ravel()
return xs
def _inverse_boxcox(self, predicted, lambda_param):
""" Method apply inverse Box-Cox transformation """
if lambda_param == 0:
return np.exp(predicted)
else:
res = inv_boxcox(predicted, lambda_param)
res = self._filling_gaps(res)
return res
def inverse(self, ts_array):
if self.method is None:
return ts_array
if self.method == 'log':
return np.expm1(ts_array)
else:
return inv_boxcox(ts_array, self.param)
def pd_invboxcox(Data, lambdas) :
Inv_BC_cols = np.empty(Data.shape)
for i, col in enumerate(Data.columns):
inv_bc_col = inv_boxcox(Data[col], lambdas[i])
Inv_BC_cols[:,i] = inv_bc_col
Inv_BC_Data = pd.DataFrame(Inv_BC_cols, index=Data.index, columns=Data.columns)
return Inv_BC_Data
def inverse_transform(boxcoxT, transform, y):
if transform is not None:
if transform == 'BoxCox':
for column in range(len(y.columns.tolist()) - 1):
y.iloc[:, column + 1] = inv_boxcox(y.iloc[:, column + 1],
boxcoxT[column])
return y
def predict_epsilon(self, x, boxcox_lambda=0.2):
"""
predict epsilon
Args:
x -- SMILES(str)
boxcox_lambda -- int/float(preset to 0.2 for preloaded model)
"""
y = self.__predict(self.model_epsilon, x)
return inv_boxcox(y, boxcox_lambda)
def run(df, fold):
try:
drop_cols = [
'scheduled_year', 'scheduled_weekofyear', 'scheduled_month',
'scheduled_dayofweek', 'scheduled_weekend', 'delivery_year',
'delivery_weekofyear', 'delivery_month', 'delivery_dayofweek',
'delivery_weekend', "City", "Code"
]
df = df.drop(drop_cols, axis=1)
except:
None
# list of numerical columns
num_cols = ["Artist Reputation", "Height", "Width", "Price Of Sculpture", "Base Shipping Price"]
# note that folds are same as before
# get training data using folds
df_train = df[df.kfold != fold].reset_index(drop=True)
# get validation data using folds
df_valid = df[df.kfold == fold].reset_index(drop=True)
features = [
f for f in df.columns if f not in ("kfold", "Cost", "Customer Id")
]
# scale training data
x_train = df_train[features].values
# scale validation data
x_valid = df_valid[features].values
# initialize lgbm model
model = model_dispatcher.models['rf']
# fit model on training data
model.fit(x_train, boxcox(df_train.Cost, -0.398686))
# predict on validation data
valid_preds_log = model.predict(x_valid)
valid_preds = inv_boxcox(valid_preds_log, -0.398686)
# get score
score = calc_metric.calc_score(df_valid.Cost.values, valid_preds)
# print auc
print(f"Fold = {fold}, Score = {score}")
# joblib.dump(
# model,
# os.path.join(config.MODEL_OUTPUT, f"tg_enc/lgbm_{fold}.bin")
# )
return score
def forecast(self):
future = self.model.make_future_dataframe(periods=self.forecast_len,
freq=self.freq)
future_pred = self.model.predict(future)
future_pred = future_pred[-self.forecast_len:]
if self.boxcox_lambda:
future_pred["yhat"] = (
inv_boxcox(future_pred["yhat"], self.boxcox_lambda) - 1)
self.prediction = self.format_output(future_pred)
def invBoxCoxTransform(self, bcData):
r""" Transform data using inverse Box-Cox transformation. """
if self.boxCoxLambda is None:
raise RuntimeError('Box-Cox lambda has not been learned or set.')
rawVals = inv_boxcox(bcData, self.boxCoxLambda)
return pd.Series(rawVals, index=bcData.index)
def test_step(self, model, batch):
"""
Called inside the testing loop with the data from the testing dataloader \
passed in as `batch`.
