How to use seasonal_decompose. How to deal with various errors while using seasonal_decompose. How can we practically use or implement seasonal_decompose.
Get all imports
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import datetime
from statsmodels.tsa.seasonal import seasonal_decompose
Prepare test data
data = {'Unix Timestamp': ['1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12','1.61888E+12'],
'Date': ['4/20/2021 0:02','4/20/2021 0:01','4/20/2021 0:00','4/19/2021 23:59','4/19/2021 23:58','4/19/2021 23:57','4/19/2021 23:56','4/19/2021 23:55','4/19/2021 23:54','4/19/2021 23:53','4/19/2021 23:52','4/19/2021 23:51','4/19/2021 23:50','4/19/2021 23:49','4/19/2021 23:48','4/19/2021 23:47','4/19/2021 23:46','4/20/2021 0:02','4/20/2021 0:01','4/20/2021 0:00','4/19/2021 23:59','4/19/2021 23:58','4/19/2021 23:57','4/19/2021 23:56','4/19/2021 23:55','4/19/2021 23:54','4/19/2021 23:53','4/19/2021 23:52','4/19/2021 23:51','4/19/2021 23:50','4/19/2021 23:49','4/19/2021 23:48','4/19/2021 23:47','4/19/2021 23:46'],
'Symbol': ['BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD','BTCUSD'],
'Open': [55717.47,55768.94,55691.79,55777.86,55803.5,55690.64,55624.69,55651.82,55688.08,55749.28,55704.59,55779.38,55816.61,55843.69,55880.12,55890.88,0,55717.47,55768.94,55691.79,55777.86,55803.5,55690.64,55624.69,55651.82,55688.08,55749.28,55704.59,55779.38,55816.61,55843.69,55880.12,55890.88,0],
'High': [55723,55849.82,55793.15,55777.86,55823.88,55822.91,55713.02,55675.92,55730.21,55749.28,55759.27,55779.38,55835.57,55863.89,55916.47,55918.87,0,55723,55849.82,55793.15,55777.86,55823.88,55822.91,55713.02,55675.92,55730.21,55749.28,55759.27,55779.38,55835.57,55863.89,55916.47,55918.87,0],
'Low': [55541.69,55711.74,55691.79,55677.92,55773.08,55682.56,55624.63,55621.58,55641.46,55688.08,55695.42,55688.66,55769.46,55797.08,55815.99,55826.84,0,55541.69,55711.74,55691.79,55677.92,55773.08,55682.56,55624.63,55621.58,55641.46,55688.08,55695.42,55688.66,55769.46,55797.08,55815.99,55826.84,0]}
df=pd.DataFrame(data)
Perform decomposition
df_seasonal = seasonal_decompose(df)
We get our first error
ValueError: could not convert string to float:
Lets fix the above error, for this run below code
df['Date'] = df['Date'].apply(
lambda x : datetime.datetime.strptime(str(x),'%m/%d/%Y %H:%M')
)
Now if you run seasonal_decompose again, you will get new error
df_seasonal = seasonal_decompose(df)
Now the new error will be
TypeError: float() argument must be a string or a number, not 'Timestamp'
To fix this error we pass one column at a time and the column passed should be a string or a number. Try the decompose using below code
df_seasonal = seasonal_decompose(df['Open'])
Now you get a new error, as shown below
ValueError: You must specify a period or x must be a pandas object with a PeriodIndex or a DatetimeIndex with a freq not set to None
There are two solution's to this error
First Solution:- use period parameter for seasonal_decompose
df_seasonal = seasonal_decompose(df['Open'],period = 1) ## here we have data for every minute and hence period is 1 , but this need not be correct.
