arima图保存
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@ -58,6 +58,7 @@ cover/
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*.mo
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*.pot
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*.pdf
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*.png
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# Django stuff:
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*.log
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local_settings.py
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@ -790,9 +790,31 @@ def datachuli(df_zhibiaoshuju, df_zhibiaoliebiao, datecol='date', end_time='', y
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# 按时间顺序排列
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df.sort_values(by='ds', inplace=True)
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df['ds'] = pd.to_datetime(df['ds'])
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# 获取 start_year 对应年份的第一天日期
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start_date = datetime.datetime(config.start_year, 1, 1).strftime('%Y-%m-%d')
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# 删除全为空值的列
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df = df.dropna(axis=1, how='all')
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for col in df.columns:
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if col == 'ds': # 跳过 'ds' 列
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continue
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# 找到第一个非空值的索引
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first_valid_index = df[col].first_valid_index()
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if first_valid_index is not None:
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# 判断对应的 'ds' 是否大于 start_date
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if df.loc[first_valid_index, 'ds'] > start_date:
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df.drop(columns=[col], inplace=True)
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# 获取start_year年到end_time的数据
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df = df[df['ds'].dt.year >= config.start_year]
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df = df[df['ds'] <= end_time]
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# # 删除第一行没有数据的列
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# df = df.loc[:, ~df.iloc[0].isna()]
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# last_update_times_df,y_last_update_time = create_feature_last_update_time(df)
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# config.logger.info(f'删除预警的特征前数据量：{df.shape}')
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# columns_to_drop = last_update_times_df[last_update_times_df['warning_date'] < y_last_update_time ]['feature'].values.tolist()
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@ -252,6 +252,7 @@ def predict_main():
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reportname = f'Brent原油大模型预测--{end_time}.pdf' # 报告文件名
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reportname = reportname.replace(':', '-') # 替换冒号
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brent_export_pdf(dataset=dataset,num_models = 5 if is_fivemodels else 22,time=end_time,
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inputsize = global_config['horizon'],
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reportname=reportname,sqlitedb=sqlitedb),
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logger.info('制作报告end')
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@ -415,8 +415,12 @@ def predict_main():
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title = f'{settings}--{end_time}-预测报告' # 报告标题
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reportname = f'Brent原油大模型日度预测--{end_time}.pdf' # 报告文件名
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reportname = reportname.replace(':', '-') # 替换冒号
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brent_export_pdf(dataset=dataset, num_models=5 if is_fivemodels else 22, time=end_time,
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reportname=reportname, sqlitedb=sqlitedb),
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brent_export_pdf(dataset=dataset,
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num_models=5 if is_fivemodels else 22, time=end_time,
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reportname=reportname,
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inputsize = global_config['horizon'],
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sqlitedb=sqlitedb
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),
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logger.info('制作报告end')
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logger.info('模型训练完成')
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@ -429,7 +429,10 @@ def predict_main():
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reportname = f'Brent原油大模型月度预测--{end_time}.pdf' # 报告文件名
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reportname = reportname.replace(':', '-') # 替换冒号
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brent_export_pdf(dataset=dataset, num_models=5 if is_fivemodels else 22, time=end_time,
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reportname=reportname, sqlitedb=sqlitedb),
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reportname=reportname,
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inputsize = global_config['horizon'],
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sqlitedb=sqlitedb
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),
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logger.info('制作报告end')
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logger.info('模型训练完成')
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@ -410,8 +410,13 @@ def predict_main():
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title = f'{settings}--{end_time}-预测报告' # 报告标题
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reportname = f'Brent原油大模型周度预测--{end_time}.pdf' # 报告文件名
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reportname = reportname.replace(':', '-') # 替换冒号
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brent_export_pdf(dataset=dataset, num_models=5 if is_fivemodels else 22, time=end_time,
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reportname=reportname, sqlitedb=sqlitedb),
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brent_export_pdf(dataset=dataset,
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num_models=5 if is_fivemodels else 22,
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time=end_time,
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reportname=reportname,
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inputsize = global_config['horizon'],
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sqlitedb=sqlitedb
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),
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logger.info('制作报告end')
