python aic bic_auto.arima（）等价于python

我编写这些实用函数是为了直接计算pdq值

get_PDQ_parallel需要三个输入数据，这些数据是以时间戳(datetime)为索引的序列。n_作业将提供并行处理器的数量。输出将是索引中aic和bic值为order=(P，D，Q)的数据帧

p和q的范围是[0,12]，而d是[0,1]import statsmodels

from statsmodels import api as sm

from sklearn.metrics import r2_score,mean_squared_error

from sklearn.utils import check_array

from functools import partial

from multiprocessing import Pool

def get_aic_bic(order,series):

aic=np.nan

bic=np.nan

#print(series.shape,order)

try:

arima_mod=statsmodels.tsa.arima_model.ARIMA(series,order=order,freq='H').fit(transparams=True,method='css')

aic=arima_mod.aic

bic=arima_mod.bic

print(order,aic,bic)

except:

pass

return aic,bic

def get_PDQ_parallel(data,n_jobs=7):

p_val=13

q_val=13

d_vals=2

pdq_vals=[ (p,d,q) for p in range(p_val) for d in range(d_vals) for q in range(q_val)]

get_aic_bic_partial=partial(get_aic_bic,series=data)

p = Pool(n_jobs)

res=p.map(get_aic_bic_partial, pdq_vals)

p.close()

return pd.DataFrame(res,index=pdq_vals,columns=['aic','bic'])