In above code we have data for every minute and hence period is 1. However, this need not be correct period is actually cycle period of input data. To know more on how to decide on period read this page. To know the complete list of freq abbrevations click here
Second Solution:- create an datetime index for the data along with frequency
df = df.set_index(df.Date).asfreq('2Min') ## M for Months S for Seconds. Here we cannot resample data with frequency 1Min, as data is already in frequency of 1Min, hence we used 2Min here
df_seasonal = seasonal_decompose(df['Open']) ## here we didn't use period and freq argument
In seasonal_decompose we have to set the model ( By default its Addictive). We can either set the model to be Additive or Multiplicative. A rule of thumb for selecting the right model is to see in our plot if the trend and seasonal variation are relatively constant over time, in other words, linear. If yes, then we will select the Additive model. Otherwise, if the trend and seasonal variation increase or decrease over time then we use the Multiplicative model. So that means before we do seasonal_decompose we must plot the preprocessed data over time and see if there are any trends or cycles.
Finally we could run it without error.
Another error that we might see is TypeError: Index(...) must be called with a collection of some kind, 'seasonal' was passed, this again happens due to wrong usage of seasonal_decompose like for example below
df_bt_decomp = seasonal_decompose(df_bt[['Open','High']],period=1) ## this is wrong because we have used two columns together and both are valid metric and not an index.
I'm trying to locate tremor, which is a type of earthquake with smaller amplitude. I use grid search, which is a method that finds the coordinate where 'the difference between theoretical value and observed value of differential time in seismic wave arrival' becomes minimum.
The code I made is as follows. First I defined two functions that calculate distance between earthquake source and each point on grid, and that calculate travel time of seismic waves using obspy.
def distance(a,i):
return math.sqrt(((ste[a].stats.sac.stla-la[i])**2)+((ste[a].stats.sac.stlo-lo[i])**2))
def traveltime(a):
return model.get_travel_times(source_depth_in_km=35, distance_in_degree=a, phase_list=["S"], receiver_depth_in_km=0)[0].time
Then I conducted grid search using following codes.
di=[(la[i],lo[i],distance(a,i), distance(b,i)) for i in range(len(lo))
for a in range(len(ste))
for b in range(len(ste)) if a<b]
didf=pd.DataFrame(di)
latot=didf[0]
lotot=didf[1]
dia=didf[2]
dib=didf[3]
tt=[]
for i in range(len(di)):
try:
tt.append((latot[i],lotot[i],traveltime(dia[i])-traveltime(dib[i])))
except IndexError:
continue
ttdf=pd.DataFrame(tt)
final=[(win[j],ttdf[0][i],ttdf[1][i],(ttdf[2][i]-shift[j])**2) for i in range(len(ttdf))
for j in range(len(ccdf))]
where la and lo are the list of latitude and longitude coordinates with 0.01 degree interval, and ste is the list of the east components seismogram of each station. I have to get the list 'final' to proceed to the next step.
However, the problem is that it takes too much time to calculate three segments of codes written above. Moreover, the result I get after tens of hours of calculation is 'out of memory' error message. Is there any solution that can reduce both time and memory?
Without access to your dataset, it's a little difficult to debug, but here are a few suggestions for you.
for i in range(len(di)):
try:
tt.append((latot[i],lotot[i],traveltime(dia[i])-traveltime(dib[i])))
except IndexError:
continue
• Given the size of these lists, I think that the Garbage Collector might be slowing down this for loop; you might consider turning it off for the duration of the loop (gc.disable()).
• In theory, the Append statement shouldn't be the source of your performance problems, since it over-allocates:
/* This over-allocates proportional to the list size, making room
* for additional growth. The over-allocation is mild, but is
* enough to give linear-time amortized behavior over a long
* sequence of appends() in the presence of a poorly-performing
* system realloc().
* The growth pattern is: 0, 4, 8, 16, 25, 35, 46, 58, 72, 88, ...
*/
new_allocated = (newsize >> 3) + (newsize < 9 ? 3 : 6);
but you already know the size of the array, so you might consider using numpy.zeroes() to fill the list before the for-loop, and use the index to directly address each element. Alternatively, you could just use list comprehensions, as you did earlier, and avoid the problem altogether.
• I see that you've tagged the question with python-3.x, so range() shouldn't be an issue like it was in 2.x (otherwise you would want to consider using xrange()).
If you update your question with more details, I could probably provide a more detailed answer...hope this helps.
