arima_regressor

Autoregressive Integrated Moving Average Model. The three parameters (p, d, q) are the AR order, the degree of differencing, and the MA order. More information here: https://www.statsmodels.org/devel/generated/statsmodels.tsa.arima_model.ARIMA.html.

Module Contents

Classes Summary

ARIMARegressor

Autoregressive Integrated Moving Average Model. The three parameters (p, d, q) are the AR order, the degree of differencing, and the MA order. More information here: https://www.statsmodels.org/devel/generated/statsmodels.tsa.arima_model.ARIMA.html.

Contents

class evalml.pipelines.components.estimators.regressors.arima_regressor.ARIMARegressor(date_index=None, trend=None, start_p=2, d=0, start_q=2, max_p=5, max_d=2, max_q=5, seasonal=True, n_jobs=- 1, random_seed=0, **kwargs)[source]

Autoregressive Integrated Moving Average Model. The three parameters (p, d, q) are the AR order, the degree of differencing, and the MA order. More information here: https://www.statsmodels.org/devel/generated/statsmodels.tsa.arima_model.ARIMA.html.

Currently ARIMARegressor isn’t supported via conda install. It’s recommended that it be installed via PyPI.

Parameters
  • date_index (str) – Specifies the name of the column in X that provides the datetime objects. Defaults to None.

  • trend (str) – Controls the deterministic trend. Options are [‘n’, ‘c’, ‘t’, ‘ct’] where ‘c’ is a constant term, ‘t’ indicates a linear trend, and ‘ct’ is both. Can also be an iterable when defining a polynomial, such as [1, 1, 0, 1].

  • start_p (int) – Minimum Autoregressive order. Defaults to 2.

  • d (int) – Minimum Differencing degree. Defaults to 0.

  • start_q (int) – Minimum Moving Average order. Defaults to 2.

  • max_p (int) – Maximum Autoregressive order. Defaults to 5.

  • max_d (int) – Maximum Differencing degree. Defaults to 2.

  • max_q (int) – Maximum Moving Average order. Defaults to 5.

  • seasonal (boolean) – Whether to fit a seasonal model to ARIMA. Defaults to True.

  • n_jobs (int or None) – Non-negative integer describing level of parallelism used for pipelines. Defaults to -1.

  • random_seed (int) – Seed for the random number generator. Defaults to 0.

Attributes

hyperparameter_ranges

{ “start_p”: Integer(1, 3), “d”: Integer(0, 2), “start_q”: Integer(1, 3), “max_p”: Integer(3, 10), “max_d”: Integer(2, 5), “max_q”: Integer(3, 10), “seasonal”: [True, False],}

model_family

ModelFamily.ARIMA

modifies_features

True

modifies_target

False

name

ARIMA Regressor

predict_uses_y

False

supported_problem_types

[ProblemTypes.TIME_SERIES_REGRESSION]

training_only

False

Methods

clone

Constructs a new component with the same parameters and random state.

default_parameters

Returns the default parameters for this component.

describe

Describe a component and its parameters.

feature_importance

Returns array of 0’s with a length of 1 as feature_importance is not defined for ARIMA regressor.

fit

Fits ARIMA regressor to data.

load

Loads component at file path.

needs_fitting

Returns boolean determining if component needs fitting before calling predict, predict_proba, transform, or feature_importances.

parameters

Returns the parameters which were used to initialize the component.

predict

Make predictions using fitted ARIMA regressor.

predict_proba

Make probability estimates for labels.

save

Saves component at file path.

clone(self)

Constructs a new component with the same parameters and random state.

Returns

A new instance of this component with identical parameters and random state.

default_parameters(cls)

Returns the default parameters for this component.

Our convention is that Component.default_parameters == Component().parameters.

Returns

Default parameters for this component.

Return type

dict

describe(self, print_name=False, return_dict=False)

Describe a component and its parameters.

Parameters
  • print_name (bool, optional) – whether to print name of component

  • return_dict (bool, optional) – whether to return description as dictionary in the format {“name”: name, “parameters”: parameters}

Returns

Returns dictionary if return_dict is True, else None.

Return type

None or dict

property feature_importance(self)

Returns array of 0’s with a length of 1 as feature_importance is not defined for ARIMA regressor.

fit(self, X, y=None)[source]

Fits ARIMA regressor to data.

Parameters
  • X (pd.DataFrame) – The input training data of shape [n_samples, n_features].

  • y (pd.Series) – The target training data of length [n_samples].

Returns

self

Raises

ValueError – If X was passed to fit but not passed in predict.

static load(file_path)

Loads component at file path.

Parameters

file_path (str) – Location to load file.

Returns

ComponentBase object

needs_fitting(self)

Returns boolean determining if component needs fitting before calling predict, predict_proba, transform, or feature_importances.

This can be overridden to False for components that do not need to be fit or whose fit methods do nothing.

Returns

True.

property parameters(self)

Returns the parameters which were used to initialize the component.

predict(self, X, y=None)[source]

Make predictions using fitted ARIMA regressor.

Parameters
  • X (pd.DataFrame) – Data of shape [n_samples, n_features].

  • y (pd.Series) – Target data.

Returns

Predicted values.

Return type

pd.Series

Raises

ValueError – If X was passed to fit but not passed in predict.

predict_proba(self, X)

Make probability estimates for labels.

Parameters

X (pd.DataFrame) – Features.

Returns

Probability estimates.

Return type

pd.Series

Raises

MethodPropertyNotFoundError – If estimator does not have a predict_proba method or a component_obj that implements predict_proba.

save(self, file_path, pickle_protocol=cloudpickle.DEFAULT_PROTOCOL)

Saves component at file path.

Parameters
  • file_path (str) – Location to save file.

  • pickle_protocol (int) – The pickle data stream format.