def train_arima_model(data_train, date_init, date_fin, op_red, type_day, transform='decompose-Fourier'
, type_decompose='additive', n_decompose=1, n_coeff_fourier=4, filter_decompose=None):
num_cluster = data_train.name
data_train = np.array(data_train)[~np.isnan(np.array(data_train))]
type_model = 'arima'
if transform == 'decompose-Fourier' or transform == 'decompose-Fourier-log':
print('n_decompose: ', n_decompose, 'n_coeff_fourier: ', n_coeff_fourier)
forecast_seasonal, trend_residual, n_diffs, periods_decompose, m_f, k_f = get_transform_model(data_train, transform=transform
, type_decompose=type_decompose
, n_decompose=n_decompose
, n_coeff_fourier=n_coeff_fourier)
pipeline_trend_residual = Pipeline([
('fourier', ppc.FourierFeaturizer(m=m_f, k=k_f))
, ("model", pm.AutoARIMA(d=n_diffs, seasonal=False, trace=True, error_action='ignore'
, maxiter=30, max_p=4, max_q=4, suppress_warnings=True, with_intercept=True))])
print('\t\t\t training model...')
pipeline_trend_residual.fit(trend_residual)
print(pipeline_trend_residual.summary())
# aic_model = pipeline_trend_residual.steps[-1][1].model_.aic()
print('\t\t\t saving model...')
save_model_dir(pipeline_trend_residual, transform, num_cluster, op_red, type_day, type_model, date_init
, date_fin, periods_decompose, str(n_decompose), type_decompose)
print('\t\t\t finish save model...')
elif transform == 'Fourier':
n_diffs, m_f, k_f = get_transform_model(data_train, transform=transform, n_coeff_fourier=n_coeff_fourier)
pipeline = Pipeline([
('fourier', ppc.FourierFeaturizer(m=m_f, k=k_f))
, ("model", pm.AutoARIMA(d=n_diffs, seasonal=False, trace=True, error_action='ignore'
, maxiter=30, max_p=4, max_q=4, suppress_warnings=True, with_intercept=True))])
pipeline.fit(data_train)
save_model_dir(pipeline, transform, num_cluster, op_red, type_day, type_model, date_init, date_fin)
elif transform == 'decompose':
forecast_seasonal, trend_residual, n_diffs, ns_diffs, periods_decompose, m_f = get_transform_model(data_train
, transform=transform
, type_decompose=type_decompose
, n_decompose=n_decompose)
pipeline_trend_residual = Pipeline(
[("model", pm.AutoARIMA(d=n_diffs, D=ns_diffs, seasonal=True, m=m_f, trace=True, error_action='ignore'
, maxiter=30, max_p=4, max_q=4, suppress_warnings=True, with_intercept=True))])
pipeline_trend_residual.fit(trend_residual)
save_model_dir(pipeline_trend_residual, transform, num_cluster, op_red, type_day, type_model, date_init
, date_fin, periods_decompose, str(n_decompose), type_decompose)
elif transform == 'normal':
n_diffs, ns_diffs, m_f = get_transform_model(data_train, transform=transform)
pipeline = Pipeline(
[("model", pm.AutoARIMA(d=n_diffs, D=ns_diffs, seasonal=True, m=m_f, trace=True, error_action='ignore'
, maxiter=30, max_p=4, max_q=4, suppress_warnings=True, with_intercept=True))])
pipeline.fit(data_train)
save_model_dir(pipeline, transform, num_cluster, op_red, type_day, type_model, date_init, date_fin)
else:
raise ValueError('invalid variable transform {}.'.format(transform))
def test_AutoARIMA_class():
train, test = wineind[:125], wineind[125:]
mod = pm.AutoARIMA(maxiter=5)
mod.fit(train)
endog = mod.model_.arima_res_.data.endog
assert_array_almost_equal(train, endog)
# update
mod.update(test, maxiter=2)
new_endog = mod.model_.arima_res_.data.endog
assert_array_almost_equal(wineind, new_endog)
import pmdarima as pm
from pmdarima.model_selection import train_test_split
from pmdarima.pipeline import Pipeline
