Aug 25 Bug Fixes
Browse files- models/its.py +534 -228
models/its.py
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@@ -1,228 +1,534 @@
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report_lines.append(
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| 1 |
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from io import BytesIO
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from typing import List, Optional, Tuple, Union
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import numpy as np
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import pandas as pd
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from PIL import Image
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import matplotlib
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matplotlib.use("Agg")
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import matplotlib.pyplot as plt
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import matplotlib.gridspec as gridspec
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import causalpy as cp
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import patsy
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import statsmodels.api as sm
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from scipy import stats
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from sklearn.linear_model import LinearRegression
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from statsmodels.stats.diagnostic import acorr_ljungbox
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from statsmodels.tsa.stattools import acf
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import statsmodels.stats.stattools as smt
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import traceback
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# ==================== Global knobs ====================
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SEASONALITY_ENABLED = True
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SEASONALITY_METHOD = "fourier" # "fourier" or "dummies"
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FOURIER_WEEKLY_K = 3 # number of sin/cos pairs for short cycle
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FOURIER_YEARLY_K = 5 # number of sin/cos pairs for long cycle
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HAC_ENABLED: bool = True
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HAC_MAXLAGS: Union[str, int] = "auto" # "auto" = plug-in; or set an int (e.g., 8 for ~two months on weekly data)
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HAC_SMALL_SAMPLE_CORR: bool = True # use finite-sample correction in statsmodels
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# -------------------- rendering helpers --------------------
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def _fig_to_pil(fig: plt.Figure, dpi: int = 110) -> Image.Image:
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"""Save a figure to a PIL image with outer padding and opaque background."""
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buf = BytesIO()
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fig.savefig(buf, format="png", dpi=dpi, bbox_inches="tight", pad_inches=0.40, facecolor="white")
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plt.close(fig)
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buf.seek(0)
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return Image.open(buf).convert("RGB")
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def _stack_images_vertical(images: List[Image.Image], pad: int = 22, bg=(255, 255, 255)) -> Optional[Image.Image]:
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if not images:
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return None
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max_w = max(im.width for im in images)
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| 50 |
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total_h = sum(im.height for im in images) + pad * (len(images) - 1)
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out = Image.new("RGB", (max_w, total_h), bg)
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y = 0
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for im in images:
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x = (max_w - im.width) // 2
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out.paste(im, (x, y))
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y += im.height + pad
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| 57 |
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return out
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| 58 |
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| 59 |
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| 60 |
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def _rotate_all_xticklabels(fig: plt.Figure) -> None:
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| 61 |
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"""Rotate x-tick labels on every axes in a figure."""
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| 62 |
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for ax in fig.axes:
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| 63 |
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for lbl in ax.get_xticklabels():
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| 64 |
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lbl.set_rotation(45)
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| 65 |
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lbl.set_ha("right")
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| 66 |
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try:
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| 67 |
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fig.autofmt_xdate()
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| 68 |
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except Exception:
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| 69 |
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pass
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| 70 |
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| 71 |
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| 72 |
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# -------------------- frequency-aware seasonality (opt-in originally; default ON now) --------------------
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| 73 |
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| 74 |
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def _add_frequency_aware_seasonality(df: pd.DataFrame, freq_input: str) -> Tuple[pd.DataFrame, List[str]]:
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| 75 |
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"""
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| 76 |
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Return (df_with_terms, season_terms_list) based on freq_input.
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| 77 |
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df index must be DatetimeIndex and df must contain 'time_index'.
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| 78 |
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No side effects outside df copy. Purely pre-period features, no leakage.
