FREDML / src /analysis /comprehensive_analytics.py
Edwin Salguero
feat: Integrate advanced analytics and enterprise UI
26a8ea5
raw
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29.2 kB
"""
Comprehensive Analytics Pipeline
Orchestrates advanced analytics including forecasting, segmentation, statistical modeling, and insights
"""
import logging
import os
from datetime import datetime
from typing import Dict, List, Optional, Tuple
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import seaborn as sns
from pathlib import Path
from src.analysis.economic_forecasting import EconomicForecaster
from src.analysis.economic_segmentation import EconomicSegmentation
from src.analysis.statistical_modeling import StatisticalModeling
from src.core.enhanced_fred_client import EnhancedFREDClient
logger = logging.getLogger(__name__)
class ComprehensiveAnalytics:
"""
Comprehensive analytics pipeline for economic data analysis
combining forecasting, segmentation, statistical modeling, and insights extraction
"""
def __init__(self, api_key: str, output_dir: str = "data/exports"):
"""
Initialize comprehensive analytics pipeline
Args:
api_key: FRED API key
output_dir: Output directory for results
"""
self.client = EnhancedFREDClient(api_key)
self.output_dir = Path(output_dir)
self.output_dir.mkdir(parents=True, exist_ok=True)
# Initialize analytics modules
self.forecaster = None
self.segmentation = None
self.statistical_modeling = None
# Results storage
self.data = None
self.results = {}
self.reports = {}
def run_complete_analysis(self, indicators: List[str] = None,
start_date: str = '1990-01-01',
end_date: str = None,
forecast_periods: int = 4,
include_visualizations: bool = True) -> Dict:
"""
Run complete advanced analytics pipeline
Args:
indicators: List of economic indicators to analyze
start_date: Start date for analysis
end_date: End date for analysis
forecast_periods: Number of periods to forecast
include_visualizations: Whether to generate visualizations
Returns:
Dictionary with all analysis results
"""
logger.info("Starting comprehensive economic analytics pipeline")
# Step 1: Data Collection
logger.info("Step 1: Collecting economic data")
self.data = self.client.fetch_economic_data(
indicators=indicators,
start_date=start_date,
end_date=end_date,
frequency='auto'
)
# Step 2: Data Quality Assessment
logger.info("Step 2: Assessing data quality")
quality_report = self.client.validate_data_quality(self.data)
self.results['data_quality'] = quality_report
# Step 3: Initialize Analytics Modules
logger.info("Step 3: Initializing analytics modules")
self.forecaster = EconomicForecaster(self.data)
self.segmentation = EconomicSegmentation(self.data)
self.statistical_modeling = StatisticalModeling(self.data)
# Step 4: Statistical Modeling
logger.info("Step 4: Performing statistical modeling")
statistical_results = self._run_statistical_analysis()
self.results['statistical_modeling'] = statistical_results
# Step 5: Economic Forecasting
logger.info("Step 5: Performing economic forecasting")
forecasting_results = self._run_forecasting_analysis(forecast_periods)
self.results['forecasting'] = forecasting_results
# Step 6: Economic Segmentation
logger.info("Step 6: Performing economic segmentation")
segmentation_results = self._run_segmentation_analysis()
self.results['segmentation'] = segmentation_results
# Step 7: Insights Extraction
logger.info("Step 7: Extracting insights")
insights = self._extract_insights()
self.results['insights'] = insights
# Step 8: Generate Reports and Visualizations
logger.info("Step 8: Generating reports and visualizations")
if include_visualizations:
self._generate_visualizations()
self._generate_comprehensive_report()
logger.info("Comprehensive analytics pipeline completed successfully")
return self.results
def _run_statistical_analysis(self) -> Dict:
"""Run comprehensive statistical analysis"""
results = {}
# Correlation analysis
logger.info(" - Performing correlation analysis")
correlation_results = self.statistical_modeling.analyze_correlations()
results['correlation'] = correlation_results
# Regression analysis for key indicators
key_indicators = ['GDPC1', 'INDPRO', 'RSAFS']
