TimeSeries Toolbox

User Guide

  • Installation
    • Requirements
    • Installing from PyPI
    • Installing from source
    • Optional dependencies
    • Verifying the installation
  • Quick Start
    • Step 1 — Choose a model class
    • Step 2 — Select model order
    • Step 3 — Estimate parameters
    • Step 4 — Validate the model
    • Transfer function model (BJTF)
  • Model Reference
    • Univariate models (no external input)
      • AR — Autoregressive
      • MA — Moving Average
      • ARMA — Autoregressive Moving Average
      • ARIMA — ARMA with Integration
      • Seasonal ARIMA
    • Transfer function models (with external input)
      • ARX — Autoregressive with eXogenous input
      • ARMAX — ARX with Moving-Average noise
      • BJTF — Box-Jenkins Transfer Function
      • Regression
    • Model order arguments
    • Estimation
  • Examples
    • Running the examples
    • Example 1 — ARMA model (Series A)
    • Example 2 — ARIMA model (Series C)
    • Example 3 — Seasonal ARIMA (Series G)
    • Example 4 — BJTF / ARMAX / ARX (Series J)
    • Benchmark datasets

Example Notebooks

  • Example Notebooks
    • ARMA Model — System Identification Walkthrough
      • Series A — Chemical Concentration
      • Step 1 — Choose a Model Class
      • Step 2 — Select Model Order
        • GPAC Interpretation
      • Step 3 — Estimate Parameters
      • Step 4 — Validate the Model
        • Check 1 — Theoretical vs Experimental ACF
      • Conclusion
      • Automated Model Selection with selpmod
    • ARIMA Model — System Identification Walkthrough
      • Series C — Chemical Temperature
      • Step 1 — Choose a Model Class
        • Stationarity Check
      • Step 2 — Select Model Order
        • GPAC Interpretation
      • Step 3 — Estimate Parameters
      • Step 4 — Validate the Model
        • Check 1 — Theoretical vs Experimental ACF
      • Conclusion
      • Automated Model Selection with selpmod
    • Seasonal ARIMA Model — System Identification Walkthrough
      • Seasonal ARIMA Model Structure
      • Step 1 — Choose a Model Class
        • Log Transform
        • Double Differencing
        • Differencing Progression
      • Step 2 — Select Model Order
        • ACF/PACF/GPAC Interpretation
      • Step 3 — Estimate Parameters
      • Step 4 — Validate the Model
        • Check 1 — Theoretical vs Experimental ACF
        • Check 2 — Residual ACF
      • Step 5 — Automated Model Selection with selpmod
      • Conclusion
    • BJTF Model — System Identification Walkthrough
      • BJTF Model Structure
      • Step 1 — Choose a Model Class
      • Step 2 — Select Model Order
        • Step 2a — Univariate Analysis of the Input u
        • ACF/GPAC Interpretation for u
        • Step 2b — Fit and Validate the ARMA(0, 3) Model for u
        • Step 2c — Multivariate Analysis (u → y)
        • Interpretation and Model Order Selection
      • Step 3 — Estimate Parameters
      • Step 4 — Validate the Model
        • Check 2 — Theoretical vs Experimental Impulse Response
      • Step 5 — Automated Model Selection with selpmod
      • Comparison: ARMAX Model
      • Comparison: ARX Model
      • Conclusion

Function Reference

  • TimeSeriesSRC — User Guide
    • Contents
    • 1. Model Building
      • pmodel
      • estimate
      • selpmod
      • pmodel.predict
      • pmodsim
    • 2. Model Assessment
      • pmodmse
      • pmodaic
      • pmodbic
      • pmoddisp
      • pmodpzplot
    • 3. Time Series Analysis
      • uniAnal
      • multiAnal
    • 4. Diagnostic Tests
      • uniChi
      • multiChi
    • 5. Theoretical Tools
      • partoacf
      • partoacf_pmod
    • 6. Lower-Level Utilities
      • xcorr
      • gpac
      • parcor
      • impest
      • sdiff
      • chisqrdf
      • plotacf
    • See Also

