import quandl
import matplotlib.pyplot as plt
import fbprophet
import SkyLasso as sl
data = quandl.get("BITSTAMP/USD")
y = data['Low']
y = y[-730:]
df = pd.DataFrame(y)
df['ds'] = y.index
#adjust to make ready for Prophet
df.columns = ['y', 'ds']
model = fbprophet.Prophet()
model.fit(df)
future_df = model.make_future_dataframe(150)
prophet_forecast = model.predict(future_df)
skylasso_model = sl.SkyLasso(y,
changepoint = False,
trend = False,
linear_changepoint = True,
seasonal_period = 365,
scale_y = True,
scale_X = False,
intercept = True,
)
skylasso_model.fit()
predicted = skylasso_model.predict()
future_df = skylasso_model.make_future_dataframe(150)
forecast = skylasso_model.predict(future_df)
plt.plot(np.append(predicted, forecast), label = 'Lasso')
plt.plot(prophet_forecast['yhat'], label = 'Prophet')
plt.plot(y.values, color = 'black', label = 'Actual')
plt.legend()
plt.show()
skylasso_model.plot_components()
skylasso_model_components = skylasso_model.get_components()
plt.plot(skylasso_model_components['linear_changepoint'] + skylasso_model_components['intercept'], label = 'Lasso')
plt.plot(prophet_forecast['trend'], label = 'Prophet')
plt.legend()
plt.show()
