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Questions tagged [arima]

ARIMA (AutoRegressive Integrated Moving Average) model is a statistical model for finding patterns in time series in order to predict future points in the series.

In time series analysis, ARIMA (AutoRegressive Integrated Moving Average) model is a statistical model for finding patterns in time series in order to predict future points in the series (forecasting).

If your question concerns theoretical topics on ARIMA or practical topics which are not about implementation you might want to ask the question on cross validated.

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Length of endogenous variable must be larger the the number of lags used

I was recently following this tutorial on Time Series Analysis in Python by Susan Li. I am fitting a time series SARIMAX model on the following series: y['2017':] OUT: Order Date 2017-01-01 397.602133 2017-02-01 528.179800 2017-03-01 …
J.P.
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Fable: Extracting the p,d,q specification from an ARIMA model

I've been using the tidy forecasting package fable (which has been so useful). I was wondering if there was an easy way to extract that the p,d,q values from a mable. Using the data on this guide as an example…
usually_confused
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Issue with Augmented Dickey-Fuller test in Python with small number of observations

I want to test for stationarity on a time series (nobs = 23) and implemented the adfuller test from statsmodels.tsa.stattools. Here are the original data: 1995-01-01 3126.0 1996-01-01 3321.0 1997-01-01 3514.0 1998-01-01 …
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ARIMA model forecast error on weekly time-series data

I'm using ARIMA model to forecast no of sales of a product. Data is inside a csv file from 01-01-2015 to 24-11-2016 with 1 week interval. I'm trying to forecast for 9 steps ahead i.e. for 9 weeks in future. Data in csv…
Arkistarvh Kltzuonstev
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Auto ARIMA in Python results in poor fitting prediction of trend

New to ARIMA and attempting to model a dataset in Python using auto ARIMA. I'm using auto-ARIMA as I believe it will be better at defining the values of p, d and q however the results are poor and I need some guidance. Please see my reproducible…
jimiclapton
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Getting 【ValueError: Input contains NaN 】 when using package pmdarima

I get the error ValueError: Input contains NaN, when I try to predict the next value of series by using ARIMA model from pmdarima. But the data I use didn't contains null values. codes: from pmdarima.arima import ARIMA tmp_series =…
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Use arima.sim to simulate ARIMA 1,1,1 with drift in R

I am trying to use ