Source code for statsmodels.graphics.tsaplots

"""Correlation plot functions."""


import numpy as np

from statsmodels.graphics import utils
from statsmodels.tsa.stattools import acf, pacf

[docs]def plot_acf(x, ax=None, lags=None, alpha=.05, use_vlines=True, unbiased=False, fft=False, **kwargs): """Plot the autocorrelation function Plots lags on the horizontal and the correlations on vertical axis. Parameters ---------- x : array_like Array of time-series values ax : Matplotlib AxesSubplot instance, optional If given, this subplot is used to plot in instead of a new figure being created. lags : array_like, optional Array of lag values, used on horizontal axis. If not given, ``lags=np.arange(len(corr))`` is used. alpha : scalar, optional If a number is given, the confidence intervals for the given level are returned. For instance if alpha=.05, 95 % confidence intervals are returned where the standard deviation is computed according to Bartlett's formula. If None, no confidence intervals are plotted. use_vlines : bool, optional If True, vertical lines and markers are plotted. If False, only markers are plotted. The default marker is 'o'; it can be overridden with a ``marker`` kwarg. unbiased : bool If True, then denominators for autocovariance are n-k, otherwise n fft : bool, optional If True, computes the ACF via FFT. **kwargs : kwargs, optional Optional keyword arguments that are directly passed on to the Matplotlib ``plot`` and ``axhline`` functions. Returns ------- fig : Matplotlib figure instance If `ax` is None, the created figure. Otherwise the figure to which `ax` is connected. See Also -------- matplotlib.pyplot.xcorr matplotlib.pyplot.acorr mpl_examples/pylab_examples/xcorr_demo.py Notes ----- Adapted from matplotlib's `xcorr`. Data are plotted as ``plot(lags, corr, **kwargs)`` """ fig, ax = utils.create_mpl_ax(ax) if lags is None: lags = np.arange(len(x)) nlags = len(lags) - 1 else: nlags = lags lags = np.arange(lags + 1) # +1 for zero lag acf_x, confint = acf(x, nlags=nlags, alpha=alpha, fft=fft, unbiased=unbiased) if use_vlines: ax.vlines(lags, [0], acf_x, **kwargs) ax.axhline(**kwargs) # center the confidence interval TODO: do in acf? confint = confint - confint.mean(1)[:,None] kwargs.setdefault('marker', 'o') kwargs.setdefault('markersize', 5) kwargs.setdefault('linestyle', 'None') ax.margins(.05) ax.plot(lags, acf_x, **kwargs) ax.fill_between(lags, confint[:,0], confint[:,1], alpha=.25) ax.set_title("Autocorrelation") return fig
[docs]def plot_pacf(x, ax=None, lags=None, alpha=.05, method='ywm', use_vlines=True, **kwargs): """Plot the partial autocorrelation function Plots lags on the horizontal and the correlations on vertical axis. Parameters ---------- x : array_like Array of time-series values ax : Matplotlib AxesSubplot instance, optional If given, this subplot is used to plot in instead of a new figure being created. lags : array_like, optional Array of lag values, used on horizontal axis. If not given, ``lags=np.arange(len(corr))`` is used. alpha : scalar, optional If a number is given, the confidence intervals for the given level are returned. For instance if alpha=.05, 95 % confidence intervals are returned where the standard deviation is computed according to 1/sqrt(len(x)) method : 'ywunbiased' (default) or 'ywmle' or 'ols' specifies which method for the calculations to use: - yw or ywunbiased : yule walker with bias correction in denominator for acovf - ywm or ywmle : yule walker without bias correction - ols - regression of time series on lags of it and on constant - ld or ldunbiased : Levinson-Durbin recursion with bias correction - ldb or ldbiased : Levinson-Durbin recursion without bias correction use_vlines : bool, optional If True, vertical lines and markers are plotted. If False, only markers are plotted. The default marker is 'o'; it can be overridden with a ``marker`` kwarg. **kwargs : kwargs, optional Optional keyword arguments that are directly passed on to the Matplotlib ``plot`` and ``axhline`` functions. Returns ------- fig : Matplotlib figure instance If `ax` is None, the created figure. Otherwise the figure to which `ax` is connected. See Also -------- matplotlib.pyplot.xcorr matplotlib.pyplot.acorr mpl_examples/pylab_examples/xcorr_demo.py Notes ----- Adapted from