:param model: The chosen model
:type model: Model
:param batch: Batch of input and ground truth variables
:type batch: int
:return: Loss and logs
:rtype: dict
"""
x, y_pre = batch
y_hat_pre = model(x)
mask = model.data.mask.expand_as(y_pre[0][0])
tensorboard_logs = defaultdict(dict)
for b in range(y_pre.shape[0]):
for c in range(y_pre.shape[1]):
y = y_pre[b][c][mask]
y_hat = y_hat_pre[b][c][mask]
if self.hparams.round_frp_to_zero:
y_hat = y_hat[y > self.hparams.round_frp_to_zero]
y = y[y > 0.5]
if y_hat.nelement() == 0:
return {}
if self.hparams.boxcox:
y_hat = torch.from_numpy(
inv_boxcox(y_hat.cpu().numpy(),
self.hparams.boxcox)).to(y_hat.device)
if self.hparams.clip_output:
y = y[(y_hat < self.hparams.clip_output[-1])
& (self.hparams.clip_output[0] < y_hat)]
y_hat = y_hat[(y_hat < self.hparams.clip_output[-1])
& (self.hparams.clip_output[0] < y_hat)]
pre_loss = (y_hat - y)**2
loss = pre_loss.mean()
assert loss == loss
# Accuracy for a threshold
acc = ((y - y_hat).abs() <
self.hparams.out_mad / 2).float().mean()
mae = (y - y_hat).abs().float().mean()
tensorboard_logs["test_loss"][str(c)] = loss
tensorboard_logs["acc_test"][str(c)] = acc
tensorboard_logs["mae_test"][str(c)] = mae
test_loss = torch.stack(list(
tensorboard_logs["test_loss"].values())).mean()
tensorboard_logs["_test_loss"] = test_loss
return {
"test_loss": test_loss,
"log": tensorboard_logs,
}
def inv_bc_scale(number, lbd, mib, mia, maa):
n = number * (maa - mia) + mia
n = inv_boxcox(n, lbd)
if mib <= 0:
n = n + mib - 1
return n
def inv_bc_scale_list(ls, lbd, mib, mia, maa):
ls = [l * (maa - mia) + mia for l in ls]
ls = inv_boxcox(ls, lbd)
if mib <= 0:
ls = [l + mib - 1 for l in ls]
return ls
def inv_transform(self, series):
data = series.copy()
u = self.parameter_dict["mean"]
std = self.parameter_dict["std"]
data = data * std + u
if self.flag:
lmbda = self.parameter_dict["lambda"]
return pd.Series(inv_boxcox(data, lmbda), name=self.name)
else:
return data
def inverse_transform(self, series):
"""
Inverse Transforms the passed series using the learned lambda and offset learnt earlier
:param series: Series to be reverse transformed
:return: inverse transformed series
"""
transformed_series = pd.Series(
special.inv_boxcox(series, self.__lambda) - self.__offset)
transformed_series.index = series.index
return transformed_series
def inverse_transform(self, X):
if self.transform_cols is None:
raise NotFittedError(
f"This {self.__class__.__name__} instance is not fitted yet. Call 'fit' with appropriate arguments before using this estimator."
)
new_X = X.copy()
for column in self.transform_cols:
new_X[column] = inv_boxcox(new_X[column], self.lmbda)
return new_X
def build_evaluate_model(train, test, bc_lambda, model_vars):
regr = linear_model.LinearRegression()
regr.fit(train[model_vars], train["property_crime_bc"])
y_pred = inv_boxcox(cross_val_predict(regr, test[model_vars], test["property_crime_bc"]), bc_lambda)
print("R-squared (after reverse property crime Box-Cox): {:.4f}".format(r2_score(test["property_crime"], y_pred)))
resids_train = evaluate_model(regr, train, bc_lambda, "Train", model_vars)
resids_test = evaluate_model(regr, test, bc_lambda, "Test", model_vars)
return regr, resids_train, resids_test
def boxcox(x,y,y_label):
box_cox, maxlog = stats.boxcox(y + abs(min(y)) + 1)
regr.fit(x,box_cox)
box_cox_predict = regr.predict(x)
y_predict = inv_boxcox(box_cox_predict,maxlog) - abs(min(y)) - 1
print "R squared: " + str(np.var(y_predict)/np.var(y))
# Plot outputs
fig = plt.figure()
plt.scatter(y, y_predict, color='blue')
plt.xlabel(y_label)
plt.ylabel('predicted')
plt.show()
def test_inv_boxcox():
x = np.array([0., 1., 2.])
lam = np.array([0., 1., 2.])
y = boxcox(x, lam)
x2 = inv_boxcox(y, lam)
assert_almost_equal(x, x2)
x = np.array([0., 1., 2.])
lam = np.array([0., 1., 2.])
y = boxcox1p(x, lam)
x2 = inv_boxcox1p(y, lam)
assert_almost_equal(x, x2)
def _predict(self, h=None, smoothing_level=None, smoothing_slope=None,
smoothing_seasonal=None, initial_level=None, initial_slope=None,
damping_slope=None, initial_seasons=None, use_boxcox=None, lamda=None, remove_bias=None):
"""
Helper prediction function
Parameters
----------
h : int, optional
The number of time steps to forecast ahead.
