快速搜索Holt-Winters alpha / beta / gamma参数的网格

时间:2019-01-25 07:37:09

标签: python optimization grid-search hyperparameters holtwinters

我已经通过脚本中的Statsmodels实现了Holt-Winters模型,可以对其进行预测,但是我手动设置了alpha beta和gamma超参数。根据您的说法,用我的数据集获取那些参数的理想值的最快方法是什么,以及如何实现它?像Auto Arima一样,Holt-Winters是否有任何自动优化?您可以在下面找到我的Python代码:

示例文件:

https://ufile.io/e3zqs

from statsmodels.tsa.api import ExponentialSmoothing
import pandas as pd
import numpy as np


df = pd.read_excel("C:\\Users\\YannickLECROART\\Documents\\Python\\temprennes.xlsx", index_col=0)

df = df.fillna(0)

df.index = pd.to_datetime(df.index)

# our guessed parameters
alpha = 0.4
beta = 0.2
gamma = 0.01

# initialise model
ets_model = ExponentialSmoothing(df_data, trend='add', seasonal='add', 
seasonal_periods=12)
ets_fit = ets_model.fit(smoothing_level=alpha, smoothing_slope=beta,
smoothing_seasonal=gamma)

# forecast p hours ahead
p_ahead = 12
yh = ets_fit.forecast(p_ahead)

0 个答案:

没有答案