时间序列-BP神经网络及与auo arima的比较

auto arima代码部分

• rolling_size = 2000,test_size = 1000
  
  这已经算是经过尝试后的局部最优，rmse=0.3884

BP神经网络

BP神经网络理论及代码部分

数据格式

代码部分

#!usr/bin/env python
# -*- coding:utf-8 _*-
"""
@author: liujie
@software: PyCharm
@file: BP1.py
@time: 2020/11/8 21:57
"""
import warnings
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import tensorflow as tf
from tensorflow import keras
from sklearn.preprocessing import StandardScaler
from tensorflow.keras import layers,optimizers
from sklearn.metrics import mean_squared_error as MSE

# 读取数据
def read_data(datapath):
    # read data
    data1 = pd.read_csv(datapath,index_col=0)
    # 填充或者删去
    data1.fillna(method='pad',inplace=True)      # 填充
    # data.dropna(inplace = True)                 # 删去
    return data1

# 分割数据
def splitdata(data,Sequence_length,horizon):
    all_data = []
    for dta in range(len(data) - sequence_length -horizon + 1):
        all_data.append(data[dta : dta + sequence_length])

    all_data = np.array(all_data)
    ydata = data[(horizon + sequence_length -1) :]
    ydata = list(ydata)

    # 加入y变量
    all_data