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AdvanceTS1handson - Jupyter Notebook

This document provides instructions for completing a hands-on time series analysis exercise. It has the student load time series data, calculate the auto correlation and partial auto correlation up to lag 5, and answer questions about the results. Specifically, it has the student identify the auto correlation at lag 1 (0.72) and partial auto correlation at lag 3 (-0.28), and save the answers.

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2K views3 pages

AdvanceTS1handson - Jupyter Notebook

This document provides instructions for completing a hands-on time series analysis exercise. It has the student load time series data, calculate the auto correlation and partial auto correlation up to lag 5, and answer questions about the results. Specifically, it has the student identify the auto correlation at lag 1 (0.72) and partial auto correlation at lag 3 (-0.28), and save the answers.

Uploaded by

Vikas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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4/5/22, 3:05 PM AdvanceTS1handson - Jupyter Notebook

Welcome to the first hands on advanced time series analysis.


Follow the instruction provided for each cell to complete the handson. We have created this Python
Notebook with all the necessary things needed for completing this exercise.

To run the code in each cell click on the cell and press shift + enter

Load the data

In this hands-on you will be finding the auto correlation and partial auto correlation on an array
of numbers.
Run the below cell to load the data and covert it to series object

In [1]: import pandas as pd


from pandas import Series
timeSeries = [30,21,29,31,40,48,53,47,37,39,31,29,17,9,20,24,27,35,41,38,
27,31,27,26,21,13,21,18,33,35,40,36,22,24,21,20,17,14,17,19,
26,29,40,31,20,24,18,26,17,9,17,21,28,32,46,33,23,28,22,27,
18,8,17,21,31,34,44,38,31,30,26,32]
ts = Series(timeSeries)

Auto correlation

import acf from stats model


Determine the acf values upto lag 5, use ts as timeseries data, set unbiased = True and
assign to variable acf_corr .

In [2]: from statsmodels.tsa.stattools import acf


acf_corr = acf(ts, unbiased=True, nlags=5)
print(acf_corr)

[ 1. 0.72120588 0.42688471 0.09746397 -0.18409287 -0.31332648]

/home/user/.local/lib/python3.5/site-packages/statsmodels/tsa/stattools.py:572:
FutureWarning: fft=True will become the default in a future version of statsmod
els. To suppress this warning, explicitly set fft=False.

FutureWarning

Partial auto correlation

import pacf from stats model


Determine the pacf values upto lag 5, use ts as timeseries data and assign it to variable
pacf_corr .

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4/5/22, 3:05 PM AdvanceTS1handson - Jupyter Notebook

In [3]: from statsmodels.tsa.stattools import pacf


pacf_corr = pacf(ts, nlags=5)
print(pacf_corr)

[ 1. 0.72120588 -0.19433338 -0.28172395 -0.18857053 0.02711725]

Questions

what is the auto correlation for lag 1?, assign this rounded off to 2-decimal value to variable
acf_lag_1
what is the partial auto correlation for lag 3?, assign this rounded off to 2-decimal value to
variable pacf_lag_3

In [7]: acf_lag_1 = round(0.72120588,2)


pacf_lag_3 = round(-0.28172395,2)
​
print(acf_lag_1)
print(pacf_lag_3)

0.72

-0.28

Run the below cell without modifying to save your answers

In [8]: import hashlib


import pickle
def gethex(ovalue):
hexresult=hashlib.md5(str(ovalue).encode())
return hexresult.hexdigest()
def pickle_ans1(value):
hexresult=gethex(value)
with open('ans/output1.pkl', 'wb') as file:
hexresult=gethex(value)
print(hexresult)
pickle.dump(hexresult,file)
def pickle_ans2(value):
hexresult=gethex(value)
with open('ans/output2.pkl', 'wb') as file:
hexresult=gethex(value)
print(hexresult)
pickle.dump(hexresult,file)
pickle_ans1(acf_lag_1)
pickle_ans2(pacf_lag_3)
​

18f154fce2b7eef7981dd860d1fa6dc0

34f45f03be2059ba3f824e7ddda60505

In [ ]: ​

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