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utils/ADFtest.py

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+import pandas as pd
+import numpy as np
+import os
+from statsmodels.tsa.stattools import adfuller
+from arch.unitroot import ADF
+
+def calculate_ADF(root_path,data_path):
+    df_raw = pd.read_csv(os.path.join(root_path,data_path))
+    cols = list(df_raw.columns)
+    cols.remove('date')
+    df_raw = df_raw[cols]
+    adf_list = []
+    for i in cols:
+        df_data = df_raw[i]
+        adf = adfuller(df_data, maxlag = 1)
+        print(adf)
+        adf_list.append(adf)
+    return np.array(adf_list)
+
+def calculate_target_ADF(root_path,data_path,target='OT'):
+    df_raw = pd.read_csv(os.path.join(root_path,data_path))
+    target_cols = target.split(',')
+    # df_data = df_raw[target]
+    df_raw = df_raw[target_cols]
+    adf_list = []
+    for i in target_cols:
+        df_data = df_raw[i]
+        adf = adfuller(df_data, maxlag = 1)
+        # print(adf)
+        adf_list.append(adf)
+    return np.array(adf_list)
+
+def archADF(root_path, data_path):
+    df = pd.read_csv(os.path.join(root_path,data_path))
+    cols = df.columns[1:]
+    stats = 0
+    for target_col in cols:
+        series = df[target_col].values
+        adf = ADF(series)
+        stat = adf.stat
+        stats += stat
+    return stats/len(cols)
+
+if __name__ == '__main__':
+
+    # * Exchange - result: -1.902402344564288 | report: -1.889
+    ADFmetric = archADF(root_path="./dataset/exchange_rate/",data_path="exchange_rate.csv")
+    print("Exchange ADF metric", ADFmetric)
+
+    # * Illness - result: -5.33416661870624 | report: -5.406
+    ADFmetric = archADF(root_path="./dataset/illness/",data_path="national_illness.csv") 
+    print("Illness ADF metric", ADFmetric)
+
+    # * ETTm2 - result: -5.663628743471695 | report: -6.225
+    ADFmetric = archADF(root_path="./dataset/ETT-small/",data_path="ETTm2.csv")
+    print("ETTm2 ADF metric", ADFmetric)
+
+    # * Electricity - result: -8.44485821939281 | report: -8.483
+    ADFmetric = archADF(root_path="./dataset/electricity/",data_path="electricity.csv")
+    print("Electricity ADF metric", ADFmetric)
+
+    # * Traffic - result: -15.020978067839014 | report: -15.046
+    ADFmetric = archADF(root_path="./dataset/traffic/",data_path="traffic.csv")
+    print("Traffic ADF metric", ADFmetric)
+
+    # * Weather - result: -26.681433085204866 | report: -26.661
+    ADFmetric = archADF(root_path="./dataset/weather/",data_path="weather.csv")
+    print("Weather ADF metric", ADFmetric)
+
+
+    # print(ADFmetric)
+
+    # mean_ADFmetric = ADFmetric[:,0].mean()
+    # print(mean_ADFmetric)