some new features
This commit is contained in:
ilgazca
@ -0,0 +1,873 @@
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"""Correlation plot functions."""
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from statsmodels.compat.pandas import deprecate_kwarg
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import calendar
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import numpy as np
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import pandas as pd
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from statsmodels.graphics import utils
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from statsmodels.tools.validation import array_like
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from statsmodels.tsa.stattools import acf, pacf, ccf
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def _prepare_data_corr_plot(x, lags, zero):
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zero = bool(zero)
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irregular = False if zero else True
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if lags is None:
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# GH 4663 - use a sensible default value
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nobs = x.shape[0]
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lim = min(int(np.ceil(10 * np.log10(nobs))), nobs // 2)
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lags = np.arange(not zero, lim + 1)
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elif np.isscalar(lags):
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lags = np.arange(not zero, int(lags) + 1) # +1 for zero lag
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else:
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irregular = True
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lags = np.asanyarray(lags).astype(int)
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nlags = lags.max(0)
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return lags, nlags, irregular
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def _plot_corr(
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ax,
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title,
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acf_x,
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confint,
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lags,
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irregular,
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use_vlines,
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vlines_kwargs,
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auto_ylims=False,
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skip_lag0_confint=True,
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**kwargs,
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):
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if irregular:
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acf_x = acf_x[lags]
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if confint is not None:
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confint = confint[lags]
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if use_vlines:
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ax.vlines(lags, [0], acf_x, **vlines_kwargs)
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ax.axhline(**kwargs)
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kwargs.setdefault("marker", "o")
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kwargs.setdefault("markersize", 5)
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if "ls" not in kwargs:
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# gh-2369
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kwargs.setdefault("linestyle", "None")
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ax.margins(0.05)
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ax.plot(lags, acf_x, **kwargs)
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ax.set_title(title)
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ax.set_ylim(-1, 1)
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if auto_ylims:
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ax.set_ylim(
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1.25 * np.minimum(min(acf_x), min(confint[:, 0] - acf_x)),
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1.25 * np.maximum(max(acf_x), max(confint[:, 1] - acf_x)),
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)
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if confint is not None:
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if skip_lag0_confint and lags[0] == 0:
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lags = lags[1:]
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confint = confint[1:]
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acf_x = acf_x[1:]
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lags = lags.astype(float)
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lags[np.argmin(lags)] -= 0.5
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lags[np.argmax(lags)] += 0.5
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ax.fill_between(
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lags, confint[:, 0] - acf_x, confint[:, 1] - acf_x, alpha=0.25
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)
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@deprecate_kwarg("unbiased", "adjusted")
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def plot_acf(
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x,
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ax=None,
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lags=None,
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*,
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alpha=0.05,
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use_vlines=True,
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adjusted=False,
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fft=False,
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missing="none",
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title="Autocorrelation",
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zero=True,
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auto_ylims=False,
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bartlett_confint=True,
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vlines_kwargs=None,
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**kwargs,
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):
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"""
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Plot the autocorrelation function
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Plots lags on the horizontal and the correlations on vertical axis.
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Parameters
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----------
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x : array_like
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Array of time-series values
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ax : AxesSubplot, optional
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If given, this subplot is used to plot in instead of a new figure being
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created.
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lags : {int, array_like}, optional
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An int or array of lag values, used on horizontal axis. Uses
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np.arange(lags) when lags is an int. If not provided,
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``lags=np.arange(len(corr))`` is used.
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alpha : scalar, optional
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If a number is given, the confidence intervals for the given level are
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returned. For instance if alpha=.05, 95 % confidence intervals are
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returned where the standard deviation is computed according to
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Bartlett's formula. If None, no confidence intervals are plotted.
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use_vlines : bool, optional
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If True, vertical lines and markers are plotted.
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If False, only markers are plotted. The default marker is 'o'; it can
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be overridden with a ``marker`` kwarg.
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adjusted : bool
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If True, then denominators for autocovariance are n-k, otherwise n
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fft : bool, optional
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If True, computes the ACF via FFT.
