変化点の検出

変化点の検出

deepcharles/rupturesを使用して、時系列データの変化点を検出してみます。

C. Truong, L. Oudre, N. Vayatis. Selective review of offline change point detection methods. Signal Processing, 167:107299, 2020.

の論文に技術的な詳細が説明されています。

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import matplotlib.pyplot as plt
import os
import pandas as pd
import ruptures as rpt
import seaborn as sns
from full_fred.fred import Fred

# FRED_API_KEY = os.getenv('FRED_API_KEY')
fred = Fred()
print(f"FRED APIキーが環境変数に設定されている：{fred.env_api_key_found()}")


def get_fred_data(name, start="2013-01-01", end=""):
    df = fred.get_series_df(name)[["date", "value"]].copy()
    df["date"] = pd.to_datetime(df["date"])
    df["value"] = pd.to_numeric(df["value"], errors="coerce")
    df = df.set_index("date")

    if end == "":
        df = df.loc[f"{start}":]
    else:
        df = df.loc[f"{start}":f"{end}"]

    return df

FRED APIキーが環境変数に設定されている：True

FREDのデータを取得

Retailers: Inventories to Sales Ratioのデータの変化点を検出してみます。このデータは棚卸資産と売上高の比率を示しており『1ヶ月の売上高に対して手元にある在庫が何ヶ月分あるか』の目安となる指標です。

df_RETAILIRSA = get_fred_data("RETAILIRSA", start="2000-01-01")

N = len(df_RETAILIRSA["value"])
signal = df_RETAILIRSA["value"].values.reshape((N, 1))

algo = rpt.Pelt(model="rbf").fit(signal)
result = algo.predict(pen=10)

sns.set(rc={"figure.figsize": (15, 5)})
sns.lineplot(data=df_RETAILIRSA, x="date", y="value")
for idx in result[:-1]:
    plt.axvline(x=df_RETAILIRSA.index[idx - 1], color="r")
plt.show()