Source code for statsmodels.tsa.arima.model

ARIMA model class.

Author: Chad Fulton
License: BSD-3
from statsmodels.compat.pandas import Appender

import warnings

import numpy as np

from import _is_using_pandas
from statsmodels.tsa.statespace import sarimax
from statsmodels.tsa.statespace.kalman_filter import MEMORY_CONSERVE
from import diff
import statsmodels.base.wrapper as wrap

from statsmodels.tsa.arima.estimators.yule_walker import yule_walker
from statsmodels.tsa.arima.estimators.burg import burg
from statsmodels.tsa.arima.estimators.hannan_rissanen import hannan_rissanen
from statsmodels.tsa.arima.estimators.innovations import (
    innovations, innovations_mle)
from statsmodels.tsa.arima.estimators.gls import gls as estimate_gls

from statsmodels.tsa.arima.specification import SARIMAXSpecification

[docs]class ARIMA(sarimax.SARIMAX): """ Autoregressive Integrated Moving Average (ARIMA) model, and extensions This model is the basic interface for ARIMA-type models, including those with exogenous regressors and those with seasonal components. The most general form of the model is SARIMAX(p, d, q)x(P, D, Q, s). It also allows all specialized cases, including - autoregressive models: AR(p) - moving average models: MA(q) - mixed autoregressive moving average models: ARMA(p, q) - integration models: ARIMA(p, d, q) - seasonal models: SARIMA(P, D, Q, s) - regression with errors that follow one of the above ARIMA-type models Parameters ---------- endog : array_like, optional The observed time-series process :math:`y`. exog : array_like, optional Array of exogenous regressors. order : tuple, optional The (p,d,q) order of the model for the autoregressive, differences, and moving average components. d is always an integer, while p and q may either be integers or lists of integers. seasonal_order : tuple, optional The (P,D,Q,s) order of the seasonal component of the model for the AR parameters, differences, MA parameters, and periodicity. Default is (0, 0, 0, 0). D and s are always integers, while P and Q may either be integers or lists of positive integers. trend : str{'n','c','t','ct'} or iterable, optional Parameter controlling the deterministic trend. Can be specified as a string where 'c' indicates a constant term, 't' indicates a linear trend in time, and 'ct' includes both. Can also be specified as an iterable defining a polynomial, as in `numpy.poly1d`, where `[1,1,0,1]` would denote :math:`a + bt + ct^3`. Default is 'c' for models without integration, and no trend for models with integration. enforce_stationarity : bool, optional Whether or not to require the autoregressive parameters to correspond to a stationarity process. enforce_invertibility : bool, optional Whether or not to require the moving average parameters to correspond to an invertible process. concentrate_scale : bool, optional Whether or not to concentrate the scale (variance of the error term) out of the likelihood. This reduces the number of parameters by one. This is only applicable when considering estimation by numerical maximum likelihood. trend_offset : int, optional The offset at which to start time trend values. Default is 1, so that if `trend='t'` the trend is equal to 1, 2, ..., nobs. Typically is only set when the model created by extending a previous dataset. dates : array_like of datetime, optional If no index is given by `endog` or `exog`, an array-like object of datetime objects can be provided. freq : str, optional If no index is given by `endog` or `exog`, the frequency of the time-series may be specified here as a Pandas offset or offset string. missing : str Available options are 'none', 'drop', and 'raise'. If 'none', no nan checking is done. If 'drop', any observations with nans are dropped. If 'raise', an error is raised. Default is 'none'. Notes ----- This model incorporates both exogenous regressors and trend components through "regression with ARIMA errors". `enforce_stationarity` and `enforce_invertibility` are specified in the constructor because they affect loglikelihood computations, and so should not be changed on the fly. This is why they are not instead included as arguments to the `fit` method. TODO: should we use concentrate_scale=True by default? Examples -------- >>> mod = sm.tsa.arima.ARIMA(endog, order=(1, 0, 0)) >>> res = >>> print(res.summary()) """ def __init__(self, endog, exog=None, order=(0, 0, 0), seasonal_order=(0, 0, 0, 0), trend=None, enforce_stationarity=True, enforce_invertibility=True, concentrate_scale=False, trend_offset=1, dates=None, freq=None, missing='none', validate_specification=True): # Default for trend # 'c' if there is no integration and 'n' otherwise # TODO: if trend='c', then we could alternatively