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missing : str, optional
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A string in ['none', 'raise', 'conservative', 'drop'] specifying how
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the NaNs are to be treated.
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title : str, optional
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Title to place on plot. Default is 'Autocorrelation'
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zero : bool, optional
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Flag indicating whether to include the 0-lag autocorrelation.
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Default is True.
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auto_ylims : bool, optional
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If True, adjusts automatically the y-axis limits to ACF values.
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bartlett_confint : bool, default True
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Confidence intervals for ACF values are generally placed at 2
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standard errors around r_k. The formula used for standard error
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depends upon the situation. If the autocorrelations are being used
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to test for randomness of residuals as part of the ARIMA routine,
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the standard errors are determined assuming the residuals are white
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noise. The approximate formula for any lag is that standard error
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of each r_k = 1/sqrt(N). See section 9.4 of [1] for more details on
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the 1/sqrt(N) result. For more elementary discussion, see section
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5.3.2 in [2].
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For the ACF of raw data, the standard error at a lag k is
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found as if the right model was an MA(k-1). This allows the
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possible interpretation that if all autocorrelations past a
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certain lag are within the limits, the model might be an MA of
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order defined by the last significant autocorrelation. In this
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case, a moving average model is assumed for the data and the
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standard errors for the confidence intervals should be
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generated using Bartlett's formula. For more details on
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Bartlett formula result, see section 7.2 in [1].
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vlines_kwargs : dict, optional
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Optional dictionary of keyword arguments that are passed to vlines.
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**kwargs : kwargs, optional
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Optional keyword arguments that are directly passed on to the
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Matplotlib ``plot`` and ``axhline`` functions.
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Returns
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-------
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Figure
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If `ax` is None, the created figure. Otherwise the figure to which
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`ax` is connected.
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See Also
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--------
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matplotlib.pyplot.xcorr
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matplotlib.pyplot.acorr
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Notes
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-----
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Adapted from matplotlib's `xcorr`.
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Data are plotted as ``plot(lags, corr, **kwargs)``
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kwargs is used to pass matplotlib optional arguments to both the line
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tracing the autocorrelations and for the horizontal line at 0. These
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options must be valid for a Line2D object.
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vlines_kwargs is used to pass additional optional arguments to the
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vertical lines connecting each autocorrelation to the axis. These options
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must be valid for a LineCollection object.
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References
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----------
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[1] Brockwell and Davis, 1987. Time Series Theory and Methods
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[2] Brockwell and Davis, 2010. Introduction to Time Series and
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Forecasting, 2nd edition.
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Examples
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--------
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>>> import pandas as pd
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>>> import matplotlib.pyplot as plt
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>>> import statsmodels.api as sm
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>>> dta = sm.datasets.sunspots.load_pandas().data
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>>> dta.index = pd.Index(sm.tsa.datetools.dates_from_range('1700', '2008'))
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>>> del dta["YEAR"]
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>>> sm.graphics.tsa.plot_acf(dta.values.squeeze(), lags=40)
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>>> plt.show()
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.. plot:: plots/graphics_tsa_plot_acf.py
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"""
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fig, ax = utils.create_mpl_ax(ax)
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lags, nlags, irregular = _prepare_data_corr_plot(x, lags, zero)
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vlines_kwargs = {} if vlines_kwargs is None else vlines_kwargs
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confint = None
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# acf has different return type based on alpha
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acf_x = acf(
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x,
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nlags=nlags,
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alpha=alpha,
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fft=fft,
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bartlett_confint=bartlett_confint,
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adjusted=adjusted,
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missing=missing,
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)
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if alpha is not None:
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acf_x, confint = acf_x[:2]
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_plot_corr(
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ax,
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title,
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acf_x,
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confint,
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lags,
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irregular,
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use_vlines,
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vlines_kwargs,
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auto_ylims=auto_ylims,
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**kwargs,
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)
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return fig
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def plot_pacf(
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x,
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ax=None,
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lags=None,
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alpha=0.05,
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method="ywm",
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use_vlines=True,
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title="Partial Autocorrelation",
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zero=True,
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vlines_kwargs=None,
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**kwargs,
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):
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"""
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Plot the partial autocorrelation function
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Parameters
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----------
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x : array_like
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Array of time-series values
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ax : AxesSubplot, optional
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If given, this subplot is used to plot in instead of a new figure being
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created.
