时间序列流程

• 一、变平稳

1.1 去趋势

     差分、取对数

1.2去周期性

     滤波、差分

1.3变平稳的原因除了1.1、1.2之外还有

    稳定方差、使数据呈现正态分布、使周期效应累加

ARIMA模型的示例代码

from pandas import read_csv
from pandas import datetime
from matplotlib import pyplot
from statsmodels.tsa.arima_model import ARIMA
from sklearn.metrics import mean_squared_error

def parser(p):
	return datetime.strptime('190'+p,'%Y-%m)

series = read_csv('input.csv',header = 0,parse_dates = [0],index_col = 0,squeeze = True,date_parser = parser)
P = series.values
size = int(len(P)*0.66)
train,test = P[0:size],P[size:len(P)]
history = [p for p in train]
predictions = list()
for t in range(len(test)):
	model = ARIMA(history,order=(5,1,0))
	model_fit = model.fit(disp=0)
	output = model_fit.forecast()
	yhat = output[0]
	predictions.append(yhat)
	obs = test[t]
	history.append(obs) # 滑动窗口
	print