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logger.info('模型训练完成')
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182
models/implementARIMA.py
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182
models/implementARIMA.py
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@ -0,0 +1,182 @@
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from __future__ import annotations
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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import statsmodels.api as sm
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from statsmodels.tsa.stattools import adfuller as ADF
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from statsmodels.stats.diagnostic import acorr_ljungbox
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from statsmodels.graphics.tsaplots import plot_acf, plot_pacf #ACF与PACF
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from statsmodels.tsa.arima.model import ARIMA #ARIMA模型
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from statsmodels.graphics.api import qqplot #qq图
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from scipy import stats
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import warnings
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warnings.filterwarnings("ignore")
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# 绘图设置（适用于mac）
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plt.rcParams['font.sans-serif'] = ['SimHei']
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# plt.rcParams['font.sans-serif'] = ['Arial Unicode MS'] # 用来正常显示中文标签
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plt.rcParams['axes.unicode_minus'] = False # 用来正常显示负号
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# 模型检测
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def Model_checking(model) -> None:
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# 残差检验:检验残差是否服从正态分布，画图查看，然后检验
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print('------------残差检验-----------')
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# model.resid：残差 = 实际观测值 – 模型预测值
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print(stats.normaltest(model.resid))
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# QQ图看正态性
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qqplot(model.resid, line="q", fit=True)
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plt.title("Q-Q图")
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plt.show()
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plt.savefig('QQ图.png')
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# 绘制直方图
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plt.hist(model.resid, bins=50)
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plt.show()
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plt.savefig('直方图.png')
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# 进行Jarque-Bera检验:判断数据是否符合总体正态分布
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jb_test = sm.stats.stattools.jarque_bera(model.resid)
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print("==================================================")
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print('------------Jarque-Bera检验-----------')
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print('Jarque-Bera test:')
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print('JB:', jb_test[0])
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print('p-value:', jb_test[1])
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print('Skew:', jb_test[2])
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print('Kurtosis:', jb_test[3])
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# 残差序列自相关：残差序列是否独立
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print("==================================================")
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print('------DW检验:残差序列自相关----')
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print(sm.stats.stattools.durbin_watson(model.resid.values))
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# 使用BIC矩阵计算p和q的值
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def cal_pqValue(D_data, diff_num=0) -> List[float]:
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# 定阶
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pmax = int(len(D_data) / 10) # 一般阶数不超过length/10
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qmax = int(len(D_data) / 10) # 一般阶数不超过length/10
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bic_matrix = [] # BIC矩阵
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# 差分阶数
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diff_num = 2
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for p in range(pmax + 1):
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tmp = []
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for q in range(qmax + 1):
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try:
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tmp.append(ARIMA(D_data, order=(p, diff_num, q)).fit().bic)
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except Exception as e:
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print(e)
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tmp.append(None)
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bic_matrix.append(tmp)
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bic_matrix = pd.DataFrame(bic_matrix) # 从中可以找出最小值
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p, q = bic_matrix.stack().idxmin() # 先用stack展平，然后用idxmin找出最小值位置。
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print(u'BIC最小的p值和q值为：%s、%s' % (p, q))
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return p, q
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# 计算时序序列模型
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def cal_time_series(data, forecast_num=3) -> None:
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# 绘制时序图
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data.plot()
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# 存储图片
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plt.show()
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plt.savefig('时序图.png')
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# 绘制自相关图
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plot_acf(data).show()
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plot_acf(data).savefig('自相关图.png')
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# 绘制偏自相关图
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plot_pacf(data).show()
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plot_pacf(data).savefig('偏自相关图.png')
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# 时序数据平稳性检测
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original_ADF = ADF(data[u'deal_data'])
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print(u'原始序列的ADF检验结果为：', original_ADF)
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# 对数序数据进行d阶差分运算，化为平稳时间序列
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diff_num = 0 # 差分阶数
