我正在尝试使用python中的ARIMA建模来建模时间序列数据。我对默认数据序列使用函数statsmodels.tsa.stattools.arma_order_select_ic
,得到p和q的值分别为2,2。代码如下
dates=pd.date_range('2010-11-1','2011-01-30')
dataseries=Series([22,624,634,774,726,752,38,534,722,678,750,690,686,26,708,606,632,632,632,584,28,576,474,536,512,464,436,24,448,408,528,
602,638,640,26,658,548,620,534,422,482,26,616,612,622,598,614,614,24,644,506,522,622,526,26,22,738,582,592,408,466,568,
44,680,652,598,642,714,562,38,778,796,742,460,610,42,38,732,650,670,618,574,42,22,610,456,22,630,408,390,24],index=dates)
df=pd.DataFrame({'Consumption':dataseries})
df
sm.tsa.arma_order_select_ic(df, max_ar=4, max_ma=2, ic='aic')
结果如下:
{'aic': 0 1 2
0 1262.244974 1264.052640 1264.601342
1 1264.098325 1261.705513 1265.604662
2 1264.743786 1265.015529 1246.347400
3 1265.427440 1266.378709 1266.430373
4 1266.358895 1267.674168 NaN, 'aic_min_order': (2, 2)}
但当我使用奥古斯丁-迪基-富勒检验时,检验结果表明该序列不是平稳的。
d_order0=sm.tsa.adfuller(dataseries)
print 'adf: ', d_order0[0]
print 'p-value: ', d_order0[1]
print'Critical values: ', d_order0[4]
if d_order0[0]> d_order0[4]['5%']:
print 'Time Series is nonstationary'
print d
else:
print 'Time Series is stationary'
print d
输出如下:
adf: -1.96448506629
p-value: 0.302358888762
Critical values: {'5%': -2.8970475206326833, '1%': -3.5117123057187376, '10%': -2.5857126912469153}
Time Series is nonstationary
1
当我用R交叉验证结果时,它表明默认序列是平稳的。那么为什么奥古斯丁-迪基-富勒检验会产生非平稳序列呢?
很明显你的数据有季节性。然后需要仔细地进行arma模型和平稳性测试。
显然,python和R之间adf测试的差异是因为每个软件使用的默认lag的数量。
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