python-pour-finance/08-Analyse-Time-Series/.ipynb_checkpoints/3-Décomposition-ETS-checkp...

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{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"___\n",
"\n",
"<a href='http://www.pieriandata.com'> <img src='../Pierian_Data_Logo.png' /></a>\n",
"___\n",
"<center>*Copyright Pierian Data 2017*</center>\n",
"<center>*For more information, visit us at www.pieriandata.com*</center>"
]
},
{
"cell_type": "code",
"execution_count": 45,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"import pandas as pd\n",
"import numpy as np\n",
"import matplotlib.pyplot as plt\n",
"%matplotlib inline"
]
},
{
"cell_type": "code",
"execution_count": 39,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"airline = pd.read_csv('airline_passengers.csv',index_col=\"Month\")"
]
},
{
"cell_type": "code",
"execution_count": 40,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>Thousands of Passengers</th>\n",
" </tr>\n",
" <tr>\n",
" <th>Month</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>1949-01</th>\n",
" <td>112.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-02</th>\n",
" <td>118.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-03</th>\n",
" <td>132.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-04</th>\n",
" <td>129.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-05</th>\n",
" <td>121.0</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" Thousands of Passengers\n",
"Month \n",
"1949-01 112.0\n",
"1949-02 118.0\n",
"1949-03 132.0\n",
"1949-04 129.0\n",
"1949-05 121.0"
]
},
"execution_count": 40,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"airline.head()"
]
},
{
"cell_type": "code",
"execution_count": 41,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
"text/plain": [
"<matplotlib.axes._subplots.AxesSubplot at 0x119e33208>"
]
},
"execution_count": 41,
"metadata": {},
"output_type": "execute_result"
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"text/plain": [
"<matplotlib.figure.Figure at 0x119d35f60>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"airline.plot()"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## ETS\n",
"\n",
"We can use an additive model when it seems that the trend is more linear and the seasonality and trend components seem to be constant over time (e.g. every year we add 10,000 passengers). A multiplicative model is more appropriate when we are increasing (or decreasing) at a non-linear rate (e.g. each year we double the amount of passengers).\n",
"\n",
"Based off this chart, it looks like the trend in these earlier days is slightly increasing at a higher rate than just linear (although it is a bit hard to tell from this one plot)."
]
},
{
"cell_type": "code",
"execution_count": 51,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"# Get data in correct format\n",
"airline.dropna(inplace=True)\n",
"airline.index = pd.to_datetime(airline.index)"
]
},
{
"cell_type": "code",
"execution_count": 52,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
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"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>Thousands of Passengers</th>\n",
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" <tr>\n",
" <th>Month</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>1949-01-01</th>\n",
" <td>112.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-02-01</th>\n",
" <td>118.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-03-01</th>\n",
" <td>132.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-04-01</th>\n",
" <td>129.0</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1949-05-01</th>\n",
" <td>121.0</td>\n",
" </tr>\n",
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"text/plain": [
" Thousands of Passengers\n",
"Month \n",
"1949-01-01 112.0\n",
"1949-02-01 118.0\n",
"1949-03-01 132.0\n",
"1949-04-01 129.0\n",
"1949-05-01 121.0"
]
},
"execution_count": 52,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"airline.head()"
]
},
{
"cell_type": "code",
"execution_count": 58,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
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"text/plain": [
"<matplotlib.figure.Figure at 0x11a63ea90>"
]
},
"execution_count": 58,
"metadata": {},
"output_type": "execute_result"
},
{
"data": {
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"text/plain": [
"<matplotlib.figure.Figure at 0x11a63ea90>"
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"from statsmodels.tsa.seasonal import seasonal_decompose\n",
"result = seasonal_decompose(airline['Thousands of Passengers'], model='multiplicative')\n",
"result.plot()"
]
},
{
"cell_type": "code",
"execution_count": 59,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"# You may accidentally see two of the same plots here, not to worry,\n",
"# just a small bug with statsmodels function."
]
}
],
"metadata": {
"anaconda-cloud": {},
"kernelspec": {
"display_name": "Python [default]",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.5.3"
}
},
"nbformat": 4,
"nbformat_minor": 2
}