时间序列数据建模分析利器sktime初体验

python实践 同时被 2 个专栏收录
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       时间序列对于我来说可以说是非常熟悉的了,在环保、气象、发电等领域里面都有很多的应用,我自己做的时序建模相关的工作大都是基于回归类的机器学习模型或者是LSTM系列的深度学习模型来做的,里面的各个环节大都需要自己去开发相应的代码才行,那么有没有一个比较成熟完整的模块可以很方便的进行一些时序数据建模的工作呢,答案是有的,sktime顾名思义,就是最大程度借鉴了sklearn的接口模式来开发出来的专门用于时间序列建模的工具库。

      地址在这里,首页截图如下所示:

       安装方式也是很简单的,直接使用pip安装命令即可完成安装。

      官方给出来了两个基础的Demo实例,我们今天就主要基于这两个例子来自己实践一下,首先是时间序列预测,代码如下:

from sktime.datasets import load_airline
from sktime.forecasting.base import ForecastingHorizon
from sktime.forecasting.model_selection import temporal_train_test_split
from sktime.forecasting.theta import ThetaForecaster
from sktime.performance_metrics.forecasting import mean_absolute_percentage_error
from sktime.classification.interval_based import TimeSeriesForestClassifier
from sktime.datasets import load_arrow_head
from sklearn.model_selection import train_test_split
from sklearn.metrics import accuracy_score


'''
Forecasting
'''
y = load_airline()
y_train, y_test = temporal_train_test_split(y)
fh = ForecastingHorizon(y_test.index, is_relative=False)
print('fh: ', fh)
forecaster = ThetaForecaster(sp=12)  # monthly seasonal periodicity
forecaster.fit(y_train)
y_pred = forecaster.predict(fh)
mape=mean_absolute_percentage_error(y_test, y_pred)
print('mape: ', mape)

         airline数据集如下:

Date,Passengers
1949-01,112
1949-02,118
1949-03,132
1949-04,129
1949-05,121
1949-06,135
1949-07,148
1949-08,148
1949-09,136
1949-10,119
1949-11,104
1949-12,118
1950-01,115
1950-02,126
1950-03,141
1950-04,135
1950-05,125
1950-06,149
1950-07,170
1950-08,170
1950-09,158
1950-10,133
1950-11,114
1950-12,140
1951-01,145
1951-02,150
1951-03,178
1951-04,163
1951-05,172
1951-06,178
1951-07,199
1951-08,199
1951-09,184
1951-10,162
1951-11,146
1951-12,166
1952-01,171
1952-02,180
1952-03,193
1952-04,181
1952-05,183
1952-06,218
1952-07,230
1952-08,242
1952-09,209
1952-10,191
1952-11,172
1952-12,194
1953-01,196
1953-02,196
1953-03,236
1953-04,235
1953-05,229
1953-06,243
1953-07,264
1953-08,272
1953-09,237
1953-10,211
1953-11,180
1953-12,201
1954-01,204
1954-02,188
1954-03,235
1954-04,227
1954-05,234
1954-06,264
1954-07,302
1954-08,293
1954-09,259
1954-10,229
1954-11,203
1954-12,229
1955-01,242
1955-02,233
1955-03,267
1955-04,269
1955-05,270
1955-06,315
1955-07,364
1955-08,347
1955-09,312
1955-10,274
1955-11,237
1955-12,278
1956-01,284
1956-02,277
1956-03,317
1956-04,313
1956-05,318
1956-06,374
1956-07,413
1956-08,405
1956-09,355
1956-10,306
1956-11,271
1956-12,306
1957-01,315
1957-02,301
1957-03,356
1957-04,348
1957-05,355
1957-06,422
1957-07,465
1957-08,467
1957-09,404
1957-10,347
1957-11,305
1957-12,336
1958-01,340
1958-02,318
1958-03,362
1958-04,348
1958-05,363
1958-06,435
1958-07,491
1958-08,505
1958-09,404
1958-10,359
1958-11,310
1958-12,337
1959-01,360
1959-02,342
1959-03,406
1959-04,396
1959-05,420
1959-06,472
1959-07,548
1959-08,559
1959-09,463
1959-10,407
1959-11,362
1959-12,405
1960-01,417
1960-02,391
1960-03,419
1960-04,461
1960-05,472
1960-06,535
1960-07,622
1960-08,606
1960-09,508
1960-10,461
1960-11,390
1960-12,432

         整体代码很精简,但是开发的逻辑思路又恨清晰,先加载数据集,之后划分为训练集-测试集,之后调用模型进行预测,最后计算mape指标并输出。

          接下来是基于时间序列数据的分类任务实践,代码如下:

from sktime.datasets import load_airline
from sktime.forecasting.base import ForecastingHorizon
from sktime.forecasting.model_selection import temporal_train_test_split
from sktime.forecasting.theta import ThetaForecaster
from sktime.performance_metrics.forecasting import mean_absolute_percentage_error
from sktime.classification.interval_based import TimeSeriesForestClassifier
from sktime.datasets import load_arrow_head
from sklearn.model_selection import train_test_split
from sklearn.metrics import accuracy_score




'''
Time Series Classification
'''
X, y = load_arrow_head(return_X_y=True)
X_train, X_test, y_train, y_test = train_test_split(X, y)
classifier = TimeSeriesForestClassifier()
classifier.fit(X_train, y_train)
y_pred = classifier.predict(X_test)
accuracy=accuracy_score(y_test, y_pred)
print('accuracy: ', accuracy)

        两个任务的基本处理逻辑是一样的,arrow数据集如下:

-1.9630089,-1.9578249,-1.9561449,-1.9382889,-1.8966569,-1.8698569,-1.8387049,-1.8122888,-1.7364328,-1.6733288,-1.6230727,-1.5858727,-1.5438407,-1.4567846,-1.3787206,-1.2924965,-1.2169605,-1.1089764,-0.96868834,-0.83160026,-0.76030422,-0.59963213,-0.46625605,-0.30638396,-0.22684791,-0.089759829,0.041376247,0.23203876,0.38728525,0.41471247,0.51567412,0.62614779,0.72741025,0.75345186,0.78001988,0.83840391,0.88817034,0.91981996,0.93344237,0.9834616,1.04958,1.1308921,1.1898697,1.2635882,1.2976586,1.4139322,1.4014314,1.4443339,1.4868475,1.4448603,1.4448603,1.4635131,1.4635131,1.4424827,1.4822811,1.5221659,1.5411515,1.5181995,1.4952875,1.4739563,1.4479355,1.3584794,1.2685802,1.2195033,1.1558585,1.0848617,0.97762959,0.94645038,0.93098797,0.80343589,0.73402625,0.67427262,0.61799258,0.49093171,0.40673646,0.34117002,0.2967364,0.27182598,0.24302436,0.25131557,0.26468518,0.28406759,0.27179398,0.23864996,0.15689631,0.09680028,-0.05662381,-0.16731187,-0.28022394,-0.34350398,-0.41529602,-0.47657606,-0.53492809,-0.59041612,-0.57228811,-0.62446414,-0.65118416,-0.67648017,-0.67852817,-0.7229122,-0.80680025,-0.82627226,-0.82524826,-0.84297627,-0.86462428,-0.84484827,-0.82256026,-0.84185627,-0.79542424,-0.74392021,-0.68369618,-0.66182416,-0.62396814,-0.64110415,-0.57260811,-0.53137609,-0.51996808,-0.47995206,-0.44576004,-0.37147199,-0.33326397,-0.31019196,-0.40185601,-0.48315206,-0.53822409,-0.62452814,-0.67971217,-0.65051216,-0.62288014,-0.5513601,-0.50033607,-0.45872004,-0.46732805,-0.46492805,-0.50020807,-0.48531206,-0.47755206,-0.48851206,-0.50958407,-0.53227209,-0.57872011,-0.61390414,-0.65249616,-0.66310416,-0.67270417,-0.70216019,-0.7296482,-0.73483221,-0.74185621,-0.70041619,-0.67758417,-0.67374417,-0.63001614,-0.57931212,-0.57552011,-0.60944013,-0.5477921,-0.51206408,-0.48196806,-0.44331204,-0.42489602,-0.380352,-0.32425597,-0.25411193,-0.15044786,-0.13931186,-0.046799804,0.042720248,0.22662116,0.42361647,0.55557335,0.56090295,0.57435896,0.53941494,0.50561332,0.49451091,0.49604371,0.57437016,0.650055,0.77233027,0.76694467,0.85275912,0.86693353,0.92638636,0.94545038,1.0648216,1.1177545,1.1461961,1.1855593,1.1950825,1.2903274,1.3201882,1.3473434,1.3915018,1.4367611,1.4191547,1.4416795,1.4416795,1.4466619,1.4690155,1.5308843,1.4739563,1.4739563,1.4397739,1.3986362,1.3962362,1.3768282,1.3597226,1.2935594,1.1855625,1.1610233,1.0883689,1.0312904,0.91713516,0.79701509,0.76474307,0.67662462,0.66052221,0.63566299,0.59247737,0.56743895,0.51975573,0.43992688,0.41277006,0.25329957,0.1350883,-0.0090397822,-0.11716785,-0.17430388,-0.31575996,-0.48673606,-0.61859214,-0.68387218,-0.81899226,-0.95635234,-1.0826724,-1.1414404,-1.2535525,-1.3566566,-1.4456006,-1.5298087,-1.5838567,-1.6553287,-1.7191528,-1.7508808,-1.7962728,-1.8413449,-1.8842889,-1.9053929,-1.9239049,-1.9091529,0
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      完整代码如下所示:

from sktime.datasets import load_airline
from sktime.forecasting.base import ForecastingHorizon
from sktime.forecasting.model_selection import temporal_train_test_split
from sktime.forecasting.theta import ThetaForecaster
from sktime.performance_metrics.forecasting import mean_absolute_percentage_error
from sktime.classification.interval_based import TimeSeriesForestClassifier
from sktime.datasets import load_arrow_head
from sklearn.model_selection import train_test_split
from sklearn.metrics import accuracy_score


'''
Forecasting
'''
y = load_airline()
y_train, y_test = temporal_train_test_split(y)
fh = ForecastingHorizon(y_test.index, is_relative=False)
print('fh: ', fh)
forecaster = ThetaForecaster(sp=12)  # monthly seasonal periodicity
forecaster.fit(y_train)
y_pred = forecaster.predict(fh)
mape=mean_absolute_percentage_error(y_test, y_pred)
print('mape: ', mape)



'''
Time Series Classification
'''
X, y = load_arrow_head(return_X_y=True)
X_train, X_test, y_train, y_test = train_test_split(X, y)
classifier = TimeSeriesForestClassifier()
classifier.fit(X_train, y_train)
y_pred = classifier.predict(X_test)
accuracy=accuracy_score(y_test, y_pred)
print('accuracy: ', accuracy)

       结果输出如下所示:

     初步使用起来还是比较方便的,后面有时间继续研究下。

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