lazzy.py 文件源码

def choose_best_lag(seq, pre_period, lags = range(1,30), Kmax = 200):
    """
    ????lazzy model,?????
    """
    models = []
    # ???
    std_sca = StandardScaler().fit(np.array(seq).reshape(-1,1))
#    rob_sca = RobustScaler().fit(np.array(seq).reshape(-1,1))
    seq = std_sca.transform(np.array(seq).reshape(-1,1))

    # ????????????,???????
    for input_lag in lags:
#        window = input_lag + pre_period
        X, Y = create_dataset(seq.flatten(), input_lag, pre_period)
        lazzy_models = lazzy_loo(X[-1], X[0:-1], Y[:-1], Kmax)
        y_pred = lazzy_prediction(X[-1], X[0:-1], Y[:-1], lazzy_models)
        err = err_evaluation(y_pred, Y[-1])
        lazzy_models.sort()
        models.append((err, input_lag, lazzy_models[0][1] ))
    models.sort()
    best_lag = models[0][1]
    best_k = models[0][2]
    return models, best_lag, best_k