Source code for evalml.pipelines.components.estimators.regressors.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."""
import numpy as np
import pandas as pd
from skopt.space import Integer

from evalml.model_family import ModelFamily
from evalml.pipelines.components.estimators import Estimator
from evalml.problem_types import ProblemTypes
from evalml.utils import import_or_raise, infer_feature_types


[docs]class ARIMARegressor(Estimator): """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. Args: time_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. sp (int or str): Period for seasonal differencing, specifically the number of periods in each season. If "detect", this model will automatically detect this parameter (given the time series is a standard frequency) and will fall back to 1 (no seasonality) if it cannot be detected. Defaults to 1. 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. """ name = "ARIMA Regressor" 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], } """{ "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 """ModelFamily.ARIMA""" supported_problem_types = [ProblemTypes.TIME_SERIES_REGRESSION] """[ProblemTypes.TIME_SERIES_REGRESSION]""" def __init__( self, time_index=None, trend=None, start_p=2, d=0, start_q=2, max_p=5, max_d=2, max_q=5, seasonal=True, sp=1, n_jobs=-1, random_seed=0, maxiter=10, use_covariates=True, **kwargs, ): parameters = { "trend": trend, "start_p": start_p, "d": d, "start_q": start_q, "max_p": max_p, "max_d": max_d, "max_q": max_q, "seasonal": seasonal, "maxiter": maxiter, "n_jobs": n_jobs, } parameters.update(kwargs) arima_model_msg = ( "sktime is not installed. Please install using `pip install sktime.`" ) sktime_arima = import_or_raise( "sktime.forecasting.arima", error_msg=arima_model_msg, ) arima_model = sktime_arima.AutoARIMA(**parameters) parameters["use_covariates"] = use_covariates parameters["time_index"] = time_index self.sp = sp self.use_covariates = use_covariates super().__init__( parameters=parameters, component_obj=arima_model, random_seed=random_seed, ) def _remove_datetime(self, data, features=False): if data is None: return None data_no_dt = data.ww.copy() if isinstance( data_no_dt.index, (pd.DatetimeIndex, pd.PeriodIndex, pd.IntervalIndex), ): data_no_dt = data_no_dt.ww.reset_index(drop=True) if features: data_no_dt = data_no_dt.ww.select(exclude=["Datetime"]) return data_no_dt def _match_indices(self, X, y): if X is not None: if X.index.equals(y.index): return X, y else: y.index = X.index return X, y def _set_forecast(self, X): from sktime.forecasting.base import ForecastingHorizon fh_ = ForecastingHorizon([i + 1 for i in range(len(X))], is_relative=True) return fh_ def _get_sp(self, X): if X is None: return 1 freq_mappings = { "D": 7, "M": 12, "Q": 4, } time_index = self._parameters.get("time_index", None) sp = self.sp if sp == "detect": inferred_freqs = X.ww.infer_temporal_frequencies() freq = inferred_freqs.get(time_index, None) sp = 1 if freq is not None: sp = freq_mappings.get(freq[:1], 1) return sp
[docs] def fit(self, X, y=None): """Fits ARIMA regressor to data. Args: 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 y was not passed in. """ if X is not None: X = X.fillna(X.mean()) X, y = self._manage_woodwork(X, y) if y is None: raise ValueError("ARIMA Regressor requires y as input.") sp = self._get_sp(X) self._component_obj.sp = sp X = self._remove_datetime(X, features=True) if X is not None: X.ww.set_types( { col: "Double" for col in X.ww.select(["Boolean"], return_schema=True).columns }, ) y = self._remove_datetime(y) X, y = self._match_indices(X, y) if X is not None and not X.empty and self.use_covariates: self._component_obj.fit(y=y, X=X) else: self._component_obj.fit(y=y) return self
[docs] def predict(self, X, y=None): """Make predictions using fitted ARIMA regressor. Args: X (pd.DataFrame): Data of shape [n_samples, n_features]. y (pd.Series): Target data. Returns: pd.Series: Predicted values. Raises: ValueError: If X was passed to `fit` but not passed in `predict`. """ X, y = self._manage_woodwork(X, y) fh_ = self._set_forecast(X) X = X.ww.select(exclude=["Datetime"]) X.ww.set_types( { col: "Double" for col in X.ww.select(["Boolean"], return_schema=True).columns }, ) if not X.empty and self.use_covariates: y_pred = self._component_obj.predict(fh=fh_, X=X) else: y_pred = self._component_obj.predict(fh=fh_) y_pred.index = X.index return infer_feature_types(y_pred)
@property def feature_importance(self): """Returns array of 0's with a length of 1 as feature_importance is not defined for ARIMA regressor.""" return np.zeros(1)