This notebook replicates the existing ARMA notebook using the statsmodels.tsa.statespace.SARIMAX
class rather than the statsmodels.tsa.ARMA
class.
%matplotlib inline
from __future__ import print_function import numpy as np from scipy import stats import pandas as pd import matplotlib.pyplot as plt import statsmodels.api as sm
from statsmodels.graphics.api import qqplot
print(sm.datasets.sunspots.NOTE)
dta = sm.datasets.sunspots.load_pandas().data
dta.index = pd.Index(sm.tsa.datetools.dates_from_range('1700', '2008')) del dta["YEAR"]
dta.plot(figsize=(12,4));
fig = plt.figure(figsize=(12,8)) ax1 = fig.add_subplot(211) fig = sm.graphics.tsa.plot_acf(dta.values.squeeze(), lags=40, ax=ax1) ax2 = fig.add_subplot(212) fig = sm.graphics.tsa.plot_pacf(dta, lags=40, ax=ax2)
arma_mod20 = sm.tsa.statespace.SARIMAX(dta, order=(2,0,0), trend='c').fit(disp=False) print(arma_mod20.params)
arma_mod30 = sm.tsa.statespace.SARIMAX(dta, order=(3,0,0), trend='c').fit(disp=False)
print(arma_mod20.aic, arma_mod20.bic, arma_mod20.hqic)
print(arma_mod30.params)
print(arma_mod30.aic, arma_mod30.bic, arma_mod30.hqic)
sm.stats.durbin_watson(arma_mod30.resid)
fig = plt.figure(figsize=(12,4)) ax = fig.add_subplot(111) ax = plt.plot(arma_mod30.resid)
resid = arma_mod30.resid
stats.normaltest(resid)
fig = plt.figure(figsize=(12,4)) ax = fig.add_subplot(111) fig = qqplot(resid, line='q', ax=ax, fit=True)
fig = plt.figure(figsize=(12,8)) ax1 = fig.add_subplot(211) fig = sm.graphics.tsa.plot_acf(resid, lags=40, ax=ax1) ax2 = fig.add_subplot(212) fig = sm.graphics.tsa.plot_pacf(resid, lags=40, ax=ax2)
r,q,p = sm.tsa.acf(resid, qstat=True) data = np.c_[range(1,41), r[1:], q, p] table = pd.DataFrame(data, columns=['lag', "AC", "Q", "Prob(>Q)"]) print(table.set_index('lag'))
predict_sunspots = arma_mod30.predict(start='1990', end='2012', dynamic=True)
fig, ax = plt.subplots(figsize=(12, 8)) dta.loc['1950':].plot(ax=ax) predict_sunspots.plot(ax=ax, style='r');
def mean_forecast_err(y, yhat): return y.sub(yhat).mean()
mean_forecast_err(dta.SUNACTIVITY, predict_sunspots)
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/examples/notebooks/generated/statespace_arma_0.html