In src.hybrid_systems methods there are training and test procedures for Residual Hybrid Systems
There are Hybrid Systems that performs:
- Linear Combination based on Zhang [1], which is available on additive_hybrid_model method;
- Nonlinear Combination based on Santos Jr et al. [2], which is available on nolic_model method;
In example_of_usage.py there are examples of usage of the methods. This file do not perform parameter optimization. The functions with parameter optimization will be added in the future.
The src.time_series_functions.py has methods that can help the development of time series forecast models.
Create a time lag of univariate series. Parameters:
- df:one column time series (pandas data frame);
- lag_size: size of the time lag.
Returns:
- Lagged time series (pandas data frame).
Usage:
import pandas as pd
import time_series_functions as tsf
ts = pd.read_csv(time_series_path,sep=',',names = ['actual'],dtype='float64') # open univariate time series
ts_windowed = tsf.create_windowing(df=ts,lag_size=3)
Generate time series metrics.
The metrics are:
- MSE - Mean Square Error:
- RMSE - Root Mean Square Error :
- MAPE - Mean Absolute Percentage Error:
- SMAPE - Symmetric Mean Absolute Percentage Error:
- MAE - Mean Absolute Error:
- theil - U of Theil Statistics:
- ARV - Average Relative Variance:
- IA - Index of Agreement:
- POCID - Prediction of Change in Direction:
More details about the metrics implementation are available in [3], [4], and [5].
Parameters:
- y_true: target value (numpy array);
- y_pred: predicted value (numpy array).
Returns:
- The dictionary of metrics
Usage:
import time_series_functions as tsf
gerenerate_metric_results(y_true, y_pred)
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Zhang, G. Peter. "Time series forecasting using a hybrid ARIMA and neural network model." Neurocomputing 50 (2003): 159-175. $\hookleftarrow$
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Domingos, S. de O., João FL de Oliveira, and Paulo SG de Mattos Neto. "An intelligent hybridization of ARIMA with machine learning models for time series forecasting." Knowledge-Based Systems 175 (2019): 72-86. $\hookleftarrow$
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Silva, David A., et al. "Measurement of fitness function efficiency using data envelopment analysis." Expert Systems with Applications 41.16 (2014): 7147-7160. $\hookleftarrow$
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de Mattos Neto, Paulo SG, George DC Cavalcanti, and Francisco Madeiro. "Nonlinear combination method of forecasters applied to PM time series." Pattern Recognition Letters 95 (2017): 65-72. $\hookleftarrow$
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Silva, Eraylson G., et al. "Improving the accuracy of intelligent forecasting models using the Perturbation Theory." 2018 International Joint Conference on Neural Networks (IJCNN). IEEE, 2018. $\hookleftarrow$