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lags : {int, array_like}, optional
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An int or array of lag values, used on horizontal axis. Uses
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np.arange(lags) when lags is an int. If not provided,
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``lags=np.arange(len(corr))`` is used.
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alpha : float, optional
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If a number is given, the confidence intervals for the given level are
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returned. For instance if alpha=.05, 95 % confidence intervals are
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returned where the standard deviation is computed according to
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1/sqrt(len(x))
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method : str
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Specifies which method for the calculations to use:
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- "ywm" or "ywmle" : Yule-Walker without adjustment. Default.
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- "yw" or "ywadjusted" : Yule-Walker with sample-size adjustment in
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denominator for acovf. Default.
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- "ols" : regression of time series on lags of it and on constant.
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- "ols-inefficient" : regression of time series on lags using a single
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common sample to estimate all pacf coefficients.
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- "ols-adjusted" : regression of time series on lags with a bias
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adjustment.
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- "ld" or "ldadjusted" : Levinson-Durbin recursion with bias
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correction.
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- "ldb" or "ldbiased" : Levinson-Durbin recursion without bias
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correction.
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use_vlines : bool, optional
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If True, vertical lines and markers are plotted.
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If False, only markers are plotted. The default marker is 'o'; it can
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be overridden with a ``marker`` kwarg.
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title : str, optional
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Title to place on plot. Default is 'Partial Autocorrelation'
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zero : bool, optional
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Flag indicating whether to include the 0-lag autocorrelation.
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Default is True.
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vlines_kwargs : dict, optional
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Optional dictionary of keyword arguments that are passed to vlines.
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**kwargs : kwargs, optional
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Optional keyword arguments that are directly passed on to the
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Matplotlib ``plot`` and ``axhline`` functions.
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Returns
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-------
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Figure
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If `ax` is None, the created figure. Otherwise the figure to which
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`ax` is connected.
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See Also
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--------
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matplotlib.pyplot.xcorr
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matplotlib.pyplot.acorr
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Notes
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-----
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Plots lags on the horizontal and the correlations on vertical axis.
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Adapted from matplotlib's `xcorr`.
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Data are plotted as ``plot(lags, corr, **kwargs)``
|
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kwargs is used to pass matplotlib optional arguments to both the line
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tracing the autocorrelations and for the horizontal line at 0. These
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options must be valid for a Line2D object.
|
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vlines_kwargs is used to pass additional optional arguments to the
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vertical lines connecting each autocorrelation to the axis. These options
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must be valid for a LineCollection object.
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Examples
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--------
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>>> import pandas as pd
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>>> import matplotlib.pyplot as plt
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>>> import statsmodels.api as sm
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>>> dta = sm.datasets.sunspots.load_pandas().data
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>>> dta.index = pd.Index(sm.tsa.datetools.dates_from_range('1700', '2008'))
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>>> del dta["YEAR"]
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>>> sm.graphics.tsa.plot_pacf(dta.values.squeeze(), lags=40, method="ywm")
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>>> plt.show()
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.. plot:: plots/graphics_tsa_plot_pacf.py
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"""
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fig, ax = utils.create_mpl_ax(ax)
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vlines_kwargs = {} if vlines_kwargs is None else vlines_kwargs
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lags, nlags, irregular = _prepare_data_corr_plot(x, lags, zero)
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confint = None
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if alpha is None:
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acf_x = pacf(x, nlags=nlags, alpha=alpha, method=method)
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else:
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acf_x, confint = pacf(x, nlags=nlags, alpha=alpha, method=method)
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_plot_corr(
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ax,
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title,
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acf_x,
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confint,
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lags,
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irregular,
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use_vlines,
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vlines_kwargs,
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**kwargs,
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)
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return fig
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def plot_ccf(
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x,
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y,
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*,
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ax=None,
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lags=None,
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negative_lags=False,
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alpha=0.05,
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use_vlines=True,
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adjusted=False,
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fft=False,
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title="Cross-correlation",
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auto_ylims=False,
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vlines_kwargs=None,
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**kwargs,
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):
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"""
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Plot the cross-correlation function
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Correlations between ``x`` and the lags of ``y`` are calculated.
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The lags are shown on the horizontal axis and the correlations
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on the vertical axis.
|
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Parameters
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----------
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x, y : array_like
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Arrays of time-series values.
|
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ax : AxesSubplot, optional
|
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If given, this subplot is used to plot in, otherwise a new figure with
|
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one subplot is created.
|
||||
lags : {int, array_like}, optional
|
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An int or array of lag values, used on the horizontal axis. Uses
|
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``np.arange(lags)`` when lags is an int. If not provided,
|
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``lags=np.arange(len(corr))`` is used.
|
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negative_lags: bool, optional
|
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If True, negative lags are shown on the horizontal axis.
|
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alpha : scalar, optional
|
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If a number is given, the confidence intervals for the given level are
|
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plotted, e.g. if alpha=.05, 95 % confidence intervals are shown.
|
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If None, confidence intervals are not shown on the plot.
|
||||
use_vlines : bool, optional
|
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If True, shows vertical lines and markers for the correlation values.
|
||||
If False, only shows markers. The default marker is 'o'; it can
|
||||
be overridden with a ``marker`` kwarg.
|
||||
adjusted : bool
|
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If True, then denominators for cross-correlations are n-k, otherwise n.
|
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fft : bool, optional
|
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If True, computes the CCF via FFT.
|
||||
title : str, optional
|
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Title to place on plot. Default is 'Cross-correlation'.
|
||||
auto_ylims : bool, optional
|
||||
If True, adjusts automatically the vertical axis limits to CCF values.
|
||||
vlines_kwargs : dict, optional
|
||||
Optional dictionary of keyword arguments that are passed to vlines.
|
||||
**kwargs : kwargs, optional
|
||||
Optional keyword arguments that are directly passed on to the
|
||||
Matplotlib ``plot`` and ``axhline`` functions.
|
||||
|
||||
Returns
|
||||
-------
|
||||
Figure
|
||||
The figure where the plot is drawn. This is either an existing figure
|
||||
if the `ax` argument is provided, or a newly created figure
|
||||
if `ax` is None.
|
||||
|
||||
See Also
|
||||
--------
|
||||
statsmodels.graphics.tsaplots.plot_acf
|
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|
||||
Examples
|
||||
--------
|
||||
>>> import pandas as pd
|
||||
>>> import matplotlib.pyplot as plt
|
||||
>>> import statsmodels.api as sm
|
||||
|
||||
>>> dta = sm.datasets.macrodata.load_pandas().data
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>>> diffed = dta.diff().dropna()
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>>> sm.graphics.tsa.plot_ccf(diffed["unemp"], diffed["infl"])
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>>> plt.show()
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"""
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fig, ax = utils.create_mpl_ax(ax)
|
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|
||||
lags, nlags, irregular = _prepare_data_corr_plot(x, lags, True)
|
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vlines_kwargs = {} if vlines_kwargs is None else vlines_kwargs
|
||||
|
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if negative_lags:
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lags = -lags
|
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ccf_res = ccf(
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x, y, adjusted=adjusted, fft=fft, alpha=alpha, nlags=nlags + 1
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)
|
||||
if alpha is not None:
|
||||
ccf_xy, confint = ccf_res
|
||||
else:
|
||||
ccf_xy = ccf_res
|
||||
confint = None
|
||||
|
||||
_plot_corr(
|
||||
ax,
|
||||
title,
|
||||
ccf_xy,
|
||||
confint,
|
||||
lags,
|
||||
irregular,
|
||||
use_vlines,
|
||||
vlines_kwargs,
|
||||
auto_ylims=auto_ylims,
|
||||
skip_lag0_confint=False,
|
||||
**kwargs,
|
||||
)
|
||||
|
||||
return fig
|
||||
|
||||
|
||||
def plot_accf_grid(
|
||||
x,
|
||||
*,
|
||||
varnames=None,
|
||||
fig=None,
|
||||
lags=None,
|
||||
negative_lags=True,
|
||||
alpha=0.05,
|
||||
use_vlines=True,
|
||||
adjusted=False,
|
||||
fft=False,
|
||||
missing="none",
|
||||
zero=True,
|
||||
auto_ylims=False,
|
||||
bartlett_confint=False,
|
||||
vlines_kwargs=None,
|
||||
**kwargs,
|
||||
):
|
||||
"""
|
||||
Plot auto/cross-correlation grid
|
||||
|
||||
Plots lags on the horizontal axis and the correlations
|
||||
on the vertical axis of each graph.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
x : array_like
|
||||
2D array of time-series values: rows are observations,
|
||||
columns are variables.
|
||||
varnames: sequence of str, optional
|
||||
Variable names to use in plot titles. If ``x`` is a pandas dataframe
|
||||
and ``varnames`` is provided, it overrides the column names
|
||||
of the dataframe. If ``varnames`` is not provided and ``x`` is not
|
||||
a dataframe, variable names ``x[0]``, ``x[1]``, etc. are generated.
|
||||
fig : Matplotlib figure instance, optional
|
||||
If given, this figure is used to plot in, otherwise a new figure
|
||||
is created.
|
||||
lags : {int, array_like}, optional
|
||||
An int or array of lag values, used on horizontal axes. Uses
|
||||
``np.arange(lags)`` when lags is an int. If not provided,
|
||||
``lags=np.arange(len(corr))`` is used.
|
||||
negative_lags: bool, optional
|
||||
If True, negative lags are shown on the horizontal axes of plots
|
||||
below the main diagonal.
|
||||
alpha : scalar, optional
|
||||
If a number is given, the confidence intervals for the given level are
|
||||
plotted, e.g. if alpha=.05, 95 % confidence intervals are shown.
|
||||
If None, confidence intervals are not shown on the plot.
|
||||
use_vlines : bool, optional
|
||||
If True, shows vertical lines and markers for the correlation values.
|
||||
If False, only shows markers. The default marker is 'o'; it can
|
||||
be overridden with a ``marker`` kwarg.
|
||||
adjusted : bool
|
||||
If True, then denominators for correlations are n-k, otherwise n.
|
||||
fft : bool, optional
|
||||
If True, computes the ACF via FFT.
|
||||
missing : str, optional
|
||||
A string in ['none', 'raise', 'conservative', 'drop'] specifying how
|
||||
NaNs are to be treated.
|
||||
zero : bool, optional
|
||||
Flag indicating whether to include the 0-lag autocorrelations
|
||||
(which are always equal to 1). Default is True.
|
||||
auto_ylims : bool, optional
|
||||
If True, adjusts automatically the vertical axis limits
|
||||
to correlation values.
|
||||
bartlett_confint : bool, default False
|
||||
If True, use Bartlett's formula to calculate confidence intervals
|
||||
in auto-correlation plots. See the description of ``plot_acf`` for
|
||||
details. This argument does not affect cross-correlation plots.
|
||||
vlines_kwargs : dict, optional
|
||||
Optional dictionary of keyword arguments that are passed to vlines.
|
||||
**kwargs : kwargs, optional
|
||||
Optional keyword arguments that are directly passed on to the
|
||||
Matplotlib ``plot`` and ``axhline`` functions.
|
||||
|
||||
Returns
|
||||
-------
|
||||
Figure
|
||||
If `fig` is None, the created figure. Otherwise, `fig` is returned.
|
||||
Plots on the grid show the cross-correlation of the row variable
|
||||
with the lags of the column variable.
|
||||
|
||||
See Also
|
||||
--------
|
||||
statsmodels.graphics.tsaplots
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import pandas as pd
|
||||
>>> import matplotlib.pyplot as plt
|
||||
>>> import statsmodels.api as sm
|
||||
|
||||
>>> dta = sm.datasets.macrodata.load_pandas().data
|
||||
>>> diffed = dta.diff().dropna()
|
||||
>>> sm.graphics.tsa.plot_accf_grid(diffed[["unemp", "infl"]])
|
||||
>>> plt.show()
|
||||
"""
|
||||
from statsmodels.tools.data import _is_using_pandas
|
||||
|
||||
array_like(x, "x", ndim=2)
|
||||
m = x.shape[1]
|
||||
|
||||
fig = utils.create_mpl_fig(fig)
|
||||
gs = fig.add_gridspec(m, m)
|
||||
|
||||
if _is_using_pandas(x, None):
|
||||
varnames = varnames or list(x.columns)
|
||||
|
||||
def get_var(i):
|
||||
return x.iloc[:, i]
|
||||
else:
|
||||
varnames = varnames or [f'x[{i}]' for i in range(m)]
|
||||
|
||||
x = np.asarray(x)
|
||||
|
||||
def get_var(i):
|
||||
return x[:, i]
|
||||
|
||||
for i in range(m):
|
||||
for j in range(m):
|
||||
ax = fig.add_subplot(gs[i, j])
|
||||
if i == j:
|
||||
plot_acf(
|
||||
get_var(i),
|
||||
ax=ax,
|
||||
title=f'ACF({varnames[i]})',
|
||||
lags=lags,
|
||||
alpha=alpha,
|
||||
use_vlines=use_vlines,
|
||||
adjusted=adjusted,
|
||||
fft=fft,
|
||||
missing=missing,
|
||||
zero=zero,
|
||||
auto_ylims=auto_ylims,
|
||||
bartlett_confint=bartlett_confint,
|
||||
vlines_kwargs=vlines_kwargs,
|
||||
**kwargs,
|
||||
)
|
||||
else:
|
||||
plot_ccf(
|
||||
get_var(i),
|
||||
get_var(j),
|
||||
ax=ax,
|
||||
title=f'CCF({varnames[i]}, {varnames[j]})',
|
||||
lags=lags,
|
||||
negative_lags=negative_lags and i > j,
|
||||
alpha=alpha,
|
||||
use_vlines=use_vlines,
|
||||
adjusted=adjusted,
|
||||
fft=fft,
|
||||
auto_ylims=auto_ylims,
|
||||
vlines_kwargs=vlines_kwargs,
|
||||
**kwargs,
|
||||
)
|
||||
|
||||
return fig
|
||||
|
||||
|
||||
def seasonal_plot(grouped_x, xticklabels, ylabel=None, ax=None):
|
||||
"""
|
||||
Consider using one of month_plot or quarter_plot unless you need
|
||||
irregular plotting.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
grouped_x : iterable of DataFrames
|
||||
Should be a GroupBy object (or similar pair of group_names and groups
|
||||
as DataFrames) with a DatetimeIndex or PeriodIndex
|
||||
xticklabels : list of str
|
||||
List of season labels, one for each group.
|
||||
ylabel : str
|
||||
Lable for y axis
|
||||
ax : AxesSubplot, optional
|
||||
If given, this subplot is used to plot in instead of a new figure being
|
||||
created.
|
||||
"""
|
||||
fig, ax = utils.create_mpl_ax(ax)
|
||||
start = 0
|
||||
ticks = []
|
||||
for season, df in grouped_x:
|
||||
df = df.copy() # or sort balks for series. may be better way
|
||||
df.sort_index()
|
||||
nobs = len(df)
|
||||
x_plot = np.arange(start, start + nobs)
|
||||
ticks.append(x_plot.mean())
|
||||
ax.plot(x_plot, df.values, "k")
|
||||
ax.hlines(
|
||||
df.values.mean(), x_plot[0], x_plot[-1], colors="r", linewidth=3
|
||||
)
|
||||
start += nobs
|
||||
|
||||
ax.set_xticks(ticks)
|
||||
ax.set_xticklabels(xticklabels)
|
||||
ax.set_ylabel(ylabel)
|
||||
ax.margins(0.1, 0.05)
|
||||
return fig
|
||||
|
||||
|
||||
def month_plot(x, dates=None, ylabel=None, ax=None):
|
||||
"""
|
||||
Seasonal plot of monthly data.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
x : array_like
|
||||
Seasonal data to plot. If dates is None, x must be a pandas object
|
||||
with a PeriodIndex or DatetimeIndex with a monthly frequency.
|
||||
dates : array_like, optional
|
||||
If `x` is not a pandas object, then dates must be supplied.
|
||||
ylabel : str, optional
|
||||
The label for the y-axis. Will attempt to use the `name` attribute
|
||||
of the Series.
|
||||
ax : Axes, optional
|
||||
Existing axes instance.
|
||||
|
||||
Returns
|
||||
-------
|
||||
Figure
|
||||
If `ax` is provided, the Figure instance attached to `ax`. Otherwise
|
||||
a new Figure instance.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import statsmodels.api as sm
|
||||
>>> import pandas as pd
|
||||
|
||||
>>> dta = sm.datasets.elnino.load_pandas().data
|
||||
>>> dta['YEAR'] = dta.YEAR.astype(int).astype(str)
|
||||
>>> dta = dta.set_index('YEAR').T.unstack()
|
||||
>>> dates = pd.to_datetime(list(map(lambda x: '-'.join(x) + '-1',
|
||||
... dta.index.values)))
|
||||
>>> dta.index = pd.DatetimeIndex(dates, freq='MS')
|
||||
>>> fig = sm.graphics.tsa.month_plot(dta)
|
||||
|
||||
.. plot:: plots/graphics_tsa_month_plot.py
|
||||
"""
|
||||
|
||||
if dates is None:
|
||||
from statsmodels.tools.data import _check_period_index
|
||||
|
||||
_check_period_index(x, freq="M")
|
||||
else:
|
||||
x = pd.Series(x, index=pd.PeriodIndex(dates, freq="M"))
|
||||
|
||||
# there's no zero month
|
||||
xticklabels = list(calendar.month_abbr)[1:]
|
||||
return seasonal_plot(
|
||||
x.groupby(lambda y: y.month), xticklabels, ylabel=ylabel, ax=ax
|
||||
)
|
||||
|
||||
|
||||
def quarter_plot(x, dates=None, ylabel=None, ax=None):
|
||||
"""
|
||||
Seasonal plot of quarterly data
|
||||
|
||||
Parameters
|
||||
----------
|
||||
x : array_like
|
||||
Seasonal data to plot. If dates is None, x must be a pandas object
|
||||
with a PeriodIndex or DatetimeIndex with a monthly frequency.
|
||||
dates : array_like, optional
|
||||
If `x` is not a pandas object, then dates must be supplied.
|
||||
ylabel : str, optional
|
||||
The label for the y-axis. Will attempt to use the `name` attribute
|
||||
of the Series.
|
||||
ax : matplotlib.axes, optional
|
||||
Existing axes instance.
|
||||
|
||||
Returns
|
||||
-------
|
||||
Figure
|
||||
If `ax` is provided, the Figure instance attached to `ax`. Otherwise
|
||||
a new Figure instance.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> import statsmodels.api as sm
|
||||
>>> import pandas as pd
|
||||
|
||||
>>> dta = sm.datasets.elnino.load_pandas().data
|
||||
>>> dta['YEAR'] = dta.YEAR.astype(int).astype(str)
|
||||
>>> dta = dta.set_index('YEAR').T.unstack()
|
||||
>>> dates = pd.to_datetime(list(map(lambda x: '-'.join(x) + '-1',
|
||||
... dta.index.values)))
|
||||
>>> dta.index = dates.to_period('Q')
|
||||
>>> fig = sm.graphics.tsa.quarter_plot(dta)
|
||||
|
||||
.. plot:: plots/graphics_tsa_quarter_plot.py
|
||||
"""
|
||||
|
||||
if dates is None:
|
||||
from statsmodels.tools.data import _check_period_index
|
||||
|
||||
_check_period_index(x, freq="Q")
|
||||
else:
|
||||
x = pd.Series(x, index=pd.PeriodIndex(dates, freq="Q"))
|
||||
|
||||
xticklabels = ["q1", "q2", "q3", "q4"]
|
||||
return seasonal_plot(
|
||||
x.groupby(lambda y: y.quarter), xticklabels, ylabel=ylabel, ax=ax
|
||||
)
|
||||
|
||||
|
||||
def plot_predict(
|
||||
result,
|
||||
start=None,
|
||||
end=None,
|
||||
dynamic=False,
|
||||
alpha=0.05,
|
||||
ax=None,
|
||||
**predict_kwargs,
|
||||
):
|
||||
"""
|
||||
|
||||
Parameters
|
||||
----------
|
||||
result : Result
|
||||
Any model result supporting ``get_prediction``.
|
||||
start : int, str, or datetime, optional
|
||||
Zero-indexed observation number at which to start forecasting,
|
||||
i.e., the first forecast is start. Can also be a date string to
|
||||
parse or a datetime type. Default is the the zeroth observation.
|
||||
end : int, str, or datetime, optional
|
||||
Zero-indexed observation number at which to end forecasting, i.e.,
|
||||
the last forecast is end. Can also be a date string to
|
||||
parse or a datetime type. However, if the dates index does not
|
||||
have a fixed frequency, end must be an integer index if you
|
||||
want out of sample prediction. Default is the last observation in
|
||||
the sample.
|
||||
dynamic : bool, int, str, or datetime, optional
|
||||
Integer offset relative to `start` at which to begin dynamic
|
||||
prediction. Can also be an absolute date string to parse or a
|
||||
datetime type (these are not interpreted as offsets).
|
||||
Prior to this observation, true endogenous values will be used for
|
||||
prediction; starting with this observation and continuing through
|
||||
the end of prediction, forecasted endogenous values will be used
|
||||
instead.
|
||||
alpha : {float, None}
|
||||
The tail probability not covered by the confidence interval. Must
|
||||
be in (0, 1). Confidence interval is constructed assuming normally
|
||||
distributed shocks. If None, figure will not show the confidence
|
||||
interval.
|
||||
ax : AxesSubplot
|
||||
matplotlib Axes instance to use
|
||||
**predict_kwargs
|
||||
Any additional keyword arguments to pass to ``result.get_prediction``.
|
||||
|
||||
Returns
|
||||
-------
|
||||
Figure
|
||||
matplotlib Figure containing the prediction plot
|
||||
"""
|
||||
from statsmodels.graphics.utils import _import_mpl, create_mpl_ax
|
||||
|
||||
_ = _import_mpl()
|
||||
fig, ax = create_mpl_ax(ax)
|
||||
from statsmodels.tsa.base.prediction import PredictionResults
|
||||
|
||||
# use predict so you set dates
|
||||
pred: PredictionResults = result.get_prediction(
|
||||
start=start, end=end, dynamic=dynamic, **predict_kwargs
|
||||
)
|
||||
mean = pred.predicted_mean
|
||||
if isinstance(mean, (pd.Series, pd.DataFrame)):
|
||||
x = mean.index
|
||||
mean.plot(ax=ax, label="forecast")
|
||||
else:
|
||||
x = np.arange(mean.shape[0])
|
||||
ax.plot(x, mean, label="forecast")
|
||||
|
||||
if alpha is not None:
|
||||
label = f"{1-alpha:.0%} confidence interval"
|
||||
ci = pred.conf_int(alpha)
|
||||
conf_int = np.asarray(ci)
|
||||
|
||||
ax.fill_between(
|
||||
x,
|
||||
conf_int[:, 0],
|
||||
conf_int[:, 1],
|
||||
color="gray",
|
||||
alpha=0.5,
|
||||
label=label,
|
||||
)
|
||||
|
||||
ax.legend(loc="best")
|
||||
|
||||
return fig
|
||||
Reference in New Issue
Block a user