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| 79 |
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"""
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| 80 |
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df = df.copy()
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| 81 |
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added: List[str] = []
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| 82 |
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| 83 |
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# Helpers to add Fourier pairs
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| 84 |
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def add_fourier(prefix: str, period: Optional[float], K: int) -> None:
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| 85 |
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if K <= 0 or period is None:
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| 86 |
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return
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| 87 |
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for k in range(1, K + 1):
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| 88 |
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s = f"{prefix}_sin_{k}"
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| 89 |
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c = f"{prefix}_cos_{k}"
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| 90 |
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df[s] = np.sin(2 * np.pi * k * df["time_index"] / period)
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| 91 |
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df[c] = np.cos(2 * np.pi * k * df["time_index"] / period)
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| 92 |
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added.extend([s, c])
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| 93 |
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| 94 |
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f = (freq_input or "").upper()
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| 95 |
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| 96 |
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if SEASONALITY_METHOD == "dummies":
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| 97 |
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if f == "M":
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| 98 |
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df["month"] = df.index.month
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| 99 |
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added.append("C(month)")
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| 100 |
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elif f == "Q":
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| 101 |
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df["quarter"] = df.index.quarter
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| 102 |
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added.append("C(quarter)")
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| 103 |
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elif f == "D":
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| 104 |
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df["dow"] = df.index.dayofweek
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| 105 |
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df["month"] = df.index.month
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| 106 |
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added.extend(["C(dow)", "C(month)"])
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| 107 |
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elif f == "W":
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| 108 |
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df["weekofyear"] = df.index.isocalendar().week.astype(int)
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| 109 |
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added.append("C(weekofyear)")
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| 110 |
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else:
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| 111 |
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# Unknown/other: no-op
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| 112 |
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pass
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| 113 |
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| 114 |
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else: # "fourier" (smooth & compact)
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| 115 |
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if f == "D":
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| 116 |
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add_fourier("wk", period=7.0, K=FOURIER_WEEKLY_K) # weekly cycle
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| 117 |
+
add_fourier("yr", period=365.25, K=FOURIER_YEARLY_K) # yearly cycle
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| 118 |
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elif f == "W":
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| 119 |
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add_fourier("yr", period=52.1775, K=FOURIER_YEARLY_K) # annual on weekly cadence
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| 120 |
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elif f == "M":
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| 121 |
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add_fourier("yr", period=12.0, K=FOURIER_YEARLY_K) # annual on monthly cadence
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| 122 |
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elif f == "Q":
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| 123 |
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add_fourier("yr", period=4.0, K=max(1, min(FOURIER_YEARLY_K, 2))) # annual on quarterly cadence
|
| 124 |
+
else:
|
| 125 |
+
# Fallback: do nothing if alias not recognized
|
| 126 |
+
pass
|
| 127 |
+
|
| 128 |
+
return df, added
|
| 129 |
+
|
| 130 |
+
|
| 131 |
+
# -------------------- HAC utilities --------------------
|
| 132 |
+
|
| 133 |
+
def _nw_auto_maxlags(n: int) -> int:
|
| 134 |
+
"""
|
| 135 |
+
Newey–West plug-in bandwidth: floor(4 * (n/100)^(2/9)), at least 1.
|
| 136 |
+
"""
|
| 137 |
+
if n <= 1:
|
| 138 |
+
return 1
|
| 139 |
+
return max(1, int(np.floor(4.0 * (n / 100.0) ** (2.0 / 9.0))))
|
| 140 |
+
|
| 141 |
+
|
| 142 |
+
# Bartlett-weighted (Newey–West) SE for the mean of a time series
|
| 143 |
+
def _nw_se_of_mean(series: pd.Series, maxlags: int) -> float:
|
| 144 |
+
"""
|
| 145 |
+
Compute Newey–West standard error of the sample mean with Bartlett weights.
|
| 146 |
+
Var(mean) ≈ (1/n) * [γ0 + 2 * sum_{k=1..L} w_k * γ_k], w_k = 1 - k/(L+1).
|
| 147 |
+
γ_k are sample autocovariances at lag k with divisor n (not n-1).
|
| 148 |
+
"""
|
| 149 |
+
x = np.asarray(series, dtype=float)
|
| 150 |
+
n = x.shape[0]
|
| 151 |
+
if n <= 1:
|
| 152 |
+
return np.nan
|
| 153 |
+
x = x - x.mean()
|
| 154 |
+
# autocovariances γ_k
|
| 155 |
+
gamma0 = np.dot(x, x) / n
|
| 156 |
+
lrvar = gamma0
|
| 157 |
+
L = min(maxlags, n - 1) if n > 1 else 0
|
| 158 |
+
for k in range(1, L + 1):
|
| 159 |
+
w = 1.0 - k / (L + 1.0)
|
| 160 |
+
cov = np.dot(x[k:], x[:-k]) / n
|
| 161 |
+
lrvar += 2.0 * w * cov
|
| 162 |
+
var_mean = lrvar / n
|
| 163 |
+
return float(np.sqrt(var_mean))
|
| 164 |
+
|
| 165 |
+
|
| 166 |
+
# -------------------- diagnostics & comparisons --------------------
|
| 167 |
+
|
| 168 |
+
def add_diagnostic_tests(sm_model, pre_data, formula, report_lines):
|
| 169 |
+
"""
|
| 170 |
+
Build diagnostic figures and append textual tests to report_lines.