from pmdarima.preprocessing import BoxCoxEndogTransformer
import pickle
# Load/split your data
y = pm.datasets.load_sunspots()
train, test = train_test_split(y, train_size=2700)
# Define and fit your pipeline
pipeline = Pipeline([
('boxcox',
BoxCoxEndogTransformer(lmbda2=1e-6)), # lmbda2 avoids negative values
('arima',
pm.AutoARIMA(seasonal=True, m=12, suppress_warnings=True, trace=True))
])
pipeline.fit(train)
# Serialize your model just like you would in scikit:
with open('model.pkl', 'wb') as pkl:
pickle.dump(pipeline, pkl)
# Load it and make predictions seamlessly:
with open('model.pkl', 'rb') as pkl:
mod = pickle.load(pkl)
print(mod.predict(15))
# [25.20580375 25.05573898 24.4263037 23.56766793 22.67463049 21.82231043
# 21.04061069 20.33693017 19.70906027 19.1509862 18.6555793 18.21577243
# 17.8250318 17.47750614 17.16803394]
def forecast(self, forecast_horizon: int = 96):
super().forecast(forecast_horizon)
print(
"Running ARIMA forecast for Currency-pair: {} using forecast horizon: {}",
self.currency_pair.upper(), forecast_horizon)
print("Dataset: ", self.currency_pair.upper())
print(self.training_data.head(5))
print(".....\t.........\t...")
print(self.training_data.tail(5))
# define and fit the pipeline/model
pipeline = Pipeline([('boxcox', BoxCoxEndogTransformer(lmbda2=1e-6)),
('arima',
pm.AutoARIMA(start_p=1,
start_q=1,
max_p=3,
max_q=3,
d=1,
D=1,
start_P=0,
error_action='ignore',
suppress_warnings=True,
stepwise=True,
seasonal=True,
m=12,
trace=True))])
pipeline.fit(self.training_data['close'])
# model = pm.auto_arima(self.training_data["close"], seasonal=True, m=12)
# serialize model
model_file = f"intermediates/arima_{self.currency_pair}.pkl"
with open(model_file, "wb") as file:
pickle.dump(pipeline, file)
# load model and make predictions seamlessly
with open(model_file, "rb") as file:
model = pickle.load(file)
# make the forecasts
predictions = model.predict(n_periods=forecast_horizon,
return_conf_int=True)
print("ARIMA forecast ... complete")
collated_results = DataFrame.from_records([{
"forecast":
value,
"error":
abs(bounds[0] - bounds[1]) / 2,
"forecast_lower":
bounds[0],
"forecast_upper":
bounds[1]
} for value, bounds in zip(predictions[0], predictions[1])])
self.forecasts = collated_results["forecast"]
self.errors = collated_results["error"]
self.forecasts_lower = collated_results["forecast_lower"]
self.forecasts_upper = collated_results["forecast_upper"]
self.forecasts_raw = collated_results
collated_results.to_csv(
f"output/{self.currency_pair}__{self.model_name.lower()}__{forecast_horizon}__forecasts.csv"
)
print(collated_results)
prefix = valfiles_oi[ind].split(
'_')[0] + '-validation-{}d-'.format(pred)
#滑动窗口
for i in range(past + pred - 1, len(price)):
print(
'===========当前训练的是{}数据集，目标节点是{}=================='.format(
valfiles_oi[ind].split('_')[0],
val_3m.index[(i - (past + pred) + 1)]))
sample = price[(i - (past + pred) + 1):(i + 1)]
train, test = train_test_split(sample, train_size=past)
pipeline = Pipeline([
# ('boxcox', BoxCoxEndogTransformer(lmbda2=1e-6)), # lmbda2 avoids negative values
('arima',
pm.AutoARIMA(seasonal=True,
m=1,
suppress_warnings=True,
trace=True,
error_action="ignore"))
])
pipeline.fit(train)
pred_result = pipeline.predict(pred)
print('pred_result is : ', pred_result)
print(
'====================一次训练结束=============================\n\n\n'
)
val_index = prefix + val_3m.index[(i - (past + pred) + 1)]
if use_diff:
val_label = 1 if pred_result[-1] > 0 else 0
else: