Gedevan-Aleksizde

library(tidyr)    # ver. 0.3.1.
library(dplyr)    # ver. 0.4.3
library(rstan)    # ver. 2.9.0
library(forecast) # ver. 6.2

# 並列化させる設定
rstan_options(auto_write = TRUE)
options(mc.cores = parallel::detectCores())

N <- 2              # num series

Gedevan-Aleksizde

library(tidyr)    # ver. 0.3.1.
library(dplyr)    # ver. 0.4.3
library(rstan)    # ver. 2.9.0
library(forecast) # ver. 6.2
library(zoo)      # ver. 1.7-11
library(gdata)    # ver. 2.13.3
library(loo)      # ver. 0.1.6

Gedevan-Aleksizde

library(tidyr)    # ver. 0.3.1.
library(dplyr)    # ver. 0.4.3
library(rstan)    # ver. 2.9.0
library(forecast) # ver. 6.2
rstan_options(auto_write = TRUE)
options(mc.cores = parallel::detectCores())

# VARMA(1,1) N=2
N <- 2              # num series
Time <- 400         # span

Gedevan-Aleksizde

/* VARMA (p,q) */

data {
	int<lower=1> T ; // num observations
	int<lower=1> N ; // num series
	int<lower=0> p ; // AR(p)
	int<lower=0> q ; // MA(q)
	vector[N] y[T] ; // observed outputs
	int<lower=0> T_forecast ; // forecasting span
}

Gedevan-Aleksizde

library(tidyr)    # ver. 0.3.1.
library(dplyr)    # ver. 0.4.3
library(rstan)    # ver. 2.9.0
library(forecast) # ver. 6.2

# 並列化させる設定
rstan_options(auto_write = TRUE)
options(mc.cores = parallel::detectCores())

setwd("~/Documents/blog/20160212_StanVARMA/") # 任意のフォルダに書き換える 

Gedevan-Aleksizde

/* VARMA (p,q) */

data {
	int<lower=1> T ; // num observations
	int<lower=1> N ; // num series
	int<lower=0> p ; // AR(p)
	int<lower=0> q ; // MA(q)
	vector[N] y[T] ; // observed outputs
	int<lower=0> T_forecast ; // forecasting span
}

Gedevan-Aleksizde

/* VARMA (1,1) */

data {
	int<lower=1> T ; // num observations
	int<lower=1> N ; // num series
	vector[N] y[T] ; // observed outputs
	int<lower=0> T_forecast ; // forecasting span
}

parameters {

Gedevan-Aleksizde

library(dplyr)
library(tidyr)
library(ggplot2)
library(rstan)
library(loo)

# working directory
work.dir <- "HOGEHOGE/20160406_RFM"

df <- read.csv(paste(work.dir, "rfm.csv",sep="/"), stringsAsFactors = F)

Gedevan-Aleksizde

# !/usr/bin/env python3
# -*- coding: utf-8 -*-
# coding: utf-8

# In[1]:

get_ipython().magic('matplotlib inline'
import pystan        # ver. 2.9.0.0
import numpy  as np  # ver.1.11.0
import pandas as pd  # ver. 0.18.0 # xlrd, mumxpr module needed

Gedevan-Aleksizde

require(stats4) # 3.3.1

nloglik_lnormal <- function(lmu, lsigma){
  # df columns: b.u(pper border), b.l(ower border), n(umber of households)
  return(-sum(with(temp,
                   n*log(plnorm(b.u, meanlog=lmu, sdlog = exp(lsigma))
                         - plnorm(b.l, meanlog=lmu, sdlog = exp(lsigma))
                   )
                   -log(n))
  ) - sum(log(1:sum(df$n)))