CODEWITHSUNDEEP
pythonpandastime-series
Quetzalcoatl
Quetzalcoatl

Reputation: 2146

Convert date to float for linear regression on Pandas data frame

It seems that for OLS linear regression to work well in Pandas, the arguments must be floats. I'm starting with a csv (called "gameAct.csv") of the form:

date, city, players, sales

2014-04-28,London,111,1091.28

2014-04-29,London,100,1100.44

2014-04-28,Paris,87,1001.33

...

I want to perform linear regression of how sales depend on date (as time moves forward, how do sales move?). The problem with my code below seems to be with dates not being float values. I would appreciate help on how to resolve this indexing problem in Pandas.

My current (non-working, but compiling code):

import pandas as pd

from pandas import DataFrame, Series

import statsmodels.formula.api as sm

df = pd.read_csv('gameAct.csv')

df.columns = ['date', 'city', 'players', 'sales']

city_data = df[df['city'] == 'London']

result = sm.ols(formula = 'sales ~ date', data = city_data).fit()

As I vary the city value, I get R^2 = 1 results, which is wrong. I have also attempted index_col = 0, parse_dates == True' in defining the dataframe df, but without success.

I suspect there is a better way to read in such csv files to perform basic regression over dates, and also for more general time series analysis. Help, examples, and resources are appreciated!

Note, with the above code, if I convert the dates index (for a given city) to an array, the values in this array are of the form:

'\xef\xbb\xbf2014-04-28'

How does one produce an AIC analysis over all of the non-sales parameters? (e.g. the result might be that sales depend most linearly on date and city).

Upvotes: 28

Views: 49286

Answers (4)

Markus Dutschke
Markus Dutschke

Reputation: 10606

get date as floating point year

I prefer a date-format, which can be understood without context. Hence, the floating point year representation. The nice thing here is, that the solution works on a numpy level - hence should be fast.

import numpy as np
import pandas as pd

def dt64_to_float(dt64):
    """Converts numpy.datetime64 to year as float.

    Rounded to days

    Parameters
    ----------
    dt64 : np.datetime64 or np.ndarray(dtype='datetime64[X]')
        date data

    Returns
    -------
    float or np.ndarray(dtype=float)
        Year in floating point representation
    """

    year = dt64.astype('M8[Y]')
    # print('year:', year)
    days = (dt64 - year).astype('timedelta64[D]')
    # print('days:', days)
    year_next = year + np.timedelta64(1, 'Y')
    # print('year_next:', year_next)
    days_of_year = (year_next.astype('M8[D]') - year.astype('M8[D]')
                    ).astype('timedelta64[D]')
    # print('days_of_year:', days_of_year)
    dt_float = 1970 + year.astype(float) + days / (days_of_year)
    # print('dt_float:', dt_float)
    return dt_float

if __name__ == "__main__":

    dates = np.array([
        '1970-01-01', '2014-01-01', '2020-12-31', '2019-12-31', '2010-04-28'],
        dtype='datetime64[D]')

    df = pd.DataFrame({
        'date': dates,
        'number': np.arange(5)
        })

    df['date_float'] = dt64_to_float(df['date'].to_numpy())
    print('df:', df, sep='\n')
    print()

    dt64 = np.datetime64( "2011-11-11" )
    print('dt64:', dt64_to_float(dt64))

output

df:
        date  number   date_float
0 1970-01-01       0  1970.000000
1 2014-01-01       1  2014.000000
2 2020-12-31       2  2020.997268
3 2019-12-31       3  2019.997260
4 2010-04-28       4  2010.320548

dt64: 2011.8602739726027

Upvotes: 3

dkorsakas
dkorsakas

Reputation: 177

df.date.dt.total_seconds()

If the data type of your date is datetime64[ns] than dt.total_seconds() should work; this will return a number of seconds (float).

Upvotes: 0

Tom Q.
Tom Q.

Reputation: 660

For this kind of regression, I usually convert the dates or timestamps to an integer number of days since the start of the data.

This does the trick nicely:

df = pd.read_csv('test.csv')
df['date'] = pd.to_datetime(df['date'])    
df['date_delta'] = (df['date'] - df['date'].min())  / np.timedelta64(1,'D')
city_data = df[df['city'] == 'London']
result = sm.ols(formula = 'sales ~ date_delta', data = city_data).fit()

The advantage of this method is that you're sure of the units involved in the regression (days), whereas an automatic conversion may implicitly use other units, creating confusing coefficients in your linear model. It also allows you to combine data from multiple sales campaigns that started at different times into your regression (say you're interested in effectiveness of a campaign as a function of days into the campaign). You could also pick Jan 1st as your 0 if you're interested in measuring the day of year trend. Picking your own 0 date puts you in control of all that.

There's also evidence that statsmodels supports timeseries from pandas. You may be able to apply this to linear models as well: http://statsmodels.sourceforge.net/stable/examples/generated/ex_dates.html

Also, a quick note: You should be able to read column names directly out of the csv automatically as in the sample code I posted. In your example I see there are spaces between the commas in the first line of the csv file, resulting in column names like ' date'. Remove the spaces and automatic csv header reading should just work.

Upvotes: 44

Wyrmwood
Wyrmwood

Reputation: 3599

I'm not sure about the specifics of the statsmodels, but this post lists all the date/time conversions for python. They aren't always one-to-one, so it's a reference I used often ;-)

Upvotes: 0

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