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I need to fit ARIMA model from sktime package. I want to use SlidingWindowSplitter from sktime.forecasting.model_selection but I don really understand how it works. If I wanted to fit a simple ARIMA I would do this

...
model = ARIMA(order = (p, d, q)).fit(y_train)
y_pred, y_conf = model.predict(fh, return_pred_int=True)

But how that works with the SlidingWindowSplitter?

student
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1 Answers1

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This should work:

from sktime.forecasting.all import *
from sktime.forecasting.model_evaluation import evaluate

y = load_airline()
forecaster = ARIMA()
cv = SlidingWindowSplitter()
out = evaluate(forecaster, cv, y)
mloning
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  • The following issue rises ```ModuleNotFoundError: No module named 'sktime.forecasting.model_evaluation``` – student Mar 09 '21 at 05:40
  • Oops, yes, forgot that that functionality is still only on `master` and not on the latest release yet! – mloning Mar 10 '21 at 16:11