In [1]: import pandas as pd

data=pd.read_excel('Downloads/Daily_temp.xlsx','Sheet1')

In [3]: data['Date']=pd.to_datetime(data['Date'])

In [5]: data.info()

<class 'pandas.core.frame.DataFrame'>
RangeIndex: 3650 entries, 0 to 3649
Data columns (total 2 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 Date 3650 non-null datetime64[ns]
1 Temp 3650 non-null float64
dtypes: datetime64[ns](1), float64(1)
memory usage: 57.2 KB

In [6]: #Set as an index

d= data.set_index('Date')

In [7]: d.head(3)

Out[7]:
Temp

Date

1981-01-01 20.7

1981-01-02 17.9

1981-01-03 18.8

In [8]: from matplotlib import pyplot as plt

In [12]: d.plot(figsize=(15, 6))

plt.title("Daily Temperature", color='green')

plt.xlabel('Year', color='red')
plt.ylabel('Temp', color='red')
plt.show()

In [13]: from arch.unitroot import ADF

In [14]: adf=ADF(d, lags=20)

print(adf.summary())

Augmented Dickey-Fuller Results

=====================================
Test Statistic -4.445
P-value 0.000
Lags 20
-------------------------------------

Trend: Constant
Critical Values: -3.43 (1%), -2.86 (5%), -2.57 (10%)
Null Hypothesis: The process contains a unit root.
Alternative Hypothesis: The process is weakly stationary.

In [15]: from arch.unitroot import PhillipsPerron as pp

In [16]: ppt = pp(d, lags=50)

print(ppt.summary())

Phillips-Perron Test (Z-tau)

=====================================
Test Statistic -37.280
P-value 0.000
Lags 50
-------------------------------------

Trend: Constant
Critical Values: -3.43 (1%), -2.86 (5%), -2.57 (10%)
Null Hypothesis: The process contains a unit root.
Alternative Hypothesis: The process is weakly stationary.

In [18]: from statsmodels.graphics.tsaplots import plot_acf, plot_pacf

In [19]: plot_acf(d, lags=20)

plt.show()

In [20]: plot_pacf(d, lags=20, method='ols')

plt.show()

In [21]: from statsmodels.tsa.ar_model import AutoReg

In [22]: a = d.values

In [26]: Model_AR8 = AutoReg(a, lags=8).fit()

In [27]: print(Model_AR8.summary())

AutoReg Model Results

==============================================================================
Dep. Variable: y No. Observations: 3650
Model: AutoReg(8) Log Likelihood -8406.781
Method: Conditional MLE S.D. of innovations 2.434
Date: Wed, 06 Mar 2024 AIC 16833.563
Time: 22:46:41 BIC 16895.566
Sample: 8 HQIC 16855.646
3650
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const 1.0333 0.140 7.379 0.000 0.759 1.308
y.L1 0.6184 0.017 37.428 0.000 0.586 0.651
y.L2 -0.0783 0.019 -4.033 0.000 -0.116 -0.040
y.L3 0.0690 0.019 3.549 0.000 0.031 0.107
y.L4 0.0574 0.019 2.951 0.003 0.019 0.096
y.L5 0.0602 0.019 3.094 0.002 0.022 0.098
y.L6 0.0493 0.019 2.538 0.011 0.011 0.087
y.L7 0.0562 0.019 2.894 0.004 0.018 0.094
y.L8 0.0750 0.017 4.541 0.000 0.043 0.107
Roots
=============================================================================
Real Imaginary Modulus Frequency
-----------------------------------------------------------------------------
AR.1 1.0347 -0.0000j 1.0347 -0.0000
AR.2 0.8986 -0.9252j 1.2897 -0.1273
AR.3 0.8986 +0.9252j 1.2897 0.1273
AR.4 0.0699 -1.4139j 1.4157 -0.2421
AR.5 0.0699 +1.4139j 1.4157 0.2421
AR.6 -1.6176 -0.0000j 1.6176 -0.5000
AR.7 -1.0516 -1.1332j 1.5460 -0.3691
AR.8 -1.0516 +1.1332j 1.5460 0.3691
-----------------------------------------------------------------------------

In [29]: Model_AR8.plot_diagnostics(figsize=(15, 12))

plt.show()

In [30]: residual = Model_AR8.resid

In [31]: plot_acf(residual, lags=20)

plt.show()

In [32]: plot_pacf(residual, lags=20, method='ols')

plt.show()

In [34]: from statsmodels.stats.diagnostic import acorr_ljungbox as gb

In [35]: gb(residual, lags=10, return_df=True)

Out[35]:
lb_stat lb_pvalue

1 0.120086 0.728941

2 0.492914 0.781565

3 1.286879 0.732251

4 3.055532 0.548576

5 6.022535 0.304032

6 10.872029 0.092413

7 14.968504 0.036405

8 38.589406 0.000006

9 39.281441 0.000010

10 39.826915 0.000018

In [37]: from statsmodels.tsa.arima.model import ARIMA

In [40]: Model = ARIMA(a, order=(3, 0, 1)).fit()

In [41]: print(Model.summary())

SARIMAX Results
==============================================================================
Dep. Variable: y No. Observations: 3650
Model: ARIMA(3, 0, 1) Log Likelihood -8382.800
Date: Wed, 06 Mar 2024 AIC 16777.600
Time: 22:53:01 BIC 16814.815
Sample: 0 HQIC 16790.853
- 3650
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
const 11.4717 0.801 14.322 0.000 9.902 13.042
ar.L1 1.4851 0.018 80.334 0.000 1.449 1.521
ar.L2 -0.6204 0.027 -23.367 0.000 -0.672 -0.568
ar.L3 0.1304 0.018 7.386 0.000 0.096 0.165
ma.L1 -0.8928 0.012 -76.046 0.000 -0.916 -0.870
sigma2 5.7833 0.128 45.330 0.000 5.533 6.033
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 16.70
Prob(Q): 0.94 Prob(JB): 0.00
Heteroskedasticity (H): 0.86 Skew: 0.08
Prob(H) (two-sided): 0.01 Kurtosis: 3.28
===================================================================================

Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).