|
| 171 |
+
Returns a dict of {name: Figure}.
|
| 172 |
+
"""
|
| 173 |
+
diagnostic_plots = {}
|
| 174 |
+
|
| 175 |
+
report_lines.append("\n--- Diagnostic Tests ---")
|
| 176 |
+
try:
|
| 177 |
+
residuals = sm_model.resid
|
| 178 |
+
|
| 179 |
+
# Durbin–Watson
|
| 180 |
+
dw = smt.durbin_watson(residuals)
|
| 181 |
+
report_lines.append(f"Durbin-Watson statistic: {dw:.3f}")
|
| 182 |
+
if dw < 1.5:
|
| 183 |
+
report_lines.append(" ⚠️ Positive autocorrelation detected (DW < 1.5)")
|
| 184 |
+
elif dw > 2.5:
|
| 185 |
+
report_lines.append(" ⚠️ Negative autocorrelation detected (DW > 2.5)")
|
| 186 |
+
else:
|
| 187 |
+
report_lines.append(" ✓ No significant autocorrelation (1.5 < DW < 2.5)")
|
| 188 |
+
|
| 189 |
+
# Ljung–Box
|
| 190 |
+
if len(residuals) > 10:
|
| 191 |
+
lb = acorr_ljungbox(residuals, lags=min(10, len(residuals)//4), return_df=True)
|
| 192 |
+
sig = lb[lb["lb_pvalue"] < 0.05]
|
| 193 |
+
if len(sig) > 0:
|
| 194 |
+
report_lines.append(f" Ljung-Box: Autocorrelation at lags {list(sig.index)}")
|
| 195 |
+
else:
|
| 196 |
+
report_lines.append(" Ljung-Box: No significant autocorrelation up to lag 10")
|
| 197 |
+
|
| 198 |
+
# ACF
|
| 199 |
+
if len(residuals) > 20:
|
| 200 |
+
fig_acf, ax = plt.subplots(figsize=(11, 6))
|
| 201 |
+
acf_vals = acf(residuals, nlags=min(20, len(residuals)//4))
|
| 202 |
+
ax.bar(range(len(acf_vals)), acf_vals, alpha=0.85)
|
| 203 |
+
ax.axhline(0, linewidth=0.5)
|
| 204 |
+
ci = 1.96/np.sqrt(len(residuals))
|
| 205 |
+
ax.axhline(ci, linestyle="--", alpha=0.7)
|
| 206 |
+
ax.axhline(-ci, linestyle="--", alpha=0.7)
|
| 207 |
+
ax.set_title("Autocorrelation Function (ACF) of Residuals")
|
| 208 |
+
ax.set_xlabel("Lag"); ax.set_ylabel("Autocorrelation")
|
| 209 |
+
ax.grid(True, alpha=0.3)
|
| 210 |
+
fig_acf.tight_layout(pad=1.2)
|
| 211 |
+
diagnostic_plots["acf"] = fig_acf
|
| 212 |
+
|
| 213 |
+
except Exception as e:
|
| 214 |
+
report_lines.append(f" Could not perform autocorrelation test: {e}")
|
| 215 |
+
|
| 216 |
+
# Model fit stats
|
| 217 |
+
report_lines.append("\n--- Model Fit Statistics ---")
|
| 218 |
+
report_lines.append(f"R-squared: {sm_model.rsquared:.3f}")
|
| 219 |
+
report_lines.append(f"Adjusted R-squared: {sm_model.rsquared_adj:.3f}")
|
| 220 |
+
report_lines.append(f"AIC: {sm_model.aic:.2f}")
|
| 221 |
+
report_lines.append(f"BIC: {sm_model.bic:.2f}")
|
| 222 |
+
|
| 223 |
+
# Residuals figure (6 panels) with generous spacing
|
| 224 |
+
try:
|
| 225 |
+
fig_resid = plt.figure(figsize=(13.5, 10.5), constrained_layout=False) # MODIFIED: bigger
|
| 226 |
+
gs = gridspec.GridSpec(3, 2, figure=fig_resid, hspace=0.85, wspace=0.55) # MODIFIED: more space
|
| 227 |
+
|
| 228 |
+
# Residuals vs Fitted
|
| 229 |
+
ax1 = fig_resid.add_subplot(gs[0, 0])
|
| 230 |
+
ax1.scatter(sm_model.fittedvalues, sm_model.resid, alpha=0.65)
|
| 231 |
+
ax1.axhline(0, linestyle="--", alpha=0.7)
|
| 232 |
+
ax1.set_title("Residuals vs Fitted Values"); ax1.set_xlabel("Fitted Values"); ax1.set_ylabel("Residuals")
|
| 233 |
+
ax1.grid(True, alpha=0.3)
|
| 234 |
+
|
| 235 |
+
# Normal Q–Q
|
| 236 |
+
ax2 = fig_resid.add_subplot(gs[0, 1])
|
| 237 |
+
stats.probplot(sm_model.resid, dist="norm", plot=ax2)
|
| 238 |
+
ax2.set_title("Normal Q-Q Plot"); ax2.grid(True, alpha=0.3)
|
| 239 |
+
|
| 240 |
+
# Histogram
|
| 241 |
+
ax3 = fig_resid.add_subplot(gs[1, 0])
|
| 242 |
+
ax3.hist(sm_model.resid, bins=20, edgecolor="black", alpha=0.75)
|
| 243 |
+
ax3.set_title("Histogram of Residuals"); ax3.set_xlabel("Residuals"); ax3.set_ylabel("Density")
|
| 244 |
+
ax3.grid(True, alpha=0.3)
|
| 245 |
+
|
| 246 |
+
# Residuals over time
|
| 247 |
+
ax4 = fig_resid.add_subplot(gs[1, 1])
|
| 248 |
+
ax4.plot(pre_data.index, sm_model.resid, marker="o", alpha=0.7)
|
| 249 |
+
ax4.axhline(0, linestyle="--", alpha=0.7)
|
| 250 |
+
ax4.set_title("Residuals Over Time"); ax4.set_xlabel("Date"); ax4.set_ylabel("Residuals")
|
| 251 |
+
for lbl in ax4.get_xticklabels():
|
| 252 |
+
lbl.set_rotation(45); lbl.set_ha("right")
|
| 253 |
+
ax4.grid(True, alpha=0.3)
|
| 254 |
+
|
| 255 |
+
# Scale–Location
|
| 256 |
+
ax5 = fig_resid.add_subplot(gs[2, 0])
|
| 257 |
+
std_resid = sm_model.resid / sm_model.resid.std()
|
| 258 |
+
ax5.scatter(sm_model.fittedvalues, np.sqrt(np.abs(std_resid)), alpha=0.65)
|
| 259 |
+
ax5.set_title("Scale-Location Plot"); ax5.set_xlabel("Fitted Values"); ax5.set_ylabel("√|Standardized Residuals|")
|
| 260 |
+
ax5.grid(True, alpha=0.3)
|
| 261 |
+
|
| 262 |
+
# Influence (Cook’s Distance)
|
| 263 |
+
ax6 = fig_resid.add_subplot(gs[2, 1])
|
| 264 |
+
try:
|
| 265 |
+
from statsmodels.stats.outliers_influence import OLSInfluence
|
| 266 |
+
infl = OLSInfluence(sm_model)
|
| 267 |
+
ax6.scatter(range(len(infl.cooks_distance[0])), infl.cooks_distance[0], alpha=0.65)
|
| 268 |
+
ax6.axhline(4/len(sm_model.resid), linestyle="--", alpha=0.7, label="4/n threshold")
|
| 269 |
+
ax6.legend()
|
| 270 |
+
except Exception:
|
| 271 |
+
ax6.text(0.5, 0.5, "Influence plot unavailable", ha="center", va="center")
|
| 272 |
+
ax6.set_title("Cook's Distance (Influence Plot)"); ax6.set_xlabel("Observation Index"); ax6.set_ylabel("Cook's Distance")
|
| 273 |
+
ax6.grid(True, alpha=0.3)
|
| 274 |
+
|
| 275 |
+
fig_resid.subplots_adjust(top=0.92, bottom=0.20, left=0.10, right=0.98, hspace=0.85, wspace=0.55) # MODIFIED
|
| 276 |
+
diagnostic_plots["residuals"] = fig_resid
|
| 277 |
+
|
| 278 |
+
except Exception as e:
|
| 279 |
+
report_lines.append(f" Could not create residual diagnostic plots: {e}")
|
| 280 |
+
|
| 281 |
+
return diagnostic_plots
|
| 282 |
+
|
| 283 |
+
|
| 284 |
+
def compare_model_specifications(pre_data: pd.DataFrame, formula_base: str,
|
| 285 |
+
control_columns: List[str], report_lines: List[str]):
|
| 286 |
+
"""
|
| 287 |
+
Fit linear vs polynomial pre-period trends; return dict possibly
|
| 288 |
+
containing 'comparison_plot' Figure. Append summary lines to report.
