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[Auto Arima] Auto_Arima related functions may predict incorrect results? #5
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zoziha
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Jun 23, 2021
auto_arima_test failure rafat/ctsa#5
In the second case, it seems to be a logarithmic issue. The output
values are the log values of the real values. I'll modify the test
code if that's where the error is.
…On 6/23/21, zoziha ***@***.***> wrote:
Hello, I tried your `ctsa` package, but found that it seems that the
prediction result from the `auto_arima` related functions is a bit
incorrect. Can you check it? Thank you~
## auto_arima_test1
```
0.05
Exit Status
Return Code : 1
Exit Message : Probable Success
ARIMA Seasonal Order : ( 1, 1, 1) * (0, 0, 0)
Coefficients Value Standard Error
AR1 0.215257 0.10121
MA1 0.819075 0.0631273
MEAN 0
TREND 0
SIGMA^2 0.0994924
ESTIMATION METHOD : CSS-MLE
OPTIMIZATION METHOD : BFGS
AIC criterion : 108.68
BIC criterion : 118.514
AICC criterion : 108.805
Log Likelihood : -51.3401
Auto ARIMA Parameters
Approximation: FALSE
Stepwise: FALSE
Predicted Values : 17.4807 17.4975 17.5011 17.5019 17.5021
Standard Errors : 0.313811 0.337541 0.347725 0.355671 0.363058
```
![image](https://user-images.githubusercontent.com/32035096/123100736-f1e47a00-d465-11eb-964b-1c05cfc668f2.png)
## auto_arima_test2
```fortran
0.05
p: 2 d: 1 q: 2 P: 1 D: 1 Q: 1 Drift/Mean: 0 ic: -398.699
p: 0 d: 1 q: 0 P: 0 D: 1 Q: 0 Drift/Mean: 0 ic: -354.135
p: 1 d: 1 q: 0 P: 1 D: 1 Q: 0 Drift/Mean: 0 ic: -399.221
p: 0 d: 1 q: 1 P: 0 D: 1 Q: 1 Drift/Mean: 0 ic: -403.494
p: 0 d: 1 q: 1 P: 0 D: 1 Q: 0 Drift/Mean: 0 ic: -369.379
p: 0 d: 1 q: 1 P: 1 D: 1 Q: 1 Drift/Mean: 0 ic: -400.008
p: 0 d: 1 q: 1 P: 0 D: 1 Q: 2 Drift/Mean: 0 ic: -401.604
p: 0 d: 1 q: 1 P: 1 D: 1 Q: 0 Drift/Mean: 0 ic: -401.702
p: 0 d: 1 q: 1 P: 1 D: 1 Q: 2 Drift/Mean: 0 ic: -407.71
p: 0 d: 1 q: 1 P: 2 D: 1 Q: 2 Drift/Mean: 0 ic: -410.034
p: 0 d: 1 q: 1 P: 2 D: 1 Q: 1 Drift/Mean: 0 ic: -410.037
p: 0 d: 1 q: 1 P: 2 D: 1 Q: 0 Drift/Mean: 0 ic: -411.992
p: 0 d: 1 q: 0 P: 2 D: 1 Q: 0 Drift/Mean: 0 ic: -398.065
p: 1 d: 1 q: 1 P: 2 D: 1 Q: 0 Drift/Mean: 0 ic: -409.417
p: 0 d: 1 q: 2 P: 2 D: 1 Q: 0 Drift/Mean: 0 ic: -410.088
p: 1 d: 1 q: 0 P: 2 D: 1 Q: 0 Drift/Mean: 0 ic: -408.77
Exit Status
Return Code : 1
Exit Message : Probable Success
ARIMA Seasonal Order : ( 0, 1, 1) * (2, 1, 0)
Coefficients Value Standard Error
MA1 0.425617 0.0862409
SAR1 -0.558599 0.0895498
SAR2 -0.197882 0.0973616
MEAN 0
TREND 0
SIGMA^2 0.00140784
ESTIMATION METHOD : CSS-MLE
OPTIMIZATION METHOD : BFGS
AIC criterion : -479.278
BIC criterion : -467.777
AICC criterion : -478.961
Log Likelihood : 243.639
Auto ARIMA Parameters
Approximation: TRUE
Stepwise: TRUE
Forecast : 5 Point Look Ahead
Predicted Values : 6.11024 6.05009 6.16814 6.1935 6.23349
Standard Errors : 1.03779 1.0437 1.04894 1.05371 1.05811
```
![image](https://user-images.githubusercontent.com/32035096/123100648-df6a4080-d465-11eb-9f9c-0655688b5459.png)
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#5
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Hello, your open source Line 2 in d0c7045
ctsa /fortran binding interface package (fortsa )?Hope to hear from you~ |
Hi,
The license is BSD-3. Please feel free to use it as you please. I'll
be looking forward to your Fortran interface.
Rafat
…On 7/9/21, zoziha ***@***.***> wrote:
Hello, I think your open source `ctsa` is very good. It is a comprehensive
and modern time series analysis package. `Fortran` is rebuilding its
community. I personally want to use your `ctsa` package and set up the
c-fortran interface and open it up in
[zoziha/fortsa](https://github.com/zoziha/fortsa).
But I noticed that your license file is BSD-3, and there is an extra
statement: `All rights reserved` (see
https://github.com/rafat/ctsa/blob/d0c7045eabf73cf5753eee9324046e60b930af2b/COPYRIGHT#L2).
Does this create ambiguity with BSD-3 license? Do I need to get your
permission very clearly to release the open source `ctsa`/fortran binding
interface package (`fortsa`).
Hope to hear from you~
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#5 (comment)
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Hello, @rafat I tried your
ctsa
package, but found that it seems that the prediction result from theauto_arima
related functions is a bit incorrect. Can you check it? Thank you~auto_arima_test1
auto_arima_test2
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