SARIMAX python np.linalg.linalg.LinAlgError: LU decomposition error

See original GitHub issue

Hello, I have a problem with time series analysis. I have a dataset with 5 features. Following is the subset of my input dataset:

date,price,year,day,totaltx 1/1/2016 0:00,434.46,2016,1,126762 1/2/2016 0:00,433.59,2016,2,147449 1/3/2016 0:00,430.36,2016,3,148661 1/4/2016 0:00,433.49,2016,4,185279 1/5/2016 0:00,432.25,2016,5,178723 1/6/2016 0:00,429.46,2016,6,184207

My endogenous data is price column and exogenous data is totaltx price. This is the code I am running and getting an error:

import statsmodels.api as sm
import pandas as pd
import numpy as np
from numpy.linalg import LinAlgError

def arima(filteredData, coinOutput, window, horizon, trainLength):
    start_index = 0
    end_index = 0
    inputNumber = filteredData.shape[0]
    predictions = np.array([], dtype=np.float32)
    prices = np.array([], dtype=np.float32)
    # sliding on time series data with 1 day step
    while ((end_index) < inputNumber - 1):
        end_index = start_index + trainLength
        trainFeatures = filteredData[start_index:end_index]["totaltx"]
        trainOutput = coinOutput[start_index:end_index]["price"]

        arima = sm.tsa.statespace.SARIMAX(endog=trainOutput.values, exog=trainFeatures.values, order=(window, 0, 0))
        arima_fit = arima.fit(disp=0)
        testdata=filteredData[end_index:end_index+1]["totaltx"]
        total_sample = end_index-start_index
        predicted = arima_fit.predict(start=total_sample, end=total_sample, exog=np.array(testdata.values).reshape(-1,1))
        price = coinOutput[end_index:end_index + 1]["price"].values

        predictions = np.append(predictions, predicted)
        prices = np.append(prices, price)

        start_index = start_index + 1
    return predictions, prices

def processCoins(bitcoinPrice, window, horizon):
    output = bitcoinPrice[horizon:][["date", "day", "year", "price"]]
    return output

trainLength=100;
for window in [3,5]:
    for horizon in [1,2,5,7,10]:
        bitcoinPrice = pd.read_csv("..\\prices.csv", sep=",")
        coinOutput = processCoins(bitcoinPrice, window, horizon)
        predictions, prices = arima(bitcoinPrice, coinOutput, window, horizon, trainLength)

In this code, I am using rolling window regression technique. I am training arima for start_index:end_index and predicting the test data with end_index:end_index+1

This the error that is thrown from my code:

Traceback (most recent call last):
  File "C:/PycharmProjects/coinLogPrediction/src/arima.py", line 115, in <module>
    predictions, prices = arima(filteredBitcoinPrice, coinOutput, window, horizon, trainLength, outputFile)
  File "C:/PycharmProjects/coinLogPrediction/src/arima.py", line 64, in arima
    arima_fit = arima.fit(disp=0)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\tsa\statespace\mlemodel.py", line 469, in fit
    skip_hessian=True, **kwargs)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\base\model.py", line 466, in fit
    full_output=full_output)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\base\optimizer.py", line 191, in _fit
    hess=hessian)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\base\optimizer.py", line 410, in _fit_lbfgs
    **extra_kwargs)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\scipy\optimize\lbfgsb.py", line 193, in fmin_l_bfgs_b
    **opts)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\scipy\optimize\lbfgsb.py", line 328, in _minimize_lbfgsb
    f, g = func_and_grad(x)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\scipy\optimize\lbfgsb.py", line 273, in func_and_grad
    f = fun(x, *args)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\scipy\optimize\optimize.py", line 292, in function_wrapper
    return function(*(wrapper_args + args))
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\base\model.py", line 440, in f
    return -self.loglike(params, *args) / nobs
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\tsa\statespace\mlemodel.py", line 646, in loglike
    loglike = self.ssm.loglike(complex_step=complex_step, **kwargs)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\tsa\statespace\kalman_filter.py", line 825, in loglike
    kfilter = self._filter(**kwargs)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\tsa\statespace\kalman_filter.py", line 747, in _filter
    self._initialize_state(prefix=prefix, complex_step=complex_step)
  File "C:\AppData\Local\Continuum\Anaconda3\lib\site-packages\statsmodels\tsa\statespace\representation.py", line 723, in _initialize_state
    self._statespaces[prefix].initialize_stationary(complex_step)
  File "_representation.pyx", line 1351, in statsmodels.tsa.statespace._representation.dStatespace.initialize_stationary
  File "_tools.pyx", line 1151, in statsmodels.tsa.statespace._tools._dsolve_discrete_lyapunov
numpy.linalg.linalg.LinAlgError: LU decomposition error.

I believe that there is a bug in statsmodels if I do not have any error. Can you please help me to solve it?

Issue Analytics

  • State:open
  • Created 5 years ago
  • Comments:22 (6 by maintainers)

github_iconTop GitHub Comments

18reactions
i-pkcommented, Feb 19, 2020

Hi folks, I was having the same error,

Erroneous code: mod = sm.tsa.SARIMAX(y, order=(0 1,0), seasonal_order=(1,0,0,12)) res = mod.fit()

This gave me error : LinAlgError: Schur decomposition solver error

I was able to solve this error after doing some modification in code: mod = sm.tsa.SARIMAX(y, order=(0 1,0), seasonal_order=(1,0,0,12),enforce_stationarity=False) res = mod.fit()

Hope this helps…🙂

0reactions
supercode-rcommented, Aug 22, 2022

My solution for this error, was to manually check if the last value is 0 or not. I noticed that if last value of time series was 0, it would give me LU decomposition error. Therefore, I changed the last value to the date when the value is not 0 and the error was gone. output It gave me error for this, note the last value was 0.

altered But it worked fine for this, when I altered the last value.

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