regression_results = {}
for target in key_indicators:
if target in self.data.columns:
logger.info(f" - Fitting regression model for {target}")
try:
regression_result = self.statistical_modeling.fit_regression_model(
target=target,
lag_periods=4,
include_interactions=False
)
regression_results[target] = regression_result
except Exception as e:
logger.warning(f"Regression failed for {target}: {e}")
regression_results[target] = {'error': str(e)}
results['regression'] = regression_results
# Granger causality analysis
logger.info(" - Performing Granger causality analysis")
causality_results = {}
for target in key_indicators:
if target in self.data.columns:
causality_results[target] = {}
for predictor in self.data.columns:
if predictor != target:
try:
causality_result = self.statistical_modeling.perform_granger_causality(
target=target,
predictor=predictor,
max_lags=4
)
causality_results[target][predictor] = causality_result
except Exception as e:
logger.warning(f"Causality test failed for {target} -> {predictor}: {e}")
causality_results[target][predictor] = {'error': str(e)}
results['causality'] = causality_results
return results
def _run_forecasting_analysis(self, forecast_periods: int) -> Dict:
"""Run comprehensive forecasting analysis"""
logger.info(" - Forecasting economic indicators")
# Focus on key indicators for forecasting
key_indicators = ['GDPC1', 'INDPRO', 'RSAFS']
available_indicators = [ind for ind in key_indicators if ind in self.data.columns]
if not available_indicators:
logger.warning("No key indicators available for forecasting")
return {'error': 'No suitable indicators for forecasting'}
# Perform forecasting
forecasting_results = self.forecaster.forecast_economic_indicators(available_indicators)
return forecasting_results
def _run_segmentation_analysis(self) -> Dict:
"""Run comprehensive segmentation analysis"""
results = {}
# Time period clustering
logger.info(" - Clustering time periods")
try:
time_period_clusters = self.segmentation.cluster_time_periods(
indicators=['GDPC1', 'INDPRO', 'RSAFS'],
method='kmeans'
)
results['time_period_clusters'] = time_period_clusters
except Exception as e:
logger.warning(f"Time period clustering failed: {e}")
results['time_period_clusters'] = {'error': str(e)}
# Series clustering
logger.info(" - Clustering economic series")
try:
series_clusters = self.segmentation.cluster_economic_series(
indicators=['GDPC1', 'INDPRO', 'RSAFS', 'CPIAUCSL', 'FEDFUNDS', 'DGS10'],
method='kmeans'
)
results['series_clusters'] = series_clusters
except Exception as e:
logger.warning(f"Series clustering failed: {e}")
results['series_clusters'] = {'error': str(e)}
return results
def _extract_insights(self) -> Dict:
"""Extract key insights from all analyses"""
insights = {
'key_findings': [],
'economic_indicators': {},
'forecasting_insights': [],
'segmentation_insights': [],
'statistical_insights': []
}
# Extract insights from forecasting
if 'forecasting' in self.results:
forecasting_results = self.results['forecasting']
for indicator, result in forecasting_results.items():
if 'error' not in result:
# Model performance insights
backtest = result.get('backtest', {})
if 'error' not in backtest:
mape = backtest.get('mape', 0)
if mape < 5:
insights['forecasting_insights'].append(
f"{indicator} forecasting shows excellent accuracy (MAPE: {mape:.2f}%)"
)
elif mape < 10:
insights['forecasting_insights'].append(
f"{indicator} forecasting shows good accuracy (MAPE: {mape:.2f}%)"
)
else:
insights['forecasting_insights'].append(
f"{indicator} forecasting shows moderate accuracy (MAPE: {mape:.2f}%)"
)
# Stationarity insights
stationarity = result.get('stationarity', {})
if 'is_stationary' in stationarity:
if stationarity['is_stationary']:
insights['forecasting_insights'].append(
f"{indicator} series is stationary, suitable for time series modeling"
)
else:
insights['forecasting_insights'].append(
f"{indicator} series is non-stationary, may require differencing"
)
# Extract insights from segmentation
if 'segmentation' in self.results:
segmentation_results = self.results['segmentation']
# Time period clustering insights
if 'time_period_clusters' in segmentation_results:
time_clusters = segmentation_results['time_period_clusters']
if 'error' not in time_clusters:
n_clusters = time_clusters.get('n_clusters', 0)
insights['segmentation_insights'].append(
f"Time periods clustered into {n_clusters} distinct economic regimes"
)
# Series clustering insights
if 'series_clusters' in segmentation_results:
series_clusters = segmentation_results['series_clusters']
if 'error' not in series_clusters:
n_clusters = series_clusters.get('n_clusters', 0)
insights['segmentation_insights'].append(
f"Economic series clustered into {n_clusters} groups based on behavior patterns"
)
# Extract insights from statistical modeling
if 'statistical_modeling' in self.results:
stat_results = self.results['statistical_modeling']
# Correlation insights
if 'correlation' in stat_results:
corr_results = stat_results['correlation']
significant_correlations = corr_results.get('significant_correlations', [])
if significant_correlations:
strongest_corr = significant_correlations[0]
insights['statistical_insights'].append(
f"Strongest correlation: {strongest_corr['variable1']}{strongest_corr['variable2']} "
f"(r={strongest_corr['correlation']:.3f})"
)
# Regression insights
if 'regression' in stat_results:
reg_results = stat_results['regression']
for target, result in reg_results.items():
if 'error' not in result:
performance = result.get('performance', {})
r2 = performance.get('r2', 0)
if r2 > 0.7:
insights['statistical_insights'].append(
f"{target} regression model shows strong explanatory power (R² = {r2:.3f})"
)
elif r2 > 0.5:
insights['statistical_insights'].append(
f"{target} regression model shows moderate explanatory power (R² = {r2:.3f})"
)
# Generate key findings
insights['key_findings'] = [
f"Analysis covers {len(self.data.columns)} economic indicators from {self.data.index.min().strftime('%Y-%m')} to {self.data.index.max().strftime('%Y-%m')}",
f"Dataset contains {len(self.data)} observations with {self.data.shape[0] * self.data.shape[1]} total data points",
f"Generated {len(insights['forecasting_insights'])} forecasting insights",
f"Generated {len(insights['segmentation_insights'])} segmentation insights",
f"Generated {len(insights['statistical_insights'])} statistical insights"
]
return insights
def _generate_visualizations(self):
"""Generate comprehensive visualizations"""
logger.info("Generating visualizations")
# Set style
plt.style.use('seaborn-v0_8')
sns.set_palette("husl")
# 1. Time Series Plot
self._plot_time_series()
# 2. Correlation Heatmap
self._plot_correlation_heatmap()
# 3. Forecasting Results
self._plot_forecasting_results()
# 4. Segmentation Results
self._plot_segmentation_results()
# 5. Statistical Diagnostics
self._plot_statistical_diagnostics()
logger.info("Visualizations generated successfully")
def _plot_time_series(self):
"""Plot time series of economic indicators"""
fig, axes = plt.subplots(3, 2, figsize=(15, 12))
axes = axes.flatten()
key_indicators = ['GDPC1', 'INDPRO', 'RSAFS', 'CPIAUCSL', 'FEDFUNDS', 'DGS10']
for i, indicator in enumerate(key_indicators):
if indicator in self.data.columns and i < len(axes):
series = self.data[indicator].dropna()
axes[i].plot(series.index, series.values, linewidth=1.5)
axes[i].set_title(f'{indicator} - {self.client.ECONOMIC_INDICATORS.get(indicator, indicator)}')
axes[i].set_xlabel('Date')
axes[i].set_ylabel('Value')
axes[i].grid(True, alpha=0.3)
plt.tight_layout()
plt.savefig(self.output_dir / 'economic_indicators_time_series.png', dpi=300, bbox_inches='tight')
plt.close()
def _plot_correlation_heatmap(self):
"""Plot correlation heatmap"""
if 'statistical_modeling' in self.results:
corr_results = self.results['statistical_modeling'].get('correlation', {})
if 'correlation_matrix' in corr_results:
corr_matrix = corr_results['correlation_matrix']
plt.figure(figsize=(12, 10))
mask = np.triu(np.ones_like(corr_matrix, dtype=bool))
sns.heatmap(corr_matrix, mask=mask, annot=True, cmap='RdBu_r', center=0,
square=True, linewidths=0.5, cbar_kws={"shrink": .8})
plt.title('Economic Indicators Correlation Matrix')
plt.tight_layout()
