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Python Data Analysis

Python Data Analysis

By : Ivan Idris
3.9 (16)
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Python Data Analysis

Python Data Analysis

3.9 (16)
By: Ivan Idris

Overview of this book

This book is for programmers, scientists, and engineers who have knowledge of the Python language and know the basics of data science. It is for those who wish to learn different data analysis methods using Python and its libraries. This book contains all the basic ingredients you need to become an expert data analyst.
Table of Contents (22 chapters)
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Python Data Analysis
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
Key Concepts
Online Resources
Index

ARMA models


ARMA models are often used to forecast a time series. These models combine autoregressive and moving average models (see http://en.wikipedia.org/wiki/Autoregressive%E2%80%93moving-average_model). In moving average models, we assume that a variable is the sum of the mean of the time series and a linear combination of noise components.

Note

The autoregressive and moving average models can have different orders. In general, we can define an ARMA model with p autoregressive terms and q moving average terms as follows:

In the preceding formula, just like in the autoregressive model formula, we have a constant and a white noise component; however, we try to fit the lagged noise components as well.

Fortunately, it's possible to use the statsmodelssm.tsa.ARMA() routine for this analysis. Fit the data to an ARMA(10,1) model as follows:

model = sm.tsa.ARMA(df, (10,1)).fit()

Perform a forecast (statsmodels uses strings a lot):

prediction = model.predict('1975', str(years[-1]), dynamic=True)

Refer...

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