当使用ARIMA模型时,如果PACF和ACF图看起来相似,则表明模型可能需要进一步调整。这可能是由于存在趋势或季节性因素,或者数据可能不是平稳的。为了解决这个问题,在应用ARIMA模型之前,可以尝试将数据进行差分或季节性差分。这将有助于使数据平稳,并且对于季节性数据可以去除季节性因素。以下是一个示例代码,可以使用差分和季节性差分来使数据平稳。
import pandas as pd
import matplotlib.pyplot as plt
import statsmodels.api as sm
# Load data
data = pd.read_csv('data.csv')
data.set_index('date', inplace=True)
# Plot ACF and PACF
sm.graphics.tsa.plot_acf(data, lags=40)
plt.show()
sm.graphics.tsa.plot_pacf(data, lags=40)
plt.show()
# Stationary test
result = sm.tsa.stattools.adfuller(data)
print('ADF Statistic: %f' % result[0])
print('p-value: %f' % result[1])
print('Critical Values:')
for key, value in result[4].items():
print('\t%s: %.3f' % (key, value))
# First Difference
data_diff = data.diff().dropna()
sm.graphics.tsa.plot_acf(data_diff, lags=40)
plt.show()
sm.graphics.tsa.plot_pacf(data_diff, lags=40)
plt.show()
# Stationary test on first difference
result = sm.tsa.stattools.adfuller(data_diff)
print('ADF Statistic: %f' % result[0])
print('p-value: %f' % result[1])
print('Critical Values:')
for key, value in result[4].items():
print('\t%s: %.3f' % (key, value))
# Seasonal Difference
data_diff_seasonal = data.diff(12).dropna()
sm.graphics