plt.savefig(self.output_dir / 'correlation_heatmap.png', dpi=300, bbox_inches='tight')
plt.close()
def _plot_forecasting_results(self):
"""Plot forecasting results"""
if 'forecasting' in self.results:
forecasting_results = self.results['forecasting']
n_indicators = len([k for k, v in forecasting_results.items() if 'error' not in v])
if n_indicators > 0:
fig, axes = plt.subplots(n_indicators, 1, figsize=(15, 5*n_indicators))
if n_indicators == 1:
axes = [axes]
i = 0
for indicator, result in forecasting_results.items():
if 'error' not in result and i < len(axes):
series = result.get('series', pd.Series())
forecast = result.get('forecast', {})
if not series.empty and 'forecast' in forecast:
# Plot historical data
axes[i].plot(series.index, series.values, label='Historical', linewidth=2)
# Plot forecast
if hasattr(forecast['forecast'], 'index'):
forecast_values = forecast['forecast']
forecast_index = pd.date_range(
start=series.index[-1] + pd.DateOffset(months=3),
periods=len(forecast_values),
freq='Q'
)
axes[i].plot(forecast_index, forecast_values, 'r--',
label='Forecast', linewidth=2)
axes[i].set_title(f'{indicator} - Forecast')
axes[i].set_xlabel('Date')
axes[i].set_ylabel('Growth Rate')
axes[i].legend()
axes[i].grid(True, alpha=0.3)
i += 1
plt.tight_layout()
plt.savefig(self.output_dir / 'forecasting_results.png', dpi=300, bbox_inches='tight')
plt.close()
def _plot_segmentation_results(self):
"""Plot segmentation results"""
if 'segmentation' in self.results:
segmentation_results = self.results['segmentation']
# Plot time period clusters
if 'time_period_clusters' in segmentation_results:
time_clusters = segmentation_results['time_period_clusters']
if 'error' not in time_clusters and 'pca_data' in time_clusters:
pca_data = time_clusters['pca_data']
cluster_labels = time_clusters['cluster_labels']
plt.figure(figsize=(10, 8))
scatter = plt.scatter(pca_data[:, 0], pca_data[:, 1],
c=cluster_labels, cmap='viridis', alpha=0.7)
plt.colorbar(scatter)
plt.title('Time Period Clustering (PCA)')
plt.xlabel('Principal Component 1')
plt.ylabel('Principal Component 2')
plt.tight_layout()
plt.savefig(self.output_dir / 'time_period_clustering.png', dpi=300, bbox_inches='tight')
plt.close()
def _plot_statistical_diagnostics(self):
"""Plot statistical diagnostics"""
if 'statistical_modeling' in self.results:
stat_results = self.results['statistical_modeling']
# Plot regression diagnostics
if 'regression' in stat_results:
reg_results = stat_results['regression']
for target, result in reg_results.items():
if 'error' not in result and 'residuals' in result:
residuals = result['residuals']
fig, axes = plt.subplots(2, 2, figsize=(12, 10))
# Residuals vs fitted
predictions = result.get('predictions', [])
if len(predictions) == len(residuals):
axes[0, 0].scatter(predictions, residuals, alpha=0.6)
axes[0, 0].axhline(y=0, color='r', linestyle='--')
axes[0, 0].set_title('Residuals vs Fitted')
axes[0, 0].set_xlabel('Fitted Values')
axes[0, 0].set_ylabel('Residuals')
# Q-Q plot
from scipy import stats
stats.probplot(residuals, dist="norm", plot=axes[0, 1])
axes[0, 1].set_title('Q-Q Plot')
# Histogram of residuals
axes[1, 0].hist(residuals, bins=20, alpha=0.7, edgecolor='black')
axes[1, 0].set_title('Residuals Distribution')
axes[1, 0].set_xlabel('Residuals')
axes[1, 0].set_ylabel('Frequency')
# Time series of residuals
axes[1, 1].plot(residuals.index, residuals.values)
axes[1, 1].axhline(y=0, color='r', linestyle='--')
axes[1, 1].set_title('Residuals Time Series')
axes[1, 1].set_xlabel('Time')
axes[1, 1].set_ylabel('Residuals')
plt.suptitle(f'Regression Diagnostics - {target}')
plt.tight_layout()
plt.savefig(self.output_dir / f'regression_diagnostics_{target}.png',
dpi=300, bbox_inches='tight')
plt.close()
def _generate_comprehensive_report(self):
"""Generate comprehensive analysis report"""
logger.info("Generating comprehensive report")
# Generate individual reports
if 'statistical_modeling' in self.results:
stat_report = self.statistical_modeling.generate_statistical_report(
regression_results=self.results['statistical_modeling'].get('regression'),
correlation_results=self.results['statistical_modeling'].get('correlation'),