API Reference

  • API Reference
    • Top-level API
      • Model building
        • TimeSeriesSRC.pmodel
        • TimeSeriesSRC.estimate
        • TimeSeriesSRC.selpmod
      • Model assessment
        • TimeSeriesSRC.pmoddisp
        • TimeSeriesSRC.pmodsim
        • TimeSeriesSRC.pmodaic
        • TimeSeriesSRC.pmodbic
        • TimeSeriesSRC.pmodmse
      • Time series analysis
        • TimeSeriesSRC.uniAnal
        • TimeSeriesSRC.multiAnal
        • TimeSeriesSRC.uniChi
        • TimeSeriesSRC.multiChi
      • Utilities
        • TimeSeriesSRC.sdiff
        • TimeSeriesSRC.xcorr
        • TimeSeriesSRC.parcor
        • TimeSeriesSRC.partoacf
        • TimeSeriesSRC.gpac
        • TimeSeriesSRC.impest
    • Model sub-package
      • Parameters
        • Parameters.epochs
        • Parameters.goal
        • Parameters.min_grad
        • Parameters.mu
        • Parameters.mu_dec
        • Parameters.mu_inc
        • Parameters.mu_max
        • Parameters.show
        • Parameters.max_time
        • Parameters.delta
      • pmodel
        • pmodel.estimParams
        • pmodel.set_data()
        • pmodel.new_model()
        • pmodel.newregr()
        • pmodel.newbjtf()
        • pmodel.newarx()
        • pmodel.newarmax()
        • pmodel.newarma()
        • pmodel.init()
        • pmodel.initzero()
        • pmodel.initrandn()
        • pmodel.initrand()
        • pmodel.getmX()
        • pmodel.getmXregr()
        • pmodel.getmXbjtf()
        • pmodel.getmXarx()
        • pmodel.getmXarmax()
        • pmodel.getmXarma()
        • pmodel.setmX()
        • pmodel.setmXregr()
        • pmodel.setmXbjtf()
        • pmodel.setmXarx()
        • pmodel.setmXarmax()
        • pmodel.setmXarma()
        • pmodel.predict()
        • pmodel.predregr()
        • pmodel.predbjtf()
        • pmodel.predarx()
        • pmodel.predarmax()
        • pmodel.predarma()
        • pmodel.predictdf()
        • pmodel.preddfbjtf()
        • pmodel.preddfarma()
        • pmodel.getGHdf()
        • pmodel.getGHdfbjtf()
        • pmodel.getGHdfarma()
        • pmodel.getGH()
        • pmodel.getGHbjtf()
        • pmodel.getGHarx()
        • pmodel.getGHarmax()
        • pmodel.getGHarma()
      • estimate()
      • func_selpmod()
      • func_pmoddisp()
      • func_pmodpzplot()
      • func_pmodsim()
      • func_pmodaic()
      • func_pmodbic()
      • func_pmodmse()
      • plotindex()
      • reset_plotindex()
      • func_estimlm()
      • func_jacobian()
    • basefunctions sub-package
      • func_uniAnal()
      • func_multiAnal()
      • func_uniChi()
      • func_multiChi()
      • func_xcorr()
      • func_parcor()
      • func_partoacf()
      • func_partoacf_pmod()
      • func_gpac()
      • func_plotgpac()
      • func_plotacf()
      • func_impest()
      • func_sdiff()
      • func_makerow()
      • func_chisqrdf()
    • TimeSeries sub-package
      • TimesSeries
        • TimesSeries.makerow()
        • TimesSeries.xcorr()
        • TimesSeries.partoacf()
        • TimesSeries.parcor()
        • TimesSeries.gpac()
        • TimesSeries.sdiff()
        • TimesSeries.chisqrdf()
        • TimesSeries.plotgpac()
        • TimesSeries.impest()
        • TimesSeries.uniAnal()
        • TimesSeries.multiAnal()
        • TimesSeries.gcombvec()

About

  • Changelog
    • 0.1.0 (2024)
TimeSeries Toolbox
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© Copyright 2024, Amir Jafari, Martin Hagan, Lilian S. De Rivera.

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