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I have no problem in getting the forecast out-of sample values but I can't seem to find a way to show the fitted in-sample ones.

model = auto_arima(y = training_set['Y'],
                  m = 12,
                  seasonal = True,
                  stepwise = False)

predictions = model.predict(n_periods = test_period)
predictions
nukepanda
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1 Answers1

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You can use the predict_in_sample() method of your ARIMA model object

samples = model.predict_in_sample()

You can also retrieve the in sample values between 2 integer positions

predict_in_sample: https://alkaline-ml.com/pmdarima/modules/generated/pmdarima.arima.ARIMA.html?#pmdarima.arima.ARIMA.predict_in_sample

It appears there was an issue with this model that has been resolved in the current version. https://github.com/alkaline-ml/pmdarima/issues/140

Draco
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