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I work on a timeseries project with lot of timeseries and I want to settle it with an automatic function for arima/sarima model. I did it on R with auto.arima function which is very fast and now I'm on python and the auto_arima function (from the pmdarima package) I deal with is really slow.

mathis
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I suggest you a more canonical Python package for ARIMA, such as statsmodels:

http://www.statsmodels.org/stable/generated/statsmodels.tsa.arima_model.ARIMA.html

ibarrond
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  • Thanks for the answer, I already looked on this package but I need to automate the process, it means a loop on different orders of the arima model and keep the best model defined according to a criterion (AIC for me). The required time for it is really long too. – mathis May 24 '19 at 08:34
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    `pmdarima` is a wrapper for `statsmodels` – ihadanny Oct 27 '19 at 06:48