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Impact of Trends

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5.10.2

Impact of Trends

Last updated 2020-02-12 Read time 3 min
<p>Time-series data changes its waveform over time, but it may increase or decrease over time. Such gradual, non-periodic changes are sometimes referred to as trends.
Data with a trend changes the mean, variance, and other statistics of the data over time, and as a result is more difficult to predict.
On this page, we will try to remove the trend component from time series data using python.</p>

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import pandas as pd
import matplotlib.pyplot as plt
import numpy as np
import seaborn as sns

Generate sample data #

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date_list = pd.date_range("2021-01-01", periods=720, freq="D")
value_list = [
    10
    + np.cos(np.pi * i / 28.0) * (i % 3 > 0)
    + np.cos(np.pi * i / 14.0) * (i % 5 > 0)
    + np.cos(np.pi * i / 7.0)
    + (i / 10) ** 1.1 / 20
    for i, di in enumerate(date_list)
]

df = pd.DataFrame(
    {
        "日付": date_list,
        "y": value_list,
    }
)

df.head(10)

日付y
02021-01-0111.000000
12021-01-0212.873581
22021-01-0312.507900
32021-01-0411.017651
42021-01-0511.320187
52021-01-0610.246560
62021-01-079.350058
72021-01-089.740880
82021-01-099.539117
92021-01-108.987155
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plt.figure(figsize=(10, 5))
sns.lineplot(x=df["日付"], y=df["y"])

Generate sample data figure

Forecast Time Series Data with XGBoost #

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df["曜日"] = df["日付"].dt.weekday
df["年初からの日数%14"] = df["日付"].dt.dayofyear % 14
df["年初からの日数%28"] = df["日付"].dt.dayofyear % 28

def get_trend(timeseries, deg=3, trainN=0):
    """Create a trend line for time-series data

    Args:
        timeseries(pd.Series) : Time series data
        deg(int) : Degree of polynomial
        trainN(int): Number of data used to estimate the coefficients of the polynomial

    Returns:
        pd.Series: Time series data corresponding to trends
    """
    if trainN == 0:
        trainN = len(timeseries)

    x = list(range(len(timeseries)))
    y = timeseries.values
    coef = np.polyfit(x[:trainN], y[:trainN], deg)
    trend = np.poly1d(coef)(x)
    return pd.Series(data=trend, index=timeseries.index)

trainN = 500
df["Trend"] = get_trend(df["y"], trainN=trainN, deg=2)

plt.figure(figsize=(10, 5))
sns.lineplot(x=df["日付"], y=df["y"])
sns.lineplot(x=df["日付"], y=df["Trend"])

Forecast Time Series Data with XGBoost figure

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X = df[["曜日", "年初からの日数%14", "年初からの日数%28"]]
y = df["y"]

trainX, trainy = X[:trainN], y[:trainN]
testX, testy = X[trainN:], y[trainN:]
trend_train, trend_test = df["Trend"][:trainN], df["Trend"][trainN:]

XGBoost does not know that data changes slowly between training and test data. Therefore, the more you predict the future, the more your predictions will be off down the road. For XGBoost to forecast well, the y distribution of the training and test data must be close.

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import xgboost as xgb
from sklearn.metrics import mean_squared_error

regressor = xgb.XGBRegressor(max_depth=5).fit(trainX, trainy)
prediction = regressor.predict(testX)

plt.figure(figsize=(10, 5))
sns.lineplot(x=df["日付"][trainN:], y=prediction)
sns.lineplot(x=df["日付"][trainN:], y=testy)

plt.legend(["モデルの出力", "正解"], bbox_to_anchor=(0.0, 0.78, 0.28, 0.102))
print(f"MSE = {mean_squared_error(testy, prediction)}")

MSE = 2.815118389938834

815118389938834 figure

Forecasting with the trend taken into account #

We first remove the portion corresponding to the trend from the observed values and then predict the values without the trend. The XGBoost prediction is then added to the XGBoost prediction to obtain the final prediction.

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regressor = xgb.XGBRegressor(max_depth=5).fit(trainX, trainy - trend_train)
prediction = regressor.predict(testX)
prediction = [pred_i + trend_i for pred_i, trend_i in zip(prediction, trend_test)]

plt.figure(figsize=(10, 5))
sns.lineplot(x=df["日付"][trainN:], y=prediction)
sns.lineplot(x=df["日付"][trainN:], y=testy)

plt.legend(["モデルの出力＋Trend", "正解"], bbox_to_anchor=(0.0, 0.78, 0.28, 0.102))
print(f"MSE = {mean_squared_error(testy, prediction)}")

MSE = 0.46014173311011325

46014173311011325 figure