use `demean=True` in # the estimation methods rather than setting up `exog` and using GLS. # Not sure if it's worth the trouble though. integrated = order[1] > 0 or seasonal_order[1] > 0 if trend is None and not integrated: trend = 'c' elif trend is None: trend = 'n' # Construct the specification # (don't pass specific values of enforce stationarity/invertibility, # because we don't actually want to restrict the estimators based on # this criteria. Instead, we'll just make sure that the parameter # estimates from those methods satisfy the criteria.) self._spec_arima = SARIMAXSpecification( endog, exog=exog, order=order, seasonal_order=seasonal_order, trend=trend, enforce_stationarity=None, enforce_invertibility=None, concentrate_scale=concentrate_scale, trend_offset=trend_offset, dates=dates, freq=freq, missing=missing, validate_specification=validate_specification) exog = # Raise an error if we have a constant in an integrated model has_trend = len(self._spec_arima.trend_terms) > 0 if has_trend: lowest_trend = np.min(self._spec_arima.trend_terms) if lowest_trend < order[1] + seasonal_order[1]: raise ValueError( 'In models with integration (`d > 0`) or seasonal' ' integration (`D > 0`), trend terms of lower order than' ' `d + D` cannot be (as they would be eliminated due to' ' the differencing operation). For example, a constant' ' cannot be included in an ARIMA(1, 1, 1) model, but' ' including a linear trend, which would have the same' ' effect as fitting a constant to the differenced data,' ' is allowed.') # Keep the given `exog` by removing the prepended trend variables input_exog = None if exog is not None: if _is_using_pandas(exog, None): input_exog = exog.iloc[:, self._spec_arima.k_trend:] else: input_exog = exog[:, self._spec_arima.k_trend:] # Initialize the base SARIMAX class # Note: we don't pass in a trend value to the base class, since ARIMA # standardizes the trend to always be part of exog, while the base # SARIMAX class puts it in the transition equation. super(ARIMA, self).__init__( endog, exog, trend=None, order=order, seasonal_order=seasonal_order, enforce_stationarity=enforce_stationarity, enforce_invertibility=enforce_invertibility, concentrate_scale=concentrate_scale, dates=dates, freq=freq, missing=missing, validate_specification=validate_specification) self.trend = trend # Save the input exog and input exog names, so that we can refer to # them later (see especially `ARIMAResults.append`) self._input_exog = input_exog if exog is not None: self._input_exog_names = self.exog_names[self._spec_arima.k_trend:] else: self._input_exog_names = None # Override the public attributes for k_exog and k_trend to reflect the # distinction here (for the purpose of the superclass, these are both # combined as `k_exog`) self.k_exog = self._spec_arima.k_exog self.k_trend = self._spec_arima.k_trend # Remove some init kwargs that aren't used in this model unused = ['measurement_error', 'time_varying_regression', 'mle_regression', 'simple_differencing', 'hamilton_representation'] self._init_keys = [key for key in self._init_keys if key not in unused] @property def _res_classes(self): return {'fit': (ARIMAResults, ARIMAResultsWrapper)}
[docs] def fit(self, start_params=None, transformed=True, includes_fixed=False, method=None, method_kwargs=None, gls=None, gls_kwargs=None, cov_type=None, cov_kwds=None, return_params=False, low_memory=False): """ Fit (estimate) the parameters of the model. Parameters ---------- start_params : array_like, optional Initial guess of the solution for the loglikelihood maximization. If None, the default is given by Model.start_params. transformed : bool, optional Whether or not `start_params` is already transformed. Default is True. includes_fixed : bool, optional If parameters were previously fixed with the `fix_params` method, this argument describes whether or not `start_params` also includes the fixed parameters, in addition to the free parameters. Default is False. method : str, optional The method used for estimating the parameters of the model. Valid options include 'statespace', 'innovations_mle', 'hannan_rissanen', 'burg', 'innovations', and 'yule_walker'. Not all options are available for every specification (for example 'yule_walker' can only be used with AR(p) models). method_kwargs : dict, optional Arguments to pass to the fit function for the parameter estimator described by the `method` argument. gls : bool, optional Whether or not to use generalized least squares (GLS) to estimate regression effects. The default is False if `method='statespace'` and is True otherwise. gls_kwargs : dict, optional Arguments to pass to the GLS estimation fit method. Only applicable if GLS estimation is used (see `gls` argument for details). cov_type : str, optional The `cov_type` keyword governs the method for calculating the covariance matrix of parameter estimates. Can be one of: - 'opg' for the outer product of gradient estimator - 'oim' for the observed information matrix estimator, calculated using the method of Harvey (1989) - 'approx' for the observed information matrix estimator, calculated using a numerical approximation of the Hessian matrix. - 'robust' for an approximate (quasi-maximum likelihood) covariance matrix that may be valid even in the presence of some misspecifications. Intermediate calculations use the 'oim' method. - 'robust_approx' is the same as 'robust' except that the intermediate calculations use the 'approx' method. - 'none' for no covariance matrix calculation. Default is 'opg' unless memory conservation is used to avoid computing the loglikelihood values for each observation, in which case the default is 'oim'. cov_kwds : dict or None, optional A dictionary of arguments affecting covariance matrix computation. **opg, oim, approx, robust, robust_approx** - 'approx_complex_step' : bool, optional - If True, numerical approximations are computed using complex-step methods. If False, numerical approximations are computed using finite difference methods. Default is True. - 'approx_centered' : bool, optional - If True, numerical approximations computed using finite difference methods use a centered approximation. Default is False. return_params : bool, optional Whether or not to return only the array of maximizing parameters. Default is False. low_memory : bool, optional If set to True, techniques are applied to substantially reduce memory usage. If used, some features of the results object will not be available (including smoothed results and in-sample prediction), although out-of-sample forecasting is possible. Default is False. Returns ------- ARIMAResults Examples -------- >>> mod = sm.tsa.arima.ARIMA(endog, order=(1, 0, 0)) >>> res = >>> print(res.summary()) """ # Determine which method to use # 1. If method is specified, make sure it is valid if method is not None: self._spec_arima.validate_estimator(method) # 2. Otherwise, use state space # TODO: may want to consider using innovations (MLE) if possible here, # (since in some cases it may be faster than state space), but it is # less tested. else: method = 'statespace' # Can only use fixed parameters with the following methods methods_with_fixed_params = ['statespace', 'hannan_rissanen'] if self._has_fixed_params and method not in methods_with_fixed_params: raise ValueError( f"When parameters have been fixed, only the methods " f"{methods_with_fixed_params} can be used; got '{method}'." ) # Handle kwargs related to the fit method if method_kwargs is None: method_kwargs = {} required_kwargs = [] if method == 'statespace': required_kwargs = ['enforce_stationarity', 'enforce_invertibility', 'concentrate_scale'] elif method == 'innovations_mle': required_kwargs = ['enforce_invertibility'] for name in required_kwargs: if name in method_kwargs: raise ValueError('Cannot override model level value for "%s"' ' when method="%s".' % (name, method)) method_kwargs[name] = getattr(self, name) # Handle kwargs related to GLS estimation if gls_kwargs is None: gls_kwargs = {} # Handle starting parameters # TODO: maybe should have standard way of computing starting # parameters in this class? if start_params is not None: if method not in ['statespace', 'innovations_mle']: raise ValueError('Estimation method "%s" does not use starting' ' parameters, but `start_params` argument was' ' given.' % method) method_kwargs['start_params'] = start_params method_kwargs['transformed'] = transformed method_kwargs['includes_fixed'] = includes_fixed # Perform estimation, depending on whether we have exog or not p = None fit_details = None has_exog = self._spec_arima.exog is not None if has_exog or method == 'statespace': # Use GLS if it was explicitly requested (`gls = True`) or if it # was left at the default (`gls = None`) and the ARMA estimator is # anything but statespace. # Note: both GLS and statespace are able to handle models with # integration, so we don't need to difference endog or exog here. if has_exog and (gls or (gls is None and method != 'statespace')): if self._has_fixed_params: raise NotImplementedError( 'GLS estimation is not yet implemented for the case ' 'with fixed parameters.' ) p, fit_details = estimate_gls( self.endog, exog=self.exog, order=self.order, seasonal_order=self.seasonal_order, include_constant=False, arma_estimator=method, arma_estimator_kwargs=method_kwargs, **gls_kwargs) elif method != 'statespace': raise ValueError('If `exog` is given and GLS is