Giter Club home page Giter Club logo

arima_lstm's Introduction

ARIMA_LSTM

对ARIMA和LSTM模型的一个简单融合

数据:天池大赛的余额宝数据

思路:

  1.对数据进行季节分量的加性分解,得到趋势分量、季节分量、残差分量

  2.对趋势曲线和残差曲线进行平稳性检验,根据ACF指标和PACF指标、季节分量的周期长度确定马尔科夫链的长度(取最大的)
  
  3.将趋势曲线、残差曲线和天气、节假日等协变量数据拼接导入LSTM层
  
  4.LSTM层的输出与季节性分量拼接导入MLPdecoder得到最终结果

预测模式:由于季节性分量的周期长度为7天,比两个曲线的ACF、PACF指标要大,因此,马尔科夫链的长度定为7,预测步长为1

训练集:2014年4月1日 - 2014年8月1日

测试集:2014年8月2日 - 2014年8月31日

效果:测试集上的22个样本的最低百分比误差为0.35%,最高百分比误差为6.72%,总百分比误差为0.64%

arima_lstm's People

Contributors

dlspllf avatar

Stargazers

 avatar

Watchers

 avatar

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.