I am having a bit of an issue with pandas's rolling function and I'm not quite sure where I'm going wrong. If I mock up two test series of numbers:
df_index = pd.date_range(start='1990-01-01', end ='2010-01-01', freq='D')
test_df = pd.DataFrame(index=df_index)
test_df['Series1'] = np.random.randn(len(df_index))
test_df['Series2'] = np.random.randn(len(df_index))
Then it's easy to have a look at their rolling annual correlation:
test_df['Series1'].rolling(365).corr(test_df['Series2']).plot()
which produces:
All good so far. If I then try to do the same thing using a datetime offset:
test_df['Series1'].rolling('365D').corr(test_df['Series2']).plot()
I get a wildly different (and obviously wrong) result:
Is there something wrong with pandas or is there something wrong with me?
Thanks in advance for any light you can shed on this troubling conundrum.
It's very tricky, I think the behavior of window as int and offset is different:
New in version 0.19.0 are the ability to pass an offset (or
convertible) to a .rolling() method and have it produce variable sized
windows based on the passed time window. For each time point, this
includes all preceding values occurring within the indicated time
delta.
This can be particularly useful for a non-regular time frequency index.
You should checkout the doc of Time-aware Rolling.
r1 = test_df['Series1'].rolling(window=365) # has default `min_periods=365`
r2 = test_df['Series1'].rolling(window='365D') # has default `min_periods=1`
r3 = test_df['Series1'].rolling(window=365, min_periods=1)
r1.corr(test_df['Series2']).plot()
r2.corr(test_df['Series2']).plot()
r3.corr(test_df['Series2']).plot()
This code would produce similar shape of plots for r2.corr().plot() and r3.corr().plot(), but note that the calculation results still different: r2.corr(test_df['Series2']) == r3.corr(test_df['Series2']).
I think for regular time frequency index, you should just stick to r1.
This mainly because the result of two rolling 365 and 365D are different.
For example
sub = test_df.head()
sub['Series2'].rolling(2).sum()
Out[15]:
1990-01-01 NaN
1990-01-02 -0.355230
1990-01-03 0.844281
1990-01-04 2.515529
1990-01-05 1.508412
sub['Series2'].rolling('2D').sum()
Out[16]:
1990-01-01 -0.043692
1990-01-02 -0.355230
1990-01-03 0.844281
1990-01-04 2.515529
1990-01-05 1.508412
Since there are a lot NaN in rolling 365, so the corr of two series in two way are quit different.
I'm using PVLib to model a PV system. I'm pretty new to coding and Python, and this is my first time using PVLib, so not surprisingly I've hit some difficulties.
Specifically, I've got created the following code using the extensive readthedocs examples at http://pvlib-python.readthedocs.io/en/latest/index.html
import pandas as pd
import numpy as np
from numpy import isnan
import datetime
import pytz
# pvlib imports
import pvlib
from pvlib.forecast import GFS, NAM, NDFD, HRRR, RAP
from pvlib.pvsystem import PVSystem, retrieve_sam
from pvlib.modelchain import ModelChain
# set location (Royal Greenwich Observatory, London, UK)
latitude, longitude, tz = 51.4769, 0.0005, 'Europe/London'
# specify time range.
start = pd.Timestamp(datetime.date.today(), tz=tz)
end = start + pd.Timedelta(days=5)
periods = 8 # number of periods that the GFS model and/or the model chain allows us to forecast power output.
# specify what irradiance variables we want
irrad_vars = ['ghi', 'dni', 'dhi']