"""
# Variable renames to alpha,beta, etc as this helps with following the
# mathematical notation in general
alpha = smoothing_level
beta = smoothing_slope
gamma = smoothing_seasonal
phi = damping_slope
# Start in sample and out of sample predictions
data = self.endog
damped = self.damped
seasoning = self.seasoning
trending = self.trending
trend = self.trend
seasonal = self.seasonal
m = self.seasonal_periods
phi = phi if damped else 1.0
if use_boxcox == 'log':
lamda = 0.0
y = boxcox(data, 0.0)
elif isinstance(use_boxcox, float):
lamda = use_boxcox
y = boxcox(data, lamda)
elif use_boxcox:
y, lamda = boxcox(data)
else:
lamda = None
y = data.squeeze()
if np.ndim(y) != 1:
raise NotImplementedError('Only 1 dimensional data supported')
y_alpha = np.zeros((self.nobs,))
y_gamma = np.zeros((self.nobs,))
alphac = 1 - alpha
y_alpha[:] = alpha * y
if trending:
betac = 1 - beta
if seasoning:
gammac = 1 - gamma
y_gamma[:] = gamma * y
l = np.zeros((self.nobs + h + 1,))
b = np.zeros((self.nobs + h + 1,))
s = np.zeros((self.nobs + h + m + 1,))
l[0] = initial_level
b[0] = initial_slope
s[:m] = initial_seasons
phi_h = np.cumsum(np.repeat(phi, h + 1)**np.arange(1, h + 1 + 1)
) if damped else np.arange(1, h + 1 + 1)
trended = {'mul': np.multiply,
'add': np.add,
None: lambda l, b: l
}[trend]
detrend = {'mul': np.divide,
'add': np.subtract,
None: lambda l, b: 0
}[trend]
dampen = {'mul': np.power,
'add': np.multiply,
None: lambda b, phi: 0
}[trend]
if seasonal == 'mul':
for i in range(1, self.nobs + 1):
l[i] = y_alpha[i - 1] / s[i - 1] + \
(alphac * trended(l[i - 1], dampen(b[i - 1], phi)))
if trending:
b[i] = (beta * detrend(l[i], l[i - 1])) + \
(betac * dampen(b[i - 1], phi))
s[i + m - 1] = y_gamma[i - 1] / \
trended(l[i - 1], dampen(b[i - 1], phi)) + \
(gammac * s[i - 1])
slope = b[1:i + 1].copy()
season = s[m:i + m].copy()
l[i:] = l[i]
if trending:
b[:i] = dampen(b[:i], phi)
b[i:] = dampen(b[i], phi_h)
trend = trended(l, b)
s[i + m - 1:] = [s[(i - 1) + j % m] for j in range(h + 1 + 1)]
fitted = trend * s[:-m]
elif seasonal == 'add':
for i in range(1, self.nobs + 1):
l[i] = y_alpha[i - 1] - (alpha * s[i - 1]) + \
(alphac * trended(l[i - 1], dampen(b[i - 1], phi)))
if trending:
b[i] = (beta * detrend(l[i], l[i - 1])) + \
(betac * dampen(b[i - 1], phi))
s[i + m - 1] = y_gamma[i - 1] - \
(gamma * trended(l[i - 1],
dampen(b[i - 1], phi))) + (gammac * s[i - 1])
slope = b[1:i + 1].copy()
season = s[m:i + m].copy()
l[i:] = l[i]
if trending:
b[:i] = dampen(b[:i], phi)
b[i:] = dampen(b[i], phi_h)
trend = trended(l, b)
s[i + m - 1:] = [s[(i - 1) + j % m] for j in range(h + 1 + 1)]
fitted = trend + s[:-m]
else:
for i in range(1, self.nobs + 1):
l[i] = y_alpha[i - 1] + \
(alphac * trended(l[i - 1], dampen(b[i - 1], phi)))
if trending:
b[i] = (beta * detrend(l[i], l[i - 1])) + \
(betac * dampen(b[i - 1], phi))
slope = b[1:i + 1].copy()
season = s[m:i + m].copy()
l[i:] = l[i]
if trending:
b[:i] = dampen(b[:i], phi)
b[i:] = dampen(b[i], phi_h)
trend = trended(l, b)
fitted = trend
level = l[1:i + 1].copy()
if use_boxcox or use_boxcox == 'log' or isinstance(use_boxcox, float):
fitted = inv_boxcox(fitted, lamda)
level = inv_boxcox(level, lamda)
slope = detrend(trend[:i], level)
if seasonal == 'add':
season = (fitted - inv_boxcox(trend, lamda))[:i]
elif seasonal == 'mul':
season = (fitted / inv_boxcox(trend, lamda))[:i]
else:
pass
sse = sqeuclidean(fitted[:-h - 1], data)
# (s0 + gamma) + (b0 + beta) + (l0 + alpha) + phi
k = m * seasoning + 2 * trending + 2 + 1 * damped
aic = self.nobs * np.log(sse / self.nobs) + (k) * 2
aicc = aic + (2 * (k + 2) * (k + 3)) / (self.nobs - k - 3)
bic = self.nobs * np.log(sse / self.nobs) + (k) * np.log(self.nobs)
resid = data - fitted[:-h - 1]
if remove_bias:
fitted += resid.mean()
if not damped:
phi = np.NaN
self.params = {'smoothing_level': alpha,
'smoothing_slope': beta,
'smoothing_seasonal': gamma,
'damping_slope': phi,
'initial_level': l[0],
'initial_slope': b[0],
'initial_seasons': s[:m],
'use_boxcox': use_boxcox,
'lamda': lamda,
'remove_bias': remove_bias}
hwfit = HoltWintersResults(self, self.params, fittedfcast=fitted, fittedvalues=fitted[:-h - 1],
fcastvalues=fitted[-h - 1:], sse=sse, level=level,
slope=slope, season=season, aic=aic, bic=bic,
aicc=aicc, resid=resid, k=k)
return HoltWintersResultsWrapper(hwfit)
def _predict(self, h=None, smoothing_level=None, smoothing_slope=None,
smoothing_seasonal=None, initial_level=None, initial_slope=None,
damping_slope=None, initial_seasons=None, use_boxcox=None, lamda=None,
remove_bias=None, is_optimized=None):
"""
Helper prediction function
Parameters
----------
h : int, optional
The number of time steps to forecast ahead.
"""
# Variable renames to alpha, beta, etc as this helps with following the
# mathematical notation in general
alpha = smoothing_level
beta = smoothing_slope
gamma = smoothing_seasonal
phi = damping_slope
# Start in sample and out of sample predictions
data = self.endog
damped = self.damped
seasoning = self.seasoning
trending = self.trending
trend = self.trend
seasonal = self.seasonal
m = self.seasonal_periods
phi = phi if damped else 1.0
if use_boxcox == 'log':
lamda = 0.0
y = boxcox(data, 0.0)
elif isinstance(use_boxcox, float):
lamda = use_boxcox
y = boxcox(data, lamda)
elif use_boxcox:
y, lamda = boxcox(data)
else:
lamda = None
y = data.squeeze()
if np.ndim(y) != 1:
raise NotImplementedError('Only 1 dimensional data supported')
y_alpha = np.zeros((self.nobs,))
y_gamma = np.zeros((self.nobs,))
alphac = 1 - alpha
y_alpha[:] = alpha * y
if trending:
betac = 1 - beta
if seasoning:
gammac = 1 - gamma
y_gamma[:] = gamma * y
l = np.zeros((self.nobs + h + 1,))
b = np.zeros((self.nobs + h + 1,))
s = np.zeros((self.nobs + h + m + 1,))
l[0] = initial_level
b[0] = initial_slope
s[:m] = initial_seasons
phi_h = np.cumsum(np.repeat(phi, h + 1)**np.arange(1, h + 1 + 1)
) if damped else np.arange(1, h + 1 + 1)
trended = {'mul': np.multiply,
'add': np.add,
None: lambda l, b: l
}[trend]
detrend = {'mul': np.divide,
'add': np.subtract,
None: lambda l, b: 0
}[trend]
dampen = {'mul': np.power,
'add': np.multiply,
None: lambda b, phi: 0
}[trend]
nobs = self.nobs
if seasonal == 'mul':
for i in range(1, nobs + 1):
l[i] = y_alpha[i - 1] / s[i - 1] + \
(alphac * trended(l[i - 1], dampen(b[i - 1], phi)))
if trending:
b[i] = (beta * detrend(l[i], l[i - 1])) + \
(betac * dampen(b[i - 1], phi))
s[i + m - 1] = y_gamma[i - 1] / trended(l[i - 1], dampen(b[i - 1], phi)) + \
(gammac * s[i - 1])
slope = b[1:nobs + 1].copy()
season = s[m:nobs + m].copy()
l[nobs:] = l[nobs]
if trending:
b[:nobs] = dampen(b[:nobs], phi)
b[nobs:] = dampen(b[nobs], phi_h)
trend = trended(l, b)
s[nobs + m - 1:] = [s[(nobs - 1) + j % m] for j in range(h + 1 + 1)]
