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时间序列分析-间隔不均匀的度量-熊猫+统计模型

时间序列分析-间隔不均匀的度量-熊猫+统计模型

seasonal_decompose()要求freq是作为DateTimeIndex元信息的一部分提供的,可以pandas.Index.inferred_freq用户推断,也可以由用户推断为,integer它给出每个周期的周期数。例如,每月12次(从docstringseasonal_mean):

def seasonal_decompose(x, model="additive", filt=None, freq=None):
    """
    Parameters
    ----------
    x : array-like
        Time series
    model : str {"additive", "multiplicative"}
        Type of seasonal component. Abbreviations are accepted.
    filt : array-like
        The filter coefficients for filtering out the seasonal

component. The default is a symmetric moving average. freq : int, optional Frequency of the series. Must be used if x is not a pandas object with a timeseries index.

为了说明-使用随机样本数据:

    length = 400
    x = np.sin(np.arange(length)) * 10 + np.random.randn(length)
    df = pd.DataFrame(data=x, index=pd.date_range(start=datetime(2015, 1, 1), periods=length, freq='w'), columns=['value'])

    <class 'pandas.core.frame.DataFrame'>
    DatetimeIndex: 400 entries, 2015-01-04 to 2022-08-28
    Freq: W-SUN

    decomp = sm.tsa.seasonal_decompose(df)
    data = pd.concat([df, decomp.trend, decomp.seasonal, decomp.resid], axis=1)
    data.columns = ['series', 'trend', 'seasonal', 'resid']

    Data columns (total 4 columns):
    series      400 non-null float64
    trend       348 non-null float64
    seasonal    400 non-null float64
    resid       348 non-null float64
    dtypes: float64(4)
    memory usage: 15.6 KB

到目前为止,一切都很好-现在从中随机删除元素DateTimeIndex以创建空间不均匀的数据:

    df = df.iloc[np.unique(np.random.randint(low=0, high=length, size=length * .8))]

    <class 'pandas.core.frame.DataFrame'>
    DatetimeIndex: 222 entries, 2015-01-11 to 2022-08-21
    Data columns (total 1 columns):
    value    222 non-null float64
    dtypes: float64(1)
    memory usage: 3.5 KB

    df.index.freq

    None

    df.index.inferred_freq

    None

seasonal_decomp在此数据上运行“有效”:

``` decomp = sm.tsa.seasonal_decompose(df, freq=52)

data = pd.concat([df, decomp.trend, decomp.seasonal, decomp.resid], axis=1)
data.columns = ['series', 'trend', 'seasonal', 'resid']

DatetimeIndex: 224 entries, 2015-01-04 to 2022-08-07
Data columns (total 4 columns):
series      224 non-null float64
trend       172 non-null float64
seasonal    224 non-null float64
resid       172 non-null float64
dtypes: float64(4)
memory usage: 8.8 KB

```

问题是- 结果有多有用。即使数据之间没有缺口,也无法使季节模式的推断复杂化(请参阅发行说明.interpolate()中的示例使用,也可以使此过程符合以下条件:statsmodels

Notes
-----
This is a naive decomposition. More sophisticated methods should
be preferred.

The additive model is Y[t] = T[t] + S[t] + e[t]

The multiplicative model is Y[t] = T[t] * S[t] * e[t]

The seasonal component is first removed by applying a convolution
filter to the data. The average of this smoothed series for each
period is the returned seasonal component.
其他 2022/1/1 18:35:24 有478人围观

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