disabled' ' (`gls=False`), then the only valid' " method is 'statespace'. Got '%s'." % method) else: method_kwargs.setdefault('disp', 0) res = super(ARIMA, self).fit( return_params=return_params, low_memory=low_memory, cov_type=cov_type, cov_kwds=cov_kwds, **method_kwargs) if not return_params: res.fit_details = res.mlefit else: # Handle differencing if we have an integrated model # (these methods do not support handling integration internally, # so we need to manually do the differencing) endog = self.endog order = self._spec_arima.order seasonal_order = self._spec_arima.seasonal_order if self._spec_arima.is_integrated: warnings.warn('Provided `endog` series has been differenced' ' to eliminate integration prior to parameter' ' estimation by method "%s".' % method) endog = diff( endog, k_diff=self._spec_arima.diff, k_seasonal_diff=self._spec_arima.seasonal_diff, seasonal_periods=self._spec_arima.seasonal_periods) if order[1] > 0: order = (order[0], 0, order[2]) if seasonal_order[1] > 0: seasonal_order = (seasonal_order[0], 0, seasonal_order[2], seasonal_order[3]) if self._has_fixed_params: method_kwargs['fixed_params'] = self._fixed_params.copy() # Now, estimate parameters if method == 'yule_walker': p, fit_details = yule_walker( endog, ar_order=order[0], demean=False, **method_kwargs) elif method == 'burg': p, fit_details = burg(endog, ar_order=order[0], demean=False, **method_kwargs) elif method == 'hannan_rissanen': p, fit_details = hannan_rissanen( endog, ar_order=order[0], ma_order=order[2], demean=False, **method_kwargs) elif method == 'innovations': p, fit_details = innovations( endog, ma_order=order[2], demean=False, **method_kwargs) # innovations computes estimates through the given order, so # we want to take the estimate associated with the given order p = p[-1] elif method == 'innovations_mle': p, fit_details = innovations_mle( endog, order=order, seasonal_order=seasonal_order, demean=False, **method_kwargs) # In all cases except method='statespace', we now need to extract the # parameters and, optionally, create a new results object if p is not None: # Need to check that fitted parameters satisfy given restrictions if (self.enforce_stationarity and self._spec_arima.max_reduced_ar_order > 0 and not p.is_stationary): raise ValueError('Non-stationary autoregressive parameters' ' found with `enforce_stationarity=True`.' ' Consider setting it to False or using a' ' different estimation method, such as' ' method="statespace".') if (self.enforce_invertibility and self._spec_arima.max_reduced_ma_order > 0 and not p.is_invertible): raise ValueError('Non-invertible moving average parameters' ' found with `enforce_invertibility=True`.' ' Consider setting it to False or using a' ' different estimation method, such as' ' method="statespace".') # Build the requested results if return_params: res = p.params else: # Handle memory conservation option if low_memory: conserve_memory = self.ssm.conserve_memory self.ssm.set_conserve_memory(MEMORY_CONSERVE) # Perform filtering / smoothing if (self.ssm.memory_no_predicted or self.ssm.memory_no_gain or self.ssm.memory_no_smoothing): func = self.filter else: func = self.smooth res = func(p.params, transformed=True, includes_fixed=True, cov_type=cov_type, cov_kwds=cov_kwds) # Save any details from the fit method res.fit_details = fit_details # Reset memory conservation if low_memory: self.ssm.set_conserve_memory(conserve_memory) return res
[docs]@Appender(sarimax.SARIMAXResults.__doc__) class ARIMAResults(sarimax.SARIMAXResults):
[docs] @Appender(sarimax.SARIMAXResults.append.__doc__) def append(self, endog, exog=None, refit=False, fit_kwargs=None, **kwargs): # MLEResults.append will concatenate the given `exog` here with # `data.orig_exog`. However, `data.orig_exog` already has had any # trend variables prepended to it, while the `exog` given here should # not. Instead, we need to temporarily replace `orig_exog` and # `exog_names` with the ones that correspond to those that were input # by the user. if exog is not None: orig_exog = exog_names = self.model.exog_names = self.model._input_exog self.model.exog_names = self.model._input_exog_names # Perform the appending procedure out = super().append(endog, exog=exog, refit=refit, fit_kwargs=fit_kwargs, **kwargs) # Now we reverse the temporary change made above if exog is not None: = orig_exog self.model.exog_names = exog_names return out
class ARIMAResultsWrapper(sarimax.SARIMAXResultsWrapper): _attrs = {} _wrap_attrs = wrap.union_dicts( sarimax.SARIMAXResultsWrapper._wrap_attrs, _attrs) _methods = {} _wrap_methods = wrap.union_dicts( sarimax.SARIMAXResultsWrapper._wrap_methods, _methods) wrap.populate_wrapper(ARIMAResultsWrapper, ARIMAResults) # noqa:E305