|
| 289 |
+
"""
|
| 290 |
+
report_lines.append("\n--- Model Specification Comparison ---")
|
| 291 |
+
try:
|
| 292 |
+
formula_linear = formula_base
|
| 293 |
+
formula_quad = 'y ~ 1 + time_index + I(time_index**2)' + ('' if not control_columns else ' + ' + ' + '.join(control_columns))
|
| 294 |
+
formula_cubic = 'y ~ 1 + time_index + I(time_index**2) + I(time_index**3)' + ('' if not control_columns else ' + ' + ' + '.join(control_columns))
|
| 295 |
+
|
| 296 |
+
models, formulas = {}, {'Linear': formula_linear, 'Quadratic': formula_quad, 'Cubic': formula_cubic}
|
| 297 |
+
for name, fml in formulas.items():
|
| 298 |
+
try:
|
| 299 |
+
y, X = patsy.dmatrices(fml, data=pre_data, return_type='dataframe')
|
| 300 |
+
models[name] = sm.OLS(y, X).fit()
|
| 301 |
+
report_lines.append(f"{name}: R² {models[name].rsquared:.3f}, AIC {models[name].aic:.1f}, BIC {models[name].bic:.1f}")
|
| 302 |
+
except Exception:
|
| 303 |
+
report_lines.append(f"{name}: could not fit")
|
| 304 |
+
|
| 305 |
+
out = {}
|
| 306 |
+
if 'Linear' in models:
|
| 307 |
+
fig, ax = plt.subplots(figsize=(11, 6))
|
| 308 |
+
ax.scatter(pre_data.index, pre_data['y'], alpha=0.6, label='Actual', color='black')
|
| 309 |
+
colors = {'Linear': 'tab:blue', 'Quadratic': 'tab:red', 'Cubic': 'tab:green'}
|
| 310 |
+
for name, mdl in models.items():
|
| 311 |
+
if hasattr(mdl, 'fittedvalues'):
|
| 312 |
+
ax.plot(pre_data.index, mdl.fittedvalues, label=f'{name} fit', color=colors.get(name, None), linewidth=2, alpha=0.85)
|
| 313 |
+
ax.set_title('Model Specification Comparison (Pre Period)')
|
| 314 |
+
ax.set_xlabel('Date'); ax.set_ylabel('Outcome'); ax.grid(True, alpha=0.3); ax.legend()
|
| 315 |
+
fig.tight_layout(pad=1.2)
|
| 316 |
+
out['comparison_plot'] = fig
|
| 317 |
+
|
| 318 |
+
if len(models) >= 2:
|
| 319 |
+
best = min(models.items(), key=lambda kv: kv[1].bic if hasattr(kv[1], 'bic') else np.inf)
|
| 320 |
+
report_lines.append(f"Recommended (by BIC): {best[0]}")
|
| 321 |
+
|
| 322 |
+
return out
|
| 323 |
+
|
| 324 |
+
except Exception as e:
|
| 325 |
+
report_lines.append(f" Could not compare model specifications: {e}")
|
| 326 |
+
return {}
|
| 327 |
+
|
| 328 |
+
|
| 329 |
+
# -------------------- analysis --------------------
|
| 330 |
+
|
| 331 |
+
def enhanced_its_analysis(file, target_col, date_col, pre_dates, post_dates, freq_input="D",
|
| 332 |
+
control_vars="", run_diagnostics=True, show_formulas=False):
|
| 333 |
+
"""
|
| 334 |
+
ITS analysis using CausalPy with diagnostics and optional model-spec comparison.
|
| 335 |
+
Returns (report_text, stacked_image).