# Use Global Forecast System model. The GFS is the US model that provides forecasts for the entire globe.
fx_model = GFS() # note: gives output in 3-hourly intervals
# retrieve data in processed format (convert temps from Kelvin to Celsius, combine elements of wind speed, complete irradiance data)
# Returns pandas.DataFrame object
fx_data = fx_model.get_processed_data(latitude, longitude, start, end)
# load module and inverter specifications
sandia_modules = pvlib.pvsystem.retrieve_sam('SandiaMod')
cec_inverters = pvlib.pvsystem.retrieve_sam('cecinverter')
module = sandia_modules['SolarWorld_Sunmodule_250_Poly__2013_']
inverter = cec_inverters['ABB__PVI_3_0_OUTD_S_US_Z_M_A__240_V__240V__CEC_2014_']
# model a fixed system in the UK. 10 strings of 250W panels, with 40 panels per string. Gives a nominal 100kW array
system = PVSystem(module_parameters=module, inverter_parameters=inverter, modules_per_string=40, strings_per_inverter=10)
# use a ModelChain object to calculate modelling intermediates
mc = ModelChain(system, fx_model.location, orientation_strategy='south_at_latitude_tilt')
# extract relevant data for model chain
mc.run_model(fx_data.index, weather=fx_data)
# OTHER CODE AFTER THIS TO DO SOMETHING WITH THE DATA
Having used a lot of print() statements in the console to debug, I can see that at the final line
mc.run_model(fx_data.index....
I get the following error:
/opt/pyenv/versions/3.6.0/lib/python3.6/site-packages/pvlib/pvsystem.py:1317:
RuntimeWarning: divide by zero encountered in log
module['Voco'] + module['Cells_in_Series']*delta*np.log(Ee) +
/opt/pyenv/versions/3.6.0/lib/python3.6/site-packages/pvlib/pvsystem.py:1323:
RuntimeWarning: divide by zero encountered in log
module['C3']*module['Cells_in_Series']*((delta*np.log(Ee)) ** 2) +
As a result, when I then go on to look at the ac_power outputs, I get what looks like erroneous data (every hour with a forecast that is not NaN = 3000 W).
I'd really appreciate any help you can give as I don't know what's causing it. Maybe I'm specifying the system incorrectly?
Thanks, Matt
I think the warnings you're seeing are ok to ignore. A handful of pvlib algorithms spit out warnings due to things like 0 values at night.
I think your problem with the non-NaN values is unrelated to the warnings. Study the other modeling results (stored as mc attributes -- see documentation and source code) to see if you can track down the source of your problem.
I'm trying to predict stock prices using sklearn. I'm new to prediction. I tried the example from sklearn for stock prediction with gaussian hmm. But predict gives states sequence which overlay on the price and it also takes points from given input close price. My question is how to generate next 10 prices?
You will always use the last state to predict the next state, so let's add 10 days worth of inputs by changing the end date to the 23rd:
date2 = datetime.date(2012, 1, 23)
You can double check the rest of the code to make sure I am not actually using future data for the prediction. The rest of these lines can be added to the bottom of the file. First we want to find out what the expected return is for a given state. The model.means_ array has returns, both those were the returns that got us to this state, not the future returns which is what you want. To get the future returns, we consider the probability of going to any one of the 5 states, and what the return of those states is. We get the probability of going to any particular state from the model.transmat_ matrix, the for the return of each state we use the model.means_ values. We take the dot product to get the expected return for a particular state. Then we remove the volume data (you can leave it in if you want, but you seemed to be most interested in future prices).
expected_returns_and_volumes = np.dot(model.transmat_, model.means_)
returns_and_volumes_columnwise = zip(*expected_returns_and_volumes)
returns = returns_and_volumes_columnwise[0]
If you print the value for returns[0], you'll see the expected return in dollars for state 0, returns[1] for state 1 etc. Now, given a day and a state, we want to predict the price for tomorrow. You said 10 days so let's use that for lastN.
predicted_prices = []
lastN = 10
for idx in xrange(lastN):
state = hidden_states[-lastN+idx]
current_price = quotes[-lastN+idx][2]
current_date = datetime.date.fromordinal(dates[-lastN+idx])
predicted_date = current_date + datetime.timedelta(days=1)
predicted_prices.append((predicted_date, current_price + returns[state]))
print(predicted_prices)
If you were running this in "production" you would set date2 to the last date you have and then lastN would be 1. Note that I don't take into account weekends for the predicted_date.
This is a fun exercise but you probably wouldn't run this in production, hence the quotes. First, the time series is the raw price; this should really be percentage returns or log returns. Plus there is no justification for picking 5 states for the HMM, or that a HMM is even good for this kinda problem, which I doubt. They probably just picked it as an example. I think the other sklearn example using PCA is much more interesting.