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Update arima.py #3

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74 changes: 53 additions & 21 deletions aeon_benchmark/forecasting/arima.py
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Original file line number Diff line number Diff line change
Expand Up @@ -4,28 +4,60 @@
from statsmodels.tsa.arima_process import ArmaProcess

# Models used to compare different ARMA implementations.
# Each (p, q) maps to a list of parameterizations (ar_params, ma_params)
stationary_arma_models = {
# Format: (p, q): (ar_params, ma_params): known stationary models
(1, 0): ([0.6], []),
(2, 0): ([0.5, -0.3], []),
(1, 0): ([0.4], []), # Stable, low persistence
(2, 0): ([1.2, -0.5], []), # Roots at ~1.15 and 0.72 (unstable), adjust:
(1, 1): ([0.6], [0.4]),
(2, 1): ([0.5, -0.3], [0.4]),
(2, 2): ([0.5, -0.3], [0.4, -0.2]),
(5, 0): ([0.5, -0.3, 0.2, -0.1, 0.05], []),
(5, 0): ([0.55, -0.35, 0.25, -0.15, 0.05], []),
(0, 5): ([], [-0.2, 0.15, -0.1, 0.07, -0.04]),
(0, 5): ([], [0.4, -0.2, 0.1, -0.05, 0.03]),
(3, 2): ([0.5, -0.3, 0.2], [0.4, -0.2]),
(3, 3): ([0.5, -0.3, 0.2], [0.4, -0.2, 0.1]),
(4, 1): ([0.5, -0.3, 0.2, -0.1], [0.4]),
(4, 2): ([0.5, -0.3, 0.2, -0.1], [0.4, -0.2]),
(5, 1): ([0.5, -0.3, 0.2, -0.1, 0.05], [0.4]),
(3, 4): ([0.4, -0.25, 0.1], [-0.3, 0.2, -0.1, 0.05]),
(1, 2): ([0.5], [-0.4, 0.2]),
(2, 3): ([0.6, -0.2], [0.3, -0.2, 0.1]),
(3, 1): ([0.6, -0.3, 0.1], [-0.4]),
(1, 0): [
([0.6], []),
([0.4], []), # Stable, low persistence
],
(2, 0): [
([0.5, -0.3], []),
([1.2, -0.5], []), # Roots at ~1.15 and 0.72 (unstable), adjust if needed
],
(1, 1): [
([0.6], [0.4]),
],
(2, 1): [
([0.5, -0.3], [0.4]),
],
(2, 2): [
([0.5, -0.3], [0.4, -0.2]),
],
(5, 0): [
([0.5, -0.3, 0.2, -0.1, 0.05], []),
([0.55, -0.35, 0.25, -0.15, 0.05], []),
],
(0, 5): [
([], [-0.2, 0.15, -0.1, 0.07, -0.04]),
([], [0.4, -0.2, 0.1, -0.05, 0.03]),
],
(3, 2): [
([0.5, -0.3, 0.2], [0.4, -0.2]),
],
(3, 3): [
([0.5, -0.3, 0.2], [0.4, -0.2, 0.1]),
],
(4, 1): [
([0.5, -0.3, 0.2, -0.1], [0.4]),
],
(4, 2): [
([0.5, -0.3, 0.2, -0.1], [0.4, -0.2]),
],
(5, 1): [
([0.5, -0.3, 0.2, -0.1, 0.05], [0.4]),
],
(3, 4): [
([0.4, -0.25, 0.1], [-0.3, 0.2, -0.1, 0.05]),
],
(1, 2): [
([0.5], [-0.4, 0.2]),
],
(2, 3): [
([0.6, -0.2], [0.3, -0.2, 0.1]),
],
(3, 1): [
([0.6, -0.3, 0.1], [-0.4]),
],
}


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