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python - ARIMA 模型的不可逆

转载 作者:太空狗 更新时间:2023-10-29 17:49:49 27 4
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我正在尝试编写代码来生成一系列 arima 模型并比较不同的模型。代码如下。

p=0
q=0
d=0
pdq=[]
aic=[]

for p in range(6):
for d in range(2):
for q in range(4):
arima_mod=sm.tsa.ARIMA(df,(p,d,q)).fit(transparams=True)

x=arima_mod.aic


x1= p,d,q
print (x1,x)

aic.append(x)
pdq.append(x1)



keys = pdq
values = aic
d = dict(zip(keys, values))
print (d)

minaic=min(d, key=d.get)

for i in range(3):
p=minaic[0]
d=minaic[1]
q=minaic[2]
print (p,d,q)

其中'df'是时间序列数据,输出如下,

(0, 0, 0) 1712.55522759
(0, 0, 1) 1693.436483044094
(0, 0, 2) 1695.2226857997066
(0, 0, 3) 1690.9437925956158
(0, 1, 0) 1712.74161799
(0, 1, 1) 1693.0408994539348
(0, 1, 2) 1677.2235087182808
(0, 1, 3) 1679.209810237856
(1, 0, 0) 1700.0762847127553
(1, 0, 1) 1695.353190569905
(1, 0, 2) 1694.7907607467605
(1, 0, 3) 1692.235442716487
(1, 1, 0) 1714.5088374907164

ValueError: The computed initial MA coefficients are not invertible
You should induce invertibility, choose a different model order, or you can
pass your own start_params.

即对于顺序 (1,1,1),模型是不可逆的。所以过程就此停止。我怎样才能跳过 p、d、q 的这种不可逆组合并继续其他组合

最佳答案

使用try: ... except: ... 捕获异常并继续

for p in range(6):
for d in range(2):
for q in range(4):
try:
arima_mod=sm.tsa.ARIMA(df,(p,d,q)).fit(transparams=True)

x=arima_mod.aic

x1= p,d,q
print (x1,x)

aic.append(x)
pdq.append(x1)
except:
pass
# ignore the error and go on

关于python - ARIMA 模型的不可逆,我们在Stack Overflow上找到一个类似的问题: https://stackoverflow.com/questions/30901460/

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