Package provides BATS and TBATS time series forecasting methods described in:
De Livera, A.M., Hyndman, R.J., & Snyder, R. D. (2011), Forecasting time series with complex seasonal patterns using exponential smoothing, Journal of the American Statistical Association, 106(496), 1513-1527.
From pypi:
pip install tbatsImport via:
from tbats import BATS, TBATSfrom tbats import TBATS
import numpy as np
# required on windows for multi-processing,
# see https://docs.python.org/2/library/multiprocessing.html#windows
if __name__ == '__main__':
np.random.seed(2342)
t = np.array(range(0, 160))
y = 5 * np.sin(t * 2 * np.pi / 7) + 2 * np.cos(t * 2 * np.pi / 30.5) + \
((t / 20) ** 1.5 + np.random.normal(size=160) * t / 50) + 10
# Create estimator
estimator = TBATS(seasonal_periods=[14, 30.5])
# Fit model
fitted_model = estimator.fit(y)
# Forecast 14 steps ahead
y_forecasted = fitted_model.forecast(steps=14)
# Summarize fitted model
print(fitted_model.summary())Reading model details
# Time series analysis
print(fitted_model.y_hat) # in sample prediction
print(fitted_model.resid) # in sample residuals
print(fitted_model.aic)
# Reading model parameters
print(fitted_model.params.alpha)
print(fitted_model.params.beta)
print(fitted_model.params.x0)
print(fitted_model.params.components.use_box_cox)
print(fitted_model.params.components.seasonal_harmonics)See examples directory for more details
Building package:
pip install -e .[dev]Unit and integration tests:
python setup.py testR forecast package comparison tests. Those DO NOT RUN with default test command, you need R forecast package installed:
python setup.py test_rPython implementation is meant to be as much as possible equivalent to R implementation in forecast package.