fitted = trend * s[:-m]
elif seasonal == 'add':
for i in range(1, nobs + 1):
l[i] = y_alpha[i - 1] - (alpha * s[i - 1]) + \
(alphac * trended(l[i - 1], dampen(b[i - 1], phi)))
if trending:
b[i] = (beta * detrend(l[i], l[i - 1])) + \
(betac * dampen(b[i - 1], phi))
s[i + m - 1] = y_gamma[i - 1] - \
(gamma * trended(l[i - 1], dampen(b[i - 1], phi))) + \
(gammac * s[i - 1])
slope = b[1:nobs + 1].copy()
season = s[m:nobs + m].copy()
l[nobs:] = l[nobs]
if trending:
b[:nobs] = dampen(b[:nobs], phi)
b[nobs:] = dampen(b[nobs], phi_h)
trend = trended(l, b)
s[nobs + m - 1:] = [s[(nobs - 1) + j % m] for j in range(h + 1 + 1)]
fitted = trend + s[:-m]
else:
for i in range(1, nobs + 1):
l[i] = y_alpha[i - 1] + \
(alphac * trended(l[i - 1], dampen(b[i - 1], phi)))
if trending:
b[i] = (beta * detrend(l[i], l[i - 1])) + \
(betac * dampen(b[i - 1], phi))
slope = b[1:nobs + 1].copy()
season = s[m:nobs + m].copy()
l[nobs:] = l[nobs]
if trending:
b[:nobs] = dampen(b[:nobs], phi)
b[nobs:] = dampen(b[nobs], phi_h)
trend = trended(l, b)
fitted = trend
level = l[1:nobs + 1].copy()
if use_boxcox or use_boxcox == 'log' or isinstance(use_boxcox, float):
fitted = inv_boxcox(fitted, lamda)
level = inv_boxcox(level, lamda)
slope = detrend(trend[:nobs], level)
if seasonal == 'add':
season = (fitted - inv_boxcox(trend, lamda))[:nobs]
else: # seasonal == 'mul':
season = (fitted / inv_boxcox(trend, lamda))[:nobs]
sse = sqeuclidean(fitted[:-h - 1], data)
# (s0 + gamma) + (b0 + beta) + (l0 + alpha) + phi
k = m * seasoning + 2 * trending + 2 + 1 * damped
aic = self.nobs * np.log(sse / self.nobs) + k * 2
if self.nobs - k - 3 > 0:
aicc_penalty = (2 * (k + 2) * (k + 3)) / (self.nobs - k - 3)
else:
aicc_penalty = np.inf
aicc = aic + aicc_penalty
bic = self.nobs * np.log(sse / self.nobs) + k * np.log(self.nobs)
resid = data - fitted[:-h - 1]
if remove_bias:
fitted += resid.mean()
if not damped:
phi = np.NaN
self.params = {'smoothing_level': alpha,
'smoothing_slope': beta,
'smoothing_seasonal': gamma,
'damping_slope': phi,
'initial_level': l[0],
'initial_slope': b[0],
'initial_seasons': s[:m],
'use_boxcox': use_boxcox,
'lamda': lamda,
'remove_bias': remove_bias}
# Format parameters into a DataFrame
codes = ['alpha', 'beta', 'gamma', 'l.0', 'b.0', 'phi']
codes += ['s.{0}'.format(i) for i in range(m)]
idx = ['smoothing_level', 'smoothing_slope', 'smoothing_seasonal',
'initial_level', 'initial_slope', 'damping_slope']
idx += ['initial_seasons.{0}'.format(i) for i in range(m)]
formatted = [alpha, beta, gamma, l[0], b[0], phi]
formatted += s[:m].tolist()
formatted = list(map(lambda v: np.nan if v is None else v, formatted))
formatted = np.array(formatted)
if is_optimized is None:
optimized = np.zeros(len(codes), dtype=np.bool)
else:
optimized = is_optimized.astype(np.bool)
included = [True, trending, seasoning, True, trending, damped]
included += [True] * m
formatted = pd.DataFrame([[c, f, o] for c, f, o in zip(codes, formatted, optimized)],
columns=['name', 'param', 'optimized'],
index=idx)
formatted = formatted.loc[included]
hwfit = HoltWintersResults(self, self.params, fittedfcast=fitted,
fittedvalues=fitted[:-h - 1], fcastvalues=fitted[-h - 1:],
sse=sse, level=level, slope=slope, season=season, aic=aic,
bic=bic, aicc=aicc, resid=resid, k=k,
params_formatted=formatted, optimized=optimized)
return HoltWintersResultsWrapper(hwfit)
