时间序列数据建模分析利器sktime初体验

港控/mmm° 2022-10-05 01:49 562阅读 0赞

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][Link 1]，首页截图如下所示：

![watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L1RvZ2V0aGVyX0Na_size_16_color_FFFFFF_t_70][]

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：

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：

结果输出如下所示：

![20210605165259956.png][]

初步使用起来还是比较方便的，后面有时间继续研究下。

[Link 1]: https://github.com/alan-turing-institute/sktime
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[20210605165259956.png]: /images/20221005/3538fbc0f12d475ca685b38d977a5f7c.png