@xyo-network/diviner-forecasting-method-arima 2.55.5

package/dist/types/arima/index.d.ts

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+export * from './configurable';
+export * from './configured';
+//# sourceMappingURL=index.d.ts.map

package/dist/types/arima/index.d.ts.map

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+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/arima/index.ts"],"names":[],"mappings":"AAAA,cAAc,gBAAgB,CAAA;AAC9B,cAAc,cAAc,CAAA"}

package/dist/types/index.d.ts

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+export * from './arima';
+//# sourceMappingURL=index.d.ts.map

package/dist/types/index.d.ts.map

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+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/index.ts"],"names":[],"mappings":"AAAA,cAAc,SAAS,CAAA"}

package/package.json

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+{
+  "$schema": "http://json.schemastore.org/package.json",
+  "name": "@xyo-network/diviner-forecasting-method-arima",
+  "publishConfig": {
+    "access": "public"
+  },
+  "version": "2.55.5",
+  "description": "XYO Archivist",
+  "sideeffects": false,
+  "engines": {
+    "node": ">=16 <17"
+  },
+  "esm5": "dist/esm/index.js",
+  "exports": {
+    ".": {
+      "esm5": "./dist/esm/index.js",
+      "node": {
+        "import": "./dist/cjs/index.js",
+        "require": "./dist/cjs/index.js"
+      },
+      "default": "./dist/esm/index.js"
+    },
+    "./package.json": "./package.json"
+  },
+  "main": "dist/cjs/index.js",
+  "module": "dist/esm/index.js",
+  "author": "Arie Trouw",
+  "license": "LGPL-3.0",
+  "dependencies": {
+    "@xyo-network/forecasting-diviner-model": "^2.55.5",
+    "@xyo-network/payload-model": "^2.55.5",
+    "arima": "^0.2.5"
+  },
+  "devDependencies": {
+    "@xylabs/ts-scripts-yarn3": "^2.16.5",
+    "@xylabs/tsconfig": "^2.16.5",
+    "typescript": "^4.9.5"
+  },
+  "types": "dist/types/index.d.ts"
+}

package/src/arima/configurable/configurableArima.ts

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+import { Forecast, ForecastingMethod, PayloadValueTransformer } from '@xyo-network/forecasting-diviner-model'
+import { Payload } from '@xyo-network/payload-model'
+import ARIMA, { ARIMAOptions } from 'arima'
+
+export const commonOpts: ARIMAOptions = { verbose: false }
+
+export type PredictionPayload = Payload<{ error?: number; value: number }>
+
+export const configurableArima = (opts: ARIMAOptions = commonOpts, predictionSteps = 10): ForecastingMethod => {
+  return (payloads: Payload[], transformer: PayloadValueTransformer): Forecast[] => {
+    // If there's no input, there's no prediction
+    if (payloads.length === 0) return []
+    // Transform all the values
+    const values = payloads.map(transformer)
+    // Train a model on the training set
+    const model = new ARIMA({ ...commonOpts, ...opts }).train(values)
+    // Use the trained model to predict the next N values
+    const predictions = model.predict(predictionSteps)
+    // Convert the predictions into payloads
+    return predictions[0].map((value, index) => {
+      const error = predictions[1][index]
+      return { error, value }
+    })
+  }
+}

package/src/arima/configurable/index.ts

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+export * from './configurableArima'

package/src/arima/configured/arima.ts

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+import { ForecastingMethod } from '@xyo-network/forecasting-diviner-model'
+
+import { configurableArima } from '../configurable'
+
+export const arimaOpts: ARIMAOptions = { d: 1, p: 2, q: 2 }
+
+export const arimaForecastingName = 'arimaForecasting'
+
+export const arimaForecastingMethod: ForecastingMethod = configurableArima(arimaOpts)

package/src/arima/configured/index.ts

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+export * from './arima'
+export * from './seasonalArima'

package/src/arima/configured/seasonalArima.ts

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+import { ForecastingMethod } from '@xyo-network/forecasting-diviner-model'
+
+import { configurableArima } from '../configurable'
+
+export const seasonalArimaOpts: ARIMAOptions = { D: 0, P: 1, Q: 1, d: 1, p: 2, q: 2, s: 12 }
+
+export const seasonalArimaForecastingName = 'seasonalArimaForecasting'
+
+export const seasonalArimaForecastingMethod: ForecastingMethod = configurableArima(seasonalArimaOpts)

package/src/arima/configured/spec/arima.spec.ts

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+import { Payload } from '@xyo-network/payload-model'
+
+import { arimaForecastingMethod } from '../arima'
+
+const transformer = (payload: Payload) => (payload as Payload<{ data: number }>)?.data || NaN
+
+describe('arimaForecasting', () => {
+  it('should forecast', async () => {
+    const actual: number[] = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10]
+    const expected: number[] = [11, 12, 13, 14, 15, 16, 17, 18, 19, 20]
+    const payloads = actual.map((data) => {
+      return { data, schema: 'network.xyo.test' }
+    })
+    const result = await arimaForecastingMethod(payloads, transformer)
+    expect(result).toBeTruthy()
+    result.map((payload, index) => {
+      expect((payload as { schema: string; value: number }).value).toBeCloseTo(expected[index])
+    })
+  })
+})

package/src/arima/configured/spec/seasonalArima.spec.ts

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+import { Payload } from '@xyo-network/payload-model'
+
+import { seasonalArimaForecastingMethod } from '../seasonalArima'
+
+const twoPi = 2 * Math.PI
+
+const transformer = (payload: Payload) => (payload as Payload<{ data: number }>)?.data || NaN
+
+describe('seasonalArimaForecasting', () => {
+  it('should forecast', async () => {
+    const length = 10
+    const actual: number[] = Array.from({ length }, (_, i) => (i / (length - 1)) * twoPi).map((x) => Math.sin(x) + 1)
+    const payloads = actual.map((data) => {
+      return { data, schema: 'network.xyo.test' }
+    })
+    const result = await seasonalArimaForecastingMethod(payloads, transformer)
+    expect(result).toBeArray()
+  })
+})

package/src/arima/configured/spec/tsconfig.json

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+{
+  "extends": "@xylabs/tsconfig-jest"
+}

package/src/arima/index.ts

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+export * from './configurable'
+export * from './configured'

package/src/index.ts

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+export * from './arima'

package/src/types/index.d.ts

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+/* eslint-disable @typescript-eslint/member-ordering */
+
+declare type ARIMAMethod =
+  | 0 // Exact Maximum Likelihood Method (Default)
+  | 1 // Conditional Method - Sum Of Squares
+  | 2 // Box-Jenkins Method
+
+declare type OptimizationMethod =
+  | 0 // Nelder-Mead
+  | 1 // Newton Line Search
+  | 2 // Newton Trust Region - Hook Step
+  | 3 // Newton Trust Region - Double Dog-Leg
+  | 4 // Conjugate Gradient
+  | 5 // BFGS
+  | 6 // Limited Memory BFGS (Default)
+  | 7 // BFGS Using More Thuente Method
+
+declare interface ARIMAOptions {
+  auto?: boolean // automatic ARIMA (default: false)
+  // params for ARIMA (default: p: 1, d: 0, q: 1)
+  p?: number
+  d?: number
+  q?: number
+  // seasonal params (default: 0s). Setting them to non-zero values makes the ARIMA model seasonal
+  P?: number
+  D?: number
+  Q?: number
+  s?: number
+  method?: ARIMAMethod // ARIMA method (default: 0)
+  optimizer?: OptimizationMethod // optimization method (default: 6)
+  transpose?: boolean //transpose exogenous array when fitting SARIMAX (default: false)
+  verbose?: boolean // verbose output (default: true)
+}
+
+declare type PredictionResult = [predictions: number[], meanSquareErrors: number[]]
+
+declare module 'arima' {
+  export { ARIMAMethod, ARIMAOptions, OptimizationMethod, PredictionResult }
+
+  // eslint-disable-next-line import/no-default-export
+  export default class ARIMA {
+    constructor(options: ARIMAOptions)
+    predict(steps: number): PredictionResult
+    train(data: number[]): this
+  }
+}

package/tsconfig.json

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+{
+  "compilerOptions": {
+    "composite": true,
+    "declarationDir": "./dist/types",
+    "emitDecoratorMetadata": true,
+    "experimentalDecorators": true,
+    "typeRoots": []
+  },
+
+  "extends": "@xylabs/tsconfig"
+}
+