-1

I used statsmodels.tsa.arima_model import ARIMA in Python to develop an ARIMA model. Recently I am writing the methodology of ARIMA, but I can not find any reference on the page.

So here my question is where could I find the reference (or formula) used statsmodels.tsa.arima_model import ARIMA in Python?

Thank you in advance.

zero323
  • 322,348
  • 103
  • 959
  • 935
Queena
  • 1

1 Answers1

0

You can check the documentation:

https://www.statsmodels.org/dev/generated/statsmodels.tsa.arima_model.ARIMA.html

that shows the formula used:

If exogenous variables are given, then the model that is fit is

              ϕ(L)(y(t)−X(t)β)=θ(L)ϵ(t)

where ϕ and θ are polynomials in the lag operator, L. This is the regression model with ARMA errors, or ARMAX model. This specification is used, whether or not the model is fit using conditional sum of square or maximum-likelihood, using the method argument in statsmodels.tsa.arima_model.ARIMA.fit. Therefore, for now, css and mle refer to estimation methods only. This may change for the case of the css model in future versions.

If you click on 'source' you can see the source code.

Community
  • 1
  • 1
FLab
  • 7,136
  • 5
  • 36
  • 69
  • Thanks for your answer. But I'm still confused about this equation. Do you know what X(t)β represent in this formula? – Queena Sep 17 '18 at 17:53