# import libraries
import pandas as pd
from statsforecast import StatsForecast
from statsforecast.models import AutoARIMA
import matplotlib.pyplot as pltc:\Users\mftok\OneDrive\Github\mftokic.github.io\.venv\lib\site-packages\tqdm\auto.py:21: TqdmWarning: IProgress not found. Please update jupyter and ipywidgets. See https://ipywidgets.readthedocs.io/en/stable/user_install.html
from .autonotebook import tqdm as notebook_tqdm# read data
data_raw = pd.read_csv("../posts/2024-10-02-ts-fundamentals-whats-a-time-series/example_ts_data.csv")
data_raw = (
# select columns
data_raw[["Country", "Product", "Date", "Revenue"]]
# change data types
.assign(
Date = pd.to_datetime(data_raw["Date"]),
Revenue = pd.to_numeric(data_raw["Revenue"])
)
)
# print the first few rows
print(data_raw.head()) Country Product Date Revenue
0 United States Ice Cream 2019-01-01 10
1 United States Ice Cream 2019-02-01 12
2 United States Ice Cream 2019-03-01 15
3 United States Ice Cream 2019-04-01 9
4 United States Ice Cream 2019-05-01 11# filter on specific series
us_ic_raw = data_raw[(data_raw["Country"] == "United States") & (data_raw["Product"] == "Ice Cream")]
# create unique id
us_ic_raw["unique_id"] = us_ic_raw["Country"] + "_" + us_ic_raw["Product"]
# convert date to datetime
us_ic_raw["Date"] = pd.to_datetime(us_ic_raw["Date"])
# plot the data
plt.figure(figsize=(10, 6))
plt.plot(us_ic_raw.index, us_ic_raw["Revenue"], label="Ice Cream Revenue")
plt.xlabel("Date")
plt.ylabel("Revenue")
plt.title("Ice Cream Revenue in United States")
plt.legend()C:\Users\mftok\AppData\Local\Temp\ipykernel_3424\2972639449.py:5: SettingWithCopyWarning:
A value is trying to be set on a copy of a slice from a DataFrame.
Try using .loc[row_indexer,col_indexer] = value instead
See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy
us_ic_raw["unique_id"] = us_ic_raw["Country"] + "_" + us_ic_raw["Product"]
C:\Users\mftok\AppData\Local\Temp\ipykernel_3424\2972639449.py:8: SettingWithCopyWarning:
A value is trying to be set on a copy of a slice from a DataFrame.
Try using .loc[row_indexer,col_indexer] = value instead
See the caveats in the documentation: https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#returning-a-view-versus-a-copy
us_ic_raw["Date"] = pd.to_datetime(us_ic_raw["Date"])
# get final data for forecasting
us_ic_clean = us_ic_raw[["unique_id", "Date", "Revenue"]].copy()
# set up models to train
sf = StatsForecast(
models=[AutoARIMA(season_length=12)],
freq='ME',
)
# fit the model and forecast for 12 months ahead
Y_hat_df = sf.forecast(df = us_ic_clean,
time_col = "Date",
target_col = "Revenue",
id_col = "unique_id",
h=12,
level=[95],
fitted=True)
print(Y_hat_df.head())
# convert date to be first of the month
Y_hat_df["Date"] = Y_hat_df["Date"].dt.to_period("M").dt.to_timestamp() unique_id Date AutoARIMA AutoARIMA-lo-95 \
0 United States_Ice Cream 2023-12-31 15.5 13.248834
1 United States_Ice Cream 2024-01-31 15.5 13.248834
2 United States_Ice Cream 2024-02-29 21.5 19.248835
3 United States_Ice Cream 2024-03-31 14.5 12.248834
4 United States_Ice Cream 2024-04-30 18.5 16.248835
AutoARIMA-hi-95
0 17.751165
1 17.751165
2 23.751165
3 16.751165
4 20.751165 # concat both df together
future_fcst_df = pd.concat([us_ic_clean, Y_hat_df], axis=0)
# make date the index
future_fcst_df.set_index("Date", inplace=True)
print(future_fcst_df.tail()) unique_id Revenue AutoARIMA AutoARIMA-lo-95 \
Date
2024-07-01 United States_Ice Cream NaN 22.5 20.248835
2024-08-01 United States_Ice Cream NaN 25.5 23.248835
2024-09-01 United States_Ice Cream NaN 26.5 24.248835
2024-10-01 United States_Ice Cream NaN 37.5 35.248833
2024-11-01 United States_Ice Cream NaN 45.5 43.248833
AutoARIMA-hi-95
Date
2024-07-01 24.751165
2024-08-01 27.751165
2024-09-01 28.751165
2024-10-01 39.751167
2024-11-01 47.751167 # plot the future fcst data
plt.figure(figsize=(10, 6))
# plot the original revenue data as line and forecast as dotted line
plt.plot(future_fcst_df.index, future_fcst_df["Revenue"], label="Actual Revenue")
plt.plot(future_fcst_df.index, future_fcst_df["AutoARIMA"], label="ARIMA Forecast", linestyle='dotted')
# plot the prediction intervals as shaded areas
plt.fill_between(future_fcst_df.index,
future_fcst_df["AutoARIMA-lo-95"],
future_fcst_df["AutoARIMA-hi-95"],
color='gray', alpha=0.2, label='95% Prediction Interval')
# chart formatting
plt.xlabel("Date")
plt.ylabel("Revenue")
plt.title("Forecast Results for US Ice Cream Revenue")
plt.legend()
# save the plot
# plt.savefig("chart1", dpi = 300, bbox_inches = "tight")
# get fitted values of the historical data
# Note: The fitted values are the predicted values for the training data
residual_values = sf.forecast_fitted_values()
# make date the index
residual_values.set_index("Date", inplace=True)
print(residual_values.head()) unique_id Revenue AutoARIMA AutoARIMA-lo-95 \
Date
2019-01-01 United States_Ice Cream 10.0 9.990125 7.738959
2019-02-01 United States_Ice Cream 12.0 11.988250 9.737084
2019-03-01 United States_Ice Cream 15.0 14.985375 12.734209
2019-04-01 United States_Ice Cream 9.0 8.991500 6.740334
2019-05-01 United States_Ice Cream 11.0 10.989625 8.738459
AutoARIMA-hi-95
Date
2019-01-01 12.241291
2019-02-01 14.239416
2019-03-01 17.236542
2019-04-01 11.242666
2019-05-01 13.240791 # plot the historical fitted values
plt.figure(figsize=(10, 6))
# plot the original revenue data as line and forecast as dotted line
plt.plot(residual_values.index, residual_values["Revenue"], label="Actual Revenue")
plt.plot(residual_values.index, residual_values["AutoARIMA"], label="Forecasted Revenue", linestyle='dotted')
# plot the prediction intervals as shaded areas
plt.fill_between(residual_values.index,
residual_values["AutoARIMA-lo-95"],
residual_values["AutoARIMA-hi-95"],
color='gray', alpha=0.2, label='95% Prediction Interval')
# chart formatting
plt.xlabel("Date")
plt.ylabel("Revenue")
plt.title("ARIMA Residuals for US Ice Cream Revenue")
plt.legend()
# save the plot
# plt.savefig("chart2", dpi = 300, bbox_inches = "tight")
# calculate residuals and plot the residuals directly as a line chart
residuals = residual_values["Revenue"] - residual_values["AutoARIMA"]
plt.figure(figsize=(10, 6))
plt.plot(residuals.index, residuals, label="Residuals", color='orange')
plt.axhline(y=0, color='red', linestyle='--')
plt.xlabel("Date")
plt.ylabel("Residuals")
plt.title("Residuals Over Time")
# save the plot
# plt.savefig("chart3", dpi = 300, bbox_inches = "tight")Text(0.5, 1.0, 'Residuals Over Time')
# create histogram of residuals
plt.figure(figsize=(10, 6))
plt.hist(residuals, bins=6, color='blue', alpha=0.7)
plt.axvline(x=0, color='red', linestyle='--')
plt.xlabel("Residuals")
plt.ylabel("Frequency")
plt.title("Histogram of Residuals")
# save the plot
# plt.savefig("chart4", dpi = 300, bbox_inches = "tight")Text(0.5, 1.0, 'Histogram of Residuals')
# create chart that puts the actual values on one side and the fitted values on the other as a scatter plot
plt.figure(figsize=(10, 6))
# plot the actual values
plt.scatter(residual_values["Revenue"], residual_values["AutoARIMA"], label="Fitted Values", alpha=0.5)
# plot the 45 degree line
plt.plot([residual_values["Revenue"].min(), residual_values["Revenue"].max()],
[residual_values["Revenue"].min(), residual_values["Revenue"].max()],
color='red', linestyle='--', label="45 Degree Line")
# chart formatting
plt.xlabel("Actual Revenue")
plt.ylabel("Fitted Revenue")
plt.title("Q-Q Plot of Actual vs Fitted Values")
# save the plot
# plt.savefig("chart5", dpi = 300, bbox_inches = "tight")Text(0.5, 1.0, 'Q-Q Plot of Actual vs Fitted Values')
# create ACF plot on the residuals
from statsmodels.graphics.tsaplots import plot_acf
plt.figure(figsize=(10, 6))
plot_acf(residuals, lags=24)
plt.title("ACF of Residuals")
plt.xlabel("Lags")
plt.ylabel("Autocorrelation")
plt.legend()
# save the plot
# plt.savefig("chart6", dpi = 300, bbox_inches = "tight")C:\Users\mftok\AppData\Local\Temp\ipykernel_3424\3336845809.py:8: UserWarning: No artists with labels found to put in legend. Note that artists whose label start with an underscore are ignored when legend() is called with no argument.
plt.legend()<Figure size 1000x600 with 0 Axes>
# create
train_test_wrong = us_ic_clean.copy()