"""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)