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@adamgreenhall
Created January 25, 2012 22:33
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fitting parameters for an ARMA model using statsmodels
time wind
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# from scikits.statsmodels.tsa.stattools import acf,pacf
# from scikits.statsmodels.tsa.arima_model import ARMA
from scikits.statsmodels.tsa.arima_model import ARMA
from numpy import array
import csv
def csv2dicts(filename):
def convert_str2num(s):
s=s.strip()
try: return int(s)
except ValueError:
try: return float(s)
except ValueError: return s
def valid_cell(name,val): return name is not None and val.strip()!=''
with open(filename,'r') as csvfile:
try: dialect = csv.Sniffer().sniff(csvfile.read(4048))
except: dialect = csv.excel
csvfile.seek(0)
raw_data=list(csv.DictReader(csvfile, dialect=dialect))
data=[{name:convert_str2num(val) for name,val in row.items() if valid_cell(name,val)} for row in raw_data]
return data
filename='ercot2010_01.csv'
data=csv2dicts(filename)
actual=array([row['wind'] for row in data])
model=ARMA(actual)
# fit=model.fit(order=(3, 1)) #works just fine
fit=model.fit(order=(4, 1))
print 'AR params:',fit.arparams
print 'MA params:', fit.maparams
print fit
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