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(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)[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
  • 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.

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

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 y was not passed in.

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.