matplotlib's `xcorr`. Data are plotted as ``plot(lags, corr, **kwargs)`` """ fig, ax = utils.create_mpl_ax(ax) if lags is None: lags = np.arange(len(x)) nlags = len(lags) - 1 else: nlags = lags lags = np.arange(lags + 1) # +1 for zero lag acf_x, confint = pacf(x, nlags=nlags, alpha=alpha, method=method) if use_vlines: ax.vlines(lags, [0], acf_x, **kwargs) ax.axhline(**kwargs) # center the confidence interval TODO: do in acf? confint = confint - confint.mean(1)[:,None] kwargs.setdefault('marker', 'o') kwargs.setdefault('markersize', 5) kwargs.setdefault('linestyle', 'None') ax.margins(.05) ax.plot(lags, acf_x, **kwargs) ax.fill_between(lags, confint[:,0], confint[:,1], alpha=.25) ax.set_title("Partial Autocorrelation") return fig
def seasonal_plot(grouped_x, xticklabels, ylabel=None, ax=None): """ Consider using one of month_plot or quarter_plot unless you need irregular plotting. Parameters ---------- grouped_x : iterable of DataFrames Should be a GroupBy object (or similar pair of group_names and groups as DataFrames) with a DatetimeIndex or PeriodIndex """ fig, ax = utils.create_mpl_ax(ax) start = 0 ticks = [] for season, df in grouped_x: df = df.copy() # or sort balks for series. may be better way df.sort() nobs = len(df) x_plot = np.arange(start, start + nobs) ticks.append(x_plot.mean()) ax.plot(x_plot, df.values, 'k') ax.hlines(df.values.mean(), x_plot[0], x_plot[-1], colors='k') start += nobs ax.set_xticks(ticks) ax.set_xticklabels(xticklabels) ax.set_ylabel(ylabel) ax.margins(.1, .05) return fig
[docs]def month_plot(x, dates=None, ylabel=None, ax=None): """ Seasonal plot of monthly data Parameters ---------- x : array-like Seasonal data to plot. If dates is None, x must be a pandas object with a PeriodIndex or DatetimeIndex with a monthly frequency. dates : array-like, optional If `x` is not a pandas object, then dates must be supplied. ylabel : str, optional The label for the y-axis. Will attempt to use the `name` attribute of the Series. ax : matplotlib.axes, optional Existing axes instance. Returns ------- matplotlib.Figure Examples -------- >>> import statsmodels.api as sm >>> import pandas as pd >>> dta = sm.datasets.elnino.load_pandas().data >>> dta['YEAR'] = dta.YEAR.astype(int).astype(str) >>> dta = dta.set_index('YEAR').T.unstack() >>> dates = map(lambda x : pd.datetools.parse('1 '+' '.join(x)), ... dta.index.values) >>> dta.index = pd.DatetimeIndex(dates, freq='M') >>> fig = sm.graphics.tsa.month_plot(dta) .. plot:: plots/graphics_month_plot.py """ from pandas import DataFrame if dates is None: from statsmodels.tools.data import _check_period_index _check_period_index(x, freq="M") else: from pandas import Series, PeriodIndex x = Series(x, index=PeriodIndex(dates, freq="M")) xticklabels = ['j','f','m','a','m','j','j','a','s','o','n','d'] return seasonal_plot(x.groupby(lambda y : y.month), xticklabels, ylabel=ylabel, ax=ax)
[docs]def quarter_plot(x, dates=None, ylabel=None, ax=None): """ Seasonal plot of quarterly data Parameters ---------- x : array-like Seasonal data to plot. If dates is None, x must be a pandas object with a PeriodIndex or DatetimeIndex with a monthly frequency. dates : array-like, optional If `x` is not a pandas object, then dates must be supplied. ylabel : str, optional The label for the y-axis. Will attempt to use the `name` attribute of the Series. ax : matplotlib.axes, optional Existing axes instance. Returns ------- matplotlib.Figure """ from pandas import DataFrame if dates is None: from statsmodels.tools.data import _check_period_index _check_period_index(x, freq="Q") else: from pandas import Series, PeriodIndex x = Series(x, index=PeriodIndex(dates, freq="Q")) xticklabels = ['q1', 'q2', 'q3', 'q4'] return seasonal_plot(x.groupby(lambda y : y.quarter), xticklabels, ylabel=ylabel, ax=ax)
if __name__ == "__main__": import pandas as pd #R code to run to load that dataset in this directory #data(co2) #library(zoo) #write.csv(as.data.frame(list(date=as.Date(co2), co2=coredata(co2))), "co2.csv", row.names=FALSE) co2 = pd.read_csv("co2.csv", index_col=0, parse_dates=True) month_plot(co2.co2) #will work when dates are sorted #co2 = sm.datasets.get_rdataset("co2", cache=True) x = pd.Series(np.arange(20), index=pd.PeriodIndex(start='1/1/1990', periods=20, freq='Q')) quarter_plot(x)