In [42]: res = Model.resid

In [45]: Model.plot_diagnostics(figsize=(15, 12))

plt.show()

In [49]: plot_pacf(res, lags=20, method='ols')

plt.show()

In [50]: gb(res, lags=10, return_df=True)

Out[50]:
lb_stat lb_pvalue

1 0.006790 0.934329

2 0.008225 0.995896

3 0.009125 0.999769

4 0.082014 0.999182

5 0.094185 0.999860

6 0.310555 0.999444

7 0.577923 0.999108

8 0.673870 0.999589

9 0.916520 0.999607

10 2.172116 0.994843

In [55]: #computing R square

import numpy as np
actual_mean=np.mean(a)
tss=np.sum((a-actual_mean)**2)

In [56]: rss=np.sum(res**2)

In [59]: rsq = 1-(rss/tss)

print ('R-Squared:',rsq)

R-Squared: 0.6501153054406361

In [51]: #Model Comparison and choose a better model and use for prediction

In [53]: len(a)

Out[53]: 3650

In [69]: #train set will have only 3643 and test set should have the remaining 7
train = a[:len(a)-20]

In [71]: len(train)

Out[71]: 3630

In [68]: test=a[len(a)-20:]

In [70]: len(test)

Out[70]: 20

In [72]: predict = Model.predict(start=len(train), end=len(d)-1, dynamic =False)

In [73]: # get the predicted and actual value

predict

Out[73]: array([12.98550599, 14.48991393, 12.50693103, 13.37909663, 13.66951836,

13.63231113, 13.77002824, 15.68759928, 13.91063827, 14.71991477,
13.31994904, 13.64742264, 13.99256948, 11.56942667, 13.63452401,
14.17770342, 13.63062571, 13.49909431, 13.49237402, 14.79938027])

In [74]: plt.plot(predict)
plt.plot(test, color='red')
plt.show()

In [76]: from sklearn.metrics import mean_squared_error as mse

In [78]: rmse = np.sqrt(mse(test,predict))

In [79]: rmse #Predictions are off by 1.65 units - on an average, the predicted termreratures differ from the actual
# by 1.65 degree celsius ( depending on the scale used)

Out[79]: 1.6598401226331614

In [80]: #Forecast
pred_t=Model.get_forecast(steps=15)

In [84]: fc = pred_t.predicted_mean

In [85]: fc

Out[85]: array([12.98912502, 13.32829955, 13.48681285, 13.51038796, 13.49127239,

13.46892017, 13.4506564 , 13.43490765, 13.41993572, 13.4050901 ,
13.39027797, 13.37553849, 13.36090258, 13.34637979, 13.33197021])

In [97]: # we need it in dataframe or tabular form- Date and Forecasted value as columns
n=15
fcast_index= pd.date_range(start=d.index[-1], periods=n+1, freq=d.index.freq)

In [89]: d.index[-1]

Out[89]: Timestamp('1990-12-31 00:00:00')

In [98]: fcast_index

Out[98]: DatetimeIndex(['1990-12-31', '1991-01-01', '1991-01-02', '1991-01-03',

'1991-01-04', '1991-01-05', '1991-01-06', '1991-01-07',
'1991-01-08', '1991-01-09', '1991-01-10', '1991-01-11',
'1991-01-12', '1991-01-13', '1991-01-14', '1991-01-15'],
dtype='datetime64[ns]', freq='D')

In [100]: # Dataframe
Future_temp =pd.DataFrame({'Date': fcast_index[1:], 'Forecasted Temp':fc})

In [101]: Future_temp

Out[101]:
Date Forecasted Temp

0 1991-01-01 12.989125

1 1991-01-02 13.328300

2 1991-01-03 13.486813

3 1991-01-04 13.510388

4 1991-01-05 13.491272

5 1991-01-06 13.468920

6 1991-01-07 13.450656

7 1991-01-08 13.434908

8 1991-01-09 13.419936

9 1991-01-10 13.405090

10 1991-01-11 13.390278

11 1991-01-12 13.375538

12 1991-01-13 13.360903

13 1991-01-14 13.346380

14 1991-01-15 13.331970

In [103]: # Make Date as row

Future_temp.set_index('Date', inplace=True)

In [104]: Future_temp

Out[104]:
Forecasted Temp

Date

1991-01-01 12.989125

1991-01-02 13.328300

1991-01-03 13.486813

1991-01-04 13.510388

1991-01-05 13.491272

1991-01-06 13.468920

1991-01-07 13.450656

1991-01-08 13.434908

1991-01-09 13.419936

1991-01-10 13.405090

1991-01-11 13.390278

1991-01-12 13.375538

1991-01-13 13.360903

1991-01-14 13.346380

1991-01-15 13.331970

In [107]: Future_temp.plot(figsize =(10, 5))

plt.show()