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diff_data = data # 差分数序数据
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ADF_p_value = ADF(data[u'deal_data'])[1]
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while ADF_p_value > 0.01:
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diff_data = diff_data.diff(periods=1).dropna()
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diff_num = diff_num + 1
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ADF_result = ADF(diff_data[u'deal_data'])
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ADF_p_value = ADF_result[1]
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print("ADF_p_value:{ADF_p_value}".format(ADF_p_value=ADF_p_value))
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print(u'{diff_num}差分的ADF检验结果为：'.format(diff_num = diff_num), ADF_result )
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# 白噪声检测
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print(u'差分序列的白噪声检验结果为：', acorr_ljungbox(diff_data, lags=1)) # 返回统计量和p值
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# 使用AIC和BIC准则定阶q和p的值(推荐)
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AIC = sm.tsa.stattools.arma_order_select_ic(diff_data, max_ar=4, max_ma=4, ic='aic')['aic_min_order']
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BIC = sm.tsa.stattools.arma_order_select_ic(diff_data, max_ar=4, max_ma=4, ic='bic')['bic_min_order']
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print('---AIC与BIC准则定阶---')
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print('the AIC is{}\nthe BIC is{}\n'.format(AIC, BIC), end='')
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p = BIC[0]
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q = BIC[1]
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# 使用BIC矩阵来计算q和p的值
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# pq_result = cal_pqValue(diff_data, diff_num)
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# p = pq_result[0]
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# q = pq_result[1]
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# 构建时间序列模型
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model = ARIMA(data, order=(p, diff_num, q)).fit() # 建立ARIMA(p, diff+num, q)模型
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print('模型报告为：\n', model.summary())
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print("预测结果：\n", model.forecast(forecast_num))
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print("预测结果(详细版)：\n")
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forecast = model.get_forecast(steps=forecast_num)
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table = pd.DataFrame(forecast.summary_frame())
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print(table)
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# 绘制残差图
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diff_data.plot(color='orange', title='残差图')
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model.resid.plot(figsize=(10, 3))
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plt.title("残差图")
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plt.show()
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plt.savefig('残差图.png')
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# 模型检查
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Model_checking(model)
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if __name__ == '__main__':
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# 数据测试1:
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# need_data = {'2016-02': 44964.03, '2016-03': 56825.51, '2016-04': 49161.98, '2016-05': 45859.35,
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# '2016-06': 45098.56,
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# '2016-07': 45522.17, '2016-08': 57133.18, '2016-09': 49037.29, '2016-10': 43157.36,
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# '2016-11': 48333.17,
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# '2016-12': 22900.94,
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# '2017-01': 67057.29, '2017-02': 49985.29, '2017-03': 49771.47, '2017-04': 35757.0, '2017-05': 42914.27,
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# '2017-06': 44507.03, '2017-07': 40596.51, '2017-08': 52111.75, '2017-09': 49711.18,
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# '2017-10': 45766.09,
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# '2017-11': 45273.82, '2017-12': 22469.57,
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# '2018-01': 71032.23, '2018-02': 37874.38, '2018-03': 44312.24, '2018-04': 39742.02,
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# '2018-05': 43118.38,
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# '2018-06': 33859.69, '2018-07': 38910.89, '2018-08': 39138.42, '2018-09': 37175.03,
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# '2018-10': 44159.96,
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# '2018-11': 46321.72, '2018-12': 22410.88,
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# '2019-01': 61241.94, '2019-02': 31698.6, '2019-03': 44170.62, '2019-04': 47627.13, '2019-05': 54407.37,
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# '2019-06': 50231.68, '2019-07': 61010.29, '2019-08': 59782.19, '2019-09': 57245.15,
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# '2019-10': 61162.55,
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# '2019-11': 52398.25, '2019-12': 15482.64,
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# '2020-01': 38383.97, '2020-02': 26943.55, '2020-03': 57200.32, '2020-04': 49449.95,
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# '2020-05': 47009.84,
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# '2020-06': 49946.25, '2020-07': 56383.23, '2020-08': 60651.07}
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# data = {'time_data': list(need_data.keys()), 'deal_data': list(need_data.values())}
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# df = pd.DataFrame(data)
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# df.set_index(['time_data'], inplace=True) # 设置索引
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# cal_time_series(df, 7) # 模型调用
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# 数据测试2（从excel中读取）:
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path = r'D:\code\PriceForecast-svn\yuanyoudataset\指标数据.csv'
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y = 'Brent活跃合约'
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df = pd.read_csv(path)
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df.rename(columns={f'{y}': 'deal_data'}, inplace=True)
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df = df[['ds', f'{y}']]
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print(df.tail())
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df.set_index(['ds'], inplace=True) # 设置索引
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cal_time_series(df, 7) # 模型调用
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