causality_results=self.results['statistical_modeling'].get('causality')
)
self.reports['statistical'] = stat_report
if 'forecasting' in self.results:
forecast_report = self.forecaster.generate_forecast_report(self.results['forecasting'])
self.reports['forecasting'] = forecast_report
if 'segmentation' in self.results:
segmentation_report = self.segmentation.generate_segmentation_report(
time_period_clusters=self.results['segmentation'].get('time_period_clusters'),
series_clusters=self.results['segmentation'].get('series_clusters')
)
self.reports['segmentation'] = segmentation_report
# Generate comprehensive report
comprehensive_report = self._generate_comprehensive_summary()
# Save reports
timestamp = datetime.now().strftime('%Y%m%d_%H%M%S')
with open(self.output_dir / f'comprehensive_analysis_report_{timestamp}.txt', 'w') as f:
f.write(comprehensive_report)
# Save individual reports
for report_name, report_content in self.reports.items():
with open(self.output_dir / f'{report_name}_report_{timestamp}.txt', 'w') as f:
f.write(report_content)
logger.info(f"Reports saved to {self.output_dir}")
def _generate_comprehensive_summary(self) -> str:
"""Generate comprehensive summary report"""
summary = "COMPREHENSIVE ECONOMIC ANALYTICS REPORT\n"
summary += "=" * 60 + "\n\n"
# Executive Summary
summary += "EXECUTIVE SUMMARY\n"
summary += "-" * 30 + "\n"
if 'insights' in self.results:
insights = self.results['insights']
summary += f"Key Findings:\n"
for finding in insights.get('key_findings', []):
summary += f" • {finding}\n"
summary += "\n"
# Data Overview
summary += "DATA OVERVIEW\n"
summary += "-" * 30 + "\n"
summary += self.client.generate_data_summary(self.data)
# Analysis Results Summary
summary += "ANALYSIS RESULTS SUMMARY\n"
summary += "-" * 30 + "\n"
# Forecasting Summary
if 'forecasting' in self.results:
summary += "Forecasting Results:\n"
forecasting_results = self.results['forecasting']
for indicator, result in forecasting_results.items():
if 'error' not in result:
backtest = result.get('backtest', {})
if 'error' not in backtest:
mape = backtest.get('mape', 0)
summary += f" • {indicator}: MAPE = {mape:.2f}%\n"
summary += "\n"
# Segmentation Summary
if 'segmentation' in self.results:
summary += "Segmentation Results:\n"
segmentation_results = self.results['segmentation']
if 'time_period_clusters' in segmentation_results:
time_clusters = segmentation_results['time_period_clusters']
if 'error' not in time_clusters:
n_clusters = time_clusters.get('n_clusters', 0)
summary += f" • Time periods clustered into {n_clusters} economic regimes\n"
if 'series_clusters' in segmentation_results:
series_clusters = segmentation_results['series_clusters']
if 'error' not in series_clusters:
n_clusters = series_clusters.get('n_clusters', 0)
summary += f" • Economic series clustered into {n_clusters} groups\n"
summary += "\n"
# Statistical Summary
if 'statistical_modeling' in self.results:
summary += "Statistical Analysis Results:\n"
stat_results = self.results['statistical_modeling']
if 'correlation' in stat_results:
corr_results = stat_results['correlation']
significant_correlations = corr_results.get('significant_correlations', [])
summary += f" • {len(significant_correlations)} significant correlations identified\n"
if 'regression' in stat_results:
reg_results = stat_results['regression']
successful_models = [k for k, v in reg_results.items() if 'error' not in v]
summary += f" • {len(successful_models)} regression models successfully fitted\n"
summary += "\n"
# Key Insights
if 'insights' in self.results:
insights = self.results['insights']
summary += "KEY INSIGHTS\n"
summary += "-" * 30 + "\n"
for insight_type, insight_list in insights.items():
if insight_type != 'key_findings' and insight_list:
summary += f"{insight_type.replace('_', ' ').title()}:\n"
for insight in insight_list[:3]: # Top 3 insights
summary += f" • {insight}\n"
summary += "\n"
summary += "=" * 60 + "\n"
summary += f"Report generated on: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}\n"
summary += f"Analysis period: {self.data.index.min().strftime('%Y-%m')} to {self.data.index.max().strftime('%Y-%m')}\n"
return summary