|
| 336 |
+
"""
|
| 337 |
+
if file is None:
|
| 338 |
+
return "Error: No file uploaded.", None
|
| 339 |
+
|
| 340 |
+
try:
|
| 341 |
+
# Load & validate
|
| 342 |
+
df = pd.read_csv(file.name)
|
| 343 |
+
if date_col not in df.columns:
|
| 344 |
+
return f"Error: Date column '{date_col}' not found.", None
|
| 345 |
+
if target_col not in df.columns:
|
| 346 |
+
return f"Error: Column '{target_col}' not found.", None
|
| 347 |
+
|
| 348 |
+
df[date_col] = pd.to_datetime(df[date_col], errors="coerce")
|
| 349 |
+
df = df.dropna(subset=[date_col]).sort_values(date_col).set_index(date_col)
|
| 350 |
+
df[target_col] = pd.to_numeric(df[target_col], errors="coerce")
|
| 351 |
+
df = df.dropna(subset=[target_col]).rename(columns={target_col: "y"})
|
| 352 |
+
df["time_index"] = np.arange(len(df), dtype=int)
|
| 353 |
+
|
| 354 |
+
# Periods
|
| 355 |
+
try:
|
| 356 |
+
pre_s, pre_e = [pd.to_datetime(s.strip(), errors="raise") for s in pre_dates.split(",")]
|
| 357 |
+
post_s, post_e = [pd.to_datetime(s.strip(), errors="raise") for s in post_dates.split(",")]
|
| 358 |
+
except Exception:
|
| 359 |
+
return "Error: Use 'YYYY-MM-DD,YYYY-MM-DD' for pre/post.", None
|
| 360 |
+
if not (pre_s <= pre_e < post_s <= post_e):
|
| 361 |
+
return "Error: Must satisfy pre_start <= pre_end < post_start <= post_end.", None
|
| 362 |
+
|
| 363 |
+
df = df.loc[(df.index >= pre_s) & (df.index <= post_e)].copy()
|
| 364 |
+
if df.empty:
|
| 365 |
+
return "Error: No data in the specified overall date range.", None
|
| 366 |
+
|
| 367 |
+
# Controls
|
| 368 |
+
control_columns: List[str] = []
|
| 369 |
+
if control_vars and control_vars.strip():
|
| 370 |
+
control_columns = [c.strip() for c in control_vars.split(",") if c.strip()]
|
| 371 |
+
missing = [c for c in control_columns if c not in df.columns]
|
| 372 |
+
if missing:
|
| 373 |
+
return f"Error: Control variable(s) not found: {', '.join(missing)}", None
|
| 374 |
+
for c in control_columns:
|
| 375 |
+
df[c] = pd.to_numeric(df[c], errors="coerce")
|
| 376 |
+
df = df.dropna(subset=control_columns)
|
| 377 |
+
if df.empty:
|
| 378 |
+
return "Error: Data empty after removing NA rows for controls.", None
|
| 379 |
+
|
| 380 |
+
season_terms: List[str] = []
|
| 381 |
+
if SEASONALITY_ENABLED:
|
| 382 |
+
df, season_terms = _add_frequency_aware_seasonality(df, freq_input)
|
| 383 |
+
|
| 384 |
+
# Formula (base + seasonal + controls)
|
| 385 |
+
formula = "y ~ 1 + time_index"
|
| 386 |
+
if season_terms:
|
| 387 |
+
season_rhs = " + ".join(season_terms) # 'C(...)' tokens or column names
|
| 388 |
+
formula += " + " + season_rhs
|
| 389 |
+
if control_columns:
|
| 390 |
+
formula += " + " + " + ".join(control_columns)
|
| 391 |
+
|
| 392 |
+
# Fit pre-period OLS for inference components
|
| 393 |
+
pre_df = df.loc[df.index < post_s]
|
| 394 |
+
if pre_df.empty:
|
| 395 |
+
return "Error: Pre-intervention period is empty after filtering.", None
|
| 396 |
+
y_pre, X_pre = patsy.dmatrices(formula, data=pre_df, return_type="dataframe")
|
| 397 |
+
if X_pre.shape[0] <= X_pre.shape[1]:
|
| 398 |
+
return f"Error: Not enough pre-period observations ({X_pre.shape[0]}) to estimate {X_pre.shape[1]} parameters.", None
|
| 399 |
+
|
| 400 |
+
# HAC bandwidth (auto or user-provided)
|
| 401 |
+
if HAC_ENABLED:
|
| 402 |
+
if isinstance(HAC_MAXLAGS, str) and HAC_MAXLAGS.lower() == "auto":
|
| 403 |
+
hac_lags = _nw_auto_maxlags(len(pre_df))
|
| 404 |
+
else:
|
| 405 |
+
hac_lags = int(HAC_MAXLAGS)
|
| 406 |
+
sm_ols = sm.OLS(y_pre, X_pre).fit(
|
| 407 |
+
cov_type="HAC",
|
| 408 |
+
cov_kwds={"maxlags": hac_lags, "use_correction": HAC_SMALL_SAMPLE_CORR}
|
| 409 |
+
)
|
| 410 |
+
inference_note = f"HAC (Newey–West), maxlags={hac_lags}"
|
| 411 |
+
else:
|
| 412 |
+
sm_ols = sm.OLS(y_pre, X_pre).fit()
|
| 413 |
+
inference_note = "OLS (iid errors assumption)"
|
| 414 |
+
|
| 415 |
+
# Post design for counterfactual mean + inference
|
| 416 |
+
post_df = df.loc[(df.index >= post_s) & (df.index <= post_e)]
|
| 417 |
+
X_post = patsy.dmatrix(formula.split("~", 1)[1], data=post_df, return_type="dataframe")
|
| 418 |
+
pred_cf = sm_ols.predict(X_post)
|
| 419 |
+
observed_post = post_df['y']
|
| 420 |
+
|
| 421 |
+
post_mean = float(observed_post.mean())
|
| 422 |
+
cf_mean = float(np.asarray(pred_cf).mean())
|
| 423 |
+
effect = post_mean - cf_mean
|
| 424 |
+
|
| 425 |
+
if HAC_ENABLED:
|
| 426 |
+
post_se = _nw_se_of_mean(observed_post, maxlags=_nw_auto_maxlags(len(observed_post)) if (isinstance(HAC_MAXLAGS, str) and HAC_MAXLAGS.lower()=="auto") else int(HAC_MAXLAGS))
|
| 427 |
+
else:
|
| 428 |
+
post_se = float(observed_post.std(ddof=1) / np.sqrt(len(observed_post))) if len(observed_post) >= 2 else np.nan
|
| 429 |
+
|
| 430 |
+
# SE(counterfactual mean) via delta method using (robust) cov(beta)
|
| 431 |
+
cov_beta = sm_ols.cov_params() # MODIFIED: robust if HAC_ENABLED=True
|
| 432 |
+
X_bar = X_post.mean(axis=0).reindex(cov_beta.columns)
|
| 433 |
+
var_cf_mean = float(X_bar.T @ cov_beta @ X_bar)
|
| 434 |
+
cf_se = float(np.sqrt(var_cf_mean)) if var_cf_mean >= 0 else np.nan
|
| 435 |
+
|
| 436 |
+
# Combine SEs (independence approximation between observed and cf)
|
| 437 |
+
eff_se = float(np.sqrt(post_se**2 + cf_se**2)) if (np.isfinite(post_se) and np.isfinite(cf_se)) else np.nan
|
| 438 |
+
|
| 439 |
+
# test statistic & CI — normal (z) under HAC, t otherwise
|
| 440 |
+
if np.isfinite(eff_se) and eff_se > 0:
|
| 441 |
+
if HAC_ENABLED:
|
| 442 |
+
z_stat = effect / eff_se
|
| 443 |
+
p_value = 2 * (1 - stats.norm.cdf(abs(z_stat)))
|
| 444 |
+
ci_margin = 1.96 * eff_se
|
| 445 |
+
ci_low, ci_high = effect - ci_margin, effect + ci_margin
|
| 446 |
+
test_line = f" z-statistic: {z_stat:.3f}"
|
| 447 |
+
else:
|
| 448 |
+
df_t = max(int(sm_ols.df_resid), 1)
|
| 449 |
+
t_stat = effect / eff_se
|
| 450 |
+
p_value = 2 * (1 - stats.t.cdf(abs(t_stat), df=df_t))
|
| 451 |
+
ci_low, ci_high = stats.t.interval(0.95, df_t, loc=effect, scale=eff_se)
|
| 452 |
+
test_line = f" t-statistic: {t_stat:.3f}"
|
| 453 |
+
else:
|
| 454 |
+
p_value = ci_low = ci_high = np.nan
|
| 455 |
+
test_line = " (Test statistic unavailable)"
|
| 456 |
+
|
| 457 |
+
# Build report
|
| 458 |
+
report_lines = [
|
| 459 |
+
"=" * 60,
|
| 460 |
+
"INTERRUPTED TIME SERIES ANALYSIS REPORT",
|
| 461 |
+
"=" * 60,
|
| 462 |
+
f"\nOutcome: {target_col}",
|
| 463 |
+
f"Pre: {pre_s.date()} to {pre_e.date()} | Post: {post_s.date()} to {post_e.date()}",
|
| 464 |
+
f"Frequency: {freq_input}",
|
| 465 |
+
f"Formula: {formula}",
|
| 466 |
+
f"Inference method: {inference_note}", # MODIFIED: document inference method
|
| 467 |
+
"\n" + "=" * 60,
|
| 468 |
+
"MAIN RESULTS",
|
| 469 |
+
"=" * 60,
|
| 470 |
+
f"Observed post-intervention mean: {post_mean:.3f}",
|
| 471 |
+
f"Estimated counterfactual mean: {cf_mean:.3f}",
|
| 472 |
+
f"**Estimated average effect: {effect:.3f}**",
|
| 473 |
+
]
|
| 474 |
+
if np.isfinite(eff_se):
|
| 475 |
+
report_lines += [
|
| 476 |
+
"\nStatistical inference:",
|
| 477 |
+
f" Standard error: {eff_se:.3f}",
|
| 478 |
+
f" 95% Confidence interval: [{ci_low:.3f}, {ci_high:.3f}]",
|
| 479 |
+
test_line,
|
| 480 |
+
f" p-value: {p_value:.4f}",
|
| 481 |
+
]
|
| 482 |
+
else:
|
| 483 |
+
report_lines.append("\n(Statistical inference unavailable due to insufficient data)")
|
| 484 |
+
|
| 485 |
+
# Main ITS (CausalPy) figure
|
| 486 |
+
its = cp.InterruptedTimeSeries(
|
| 487 |
+
data=df, formula=formula, treatment_time=post_s, model=LinearRegression(), freq=freq_input
|
| 488 |
+
)
|
| 489 |
+
result = its.plot(plot_predict_all=False, plot_show_params=True)
|
| 490 |
+
fig_main = result[0] if isinstance(result, tuple) else result
|
| 491 |
+
# MODIFIED: make sure the ITS composite is large, rotate ticks & add spacing
|
| 492 |
+
try:
|
| 493 |
+
fig_main.set_size_inches(14, 9, forward=True)
|
| 494 |
+
except Exception:
|
| 495 |
+
pass
|
| 496 |
+
_rotate_all_xticklabels(fig_main)
|
| 497 |
+
try:
|
| 498 |
+
fig_main.tight_layout(pad=1.3)
|
| 499 |
+
fig_main.subplots_adjust(top=0.92, bottom=0.20, left=0.08, right=0.98, hspace=0.42)
|
| 500 |
+
except Exception:
|
| 501 |
+
pass
|
| 502 |
+
|
| 503 |
+
images: List[Image.Image] = [_fig_to_pil(fig_main)]
|
| 504 |
+
|
| 505 |
+
# Diagnostics + comparison
|
| 506 |
+
if run_diagnostics:
|
| 507 |
+
diag_figs = add_diagnostic_tests(sm_ols, pre_df, formula, report_lines)
|
| 508 |
+
if "acf" in diag_figs:
|
| 509 |
+
images.append(_fig_to_pil(diag_figs["acf"]))
|
| 510 |
+
if "residuals" in diag_figs:
|
| 511 |
+
images.append(_fig_to_pil(diag_figs["residuals"]))
|
| 512 |
+
else:
|
| 513 |
+
report_lines.append("\n(Diagnostic plots disabled)")
|
| 514 |
+
|
| 515 |
+
if show_formulas:
|
| 516 |
+
cmp_figs = compare_model_specifications(pre_df, formula, control_columns, report_lines)
|
| 517 |
+
if "comparison_plot" in cmp_figs:
|
| 518 |
+
images.append(_fig_to_pil(cmp_figs["comparison_plot"]))
|
| 519 |
+
else:
|
| 520 |
+
report_lines.append("\n(Model specification comparison disabled)")
|
| 521 |
+
|
| 522 |
+
final_img = images[0] if len(images) == 1 else _stack_images_vertical(images, pad=22)
|
| 523 |
+
|
| 524 |
+
return "\n".join(report_lines), final_img
|
| 525 |
+
|
| 526 |
+
except Exception as e:
|
| 527 |
+
return f"An unexpected error occurred: {e}\n{traceback.format_exc()}", None
|
| 528 |
+
|
| 529 |
+
|
| 530 |
+
def run_its_analysis(file, target_col, date_col, pre_dates, post_dates, freq_input,
|
| 531 |
+
control_vars="", run_diagnostics=True, show_formulas=False):
|
| 532 |
+
"""Public entrypoint used by the UI."""
|
| 533 |
+
return enhanced_its_analysis(file, target_col, date_col, pre_dates, post_dates,
|
| 534 |
+
freq_input, control_vars, run_diagnostics, show_formulas)
|