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Manual pySTARMA library | ||
================ | ||
This file contains the manual for the usage of the pySTARMA library | ||
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STARMA object | ||
----------------- | ||
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Description | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
The STARMA class can be used to estimate STARMA models. The method ``STARMA.fit()`` performs the estimation of the parameters. The method ``STARMA.predict()`` executes the forecast (still in the development stage). The method ``STARMA.get_model()`` returns the full model. The ``STARMA.get_item()`` method returns a selected property of the model (`see Return Values STARMA`_). | ||
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Usage | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
.. code-block:: python | ||
model = sm.STARMA(p, q, ts_matrix, wa_matrices, iterations(optional)) | ||
model.fit() | ||
model.get_model() | ||
model.get_item() | ||
Example | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
.. code-block:: python | ||
from pySTARMA import starma_model as sm | ||
#Create instance of STARMA | ||
model = sm.STARMA(5, 2, time_series, wa_matrices, 3) | ||
#Estimate parameters | ||
model.fit() | ||
#Print explicit item | ||
print model.get_item('bic') | ||
Attributes | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
+---------------------+---------------------------------------------+ | ||
| Attribute | Value | | ||
+=====================+=============================================+ | ||
|p |Number or list of autoregressive parameters | | ||
+---------------------+---------------------------------------------+ | ||
|q | Number or list of moving average parameters | | ||
+---------------------+---------------------------------------------+ | ||
|ts_matrix | Time series matrix | | ||
+---------------------+---------------------------------------------+ | ||
|wa_matrices | List of adjacency matrices | | ||
+---------------------+---------------------------------------------+ | ||
|iterations(optional) | Number of iteration of kalman filtering, | | ||
| | only for estimation of moving average | | ||
| | parameters | | ||
+---------------------+---------------------------------------------+ | ||
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||
Returnvalues | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
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.. _`see Return Values STARMA`: | ||
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A dictionary is returned as a 'model' with the following values: | ||
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+---------------------+---------------------------------------------+ | ||
| Value | Description | | ||
+=====================+=============================================+ | ||
|residuals | Matrix with estimated residuals | | ||
+---------------------+---------------------------------------------+ | ||
|phi | Matrix with estimated AR-parameters | | ||
+---------------------+---------------------------------------------+ | ||
|phi_tvalue | Matrix with estimated AR-t-values | | ||
+---------------------+---------------------------------------------+ | ||
|phi_pvalue | Matrix with estimated AR-p-values | | ||
+---------------------+---------------------------------------------+ | ||
|theta | Matrix with estimated MA-parameters | | ||
+---------------------+---------------------------------------------+ | ||
|theta_tvalue | Matrix with estimated MA-t-values | | ||
+---------------------+---------------------------------------------+ | ||
|theta_pvalue | Matrix with estimated MA-p-values | | ||
+---------------------+---------------------------------------------+ | ||
|sigma2 | Standard deviation | | ||
+---------------------+---------------------------------------------+ | ||
|bic | Bayessche informationcriterion | | ||
+---------------------+---------------------------------------------+ | ||
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STARIMA object | ||
----------------- | ||
|
||
Description | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
The STARIMA class can be used to estimate STARIMA models. The method ``STARIMA.fit()`` performs the estimation of the parameters. The method ``STARIMA.predict()`` executes the forecast (still in the development stage). The method ``STARIMA.get_model()`` returns the full model. The ``STARIMA.get_item()`` method returns a selected property of the model (`see Return Values STARIMA`_). | ||
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||
Usage | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
.. code-block:: python | ||
model = sm.STARIMA(p, q, d, ts_matrix, wa_matrices, iterations(optional)) | ||
model.fit() | ||
model.get_model() | ||
model.get_item() | ||
Example | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
.. code-block:: python | ||
from pySTARMA import starma_model as sm | ||
#Create instance of STARIMA | ||
model = sm.STARMA(5, 2, (1,), time_series, wa_matrices, 3) | ||
#Estimate parameters | ||
model.fit() | ||
#Print explicit item | ||
print model.get_item('bic') | ||
Attributes | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
+---------------------+---------------------------------------------+ | ||
| Attribute | Value | | ||
+=====================+=============================================+ | ||
|p |Number or list of autoregressive parameters | | ||
+---------------------+---------------------------------------------+ | ||
|q | Number or list of moving average parameters | | ||
+---------------------+---------------------------------------------+ | ||
|d | List of numbers of differentiatio | | ||
+---------------------+---------------------------------------------+ | ||
|ts_matrix | Time series matrix | | ||
+---------------------+---------------------------------------------+ | ||
|wa_matrices | List of adjacency matrices | | ||
+---------------------+---------------------------------------------+ | ||
|iterations(optional) | Number of iteration of kalman filtering, | | ||
| | only for estimation of moving average | | ||
| | parameters | | ||
+---------------------+---------------------------------------------+ | ||
|
||
Return Values | ||
~~~~~~~~~~~~~~~~~~~~~~ | ||
|
||
.. _`see Returnvalues STARIMA`: | ||
|
||
A dictionary is returned as a 'model' with the following values: | ||
|
||
|
||
+---------------------+---------------------------------------------+ | ||
| Value | Description | | ||
+=====================+=============================================+ | ||
|residuals | Matrix with estimated residuals | | ||
+---------------------+---------------------------------------------+ | ||
|phi | Matrix with estimated AR-parameters | | ||
+---------------------+---------------------------------------------+ | ||
|phi_tvalue | Matrix with estimated AR-t-values | | ||
+---------------------+---------------------------------------------+ | ||
|phi_pvalue | Matrix with estimated AR-p-values | | ||
+---------------------+---------------------------------------------+ | ||
|theta | Matrix with estimated MA-parameters | | ||
+---------------------+---------------------------------------------+ | ||
|theta_tvalue | Matrix with estimated MA-t-values | | ||
+---------------------+---------------------------------------------+ | ||
|theta_pvalue | Matrix with estimated MA-p-values | | ||
+---------------------+---------------------------------------------+ | ||
|sigma2 | Standard deviation | | ||
+---------------------+---------------------------------------------+ | ||
|bic | Bayessche informationcriterion | | ||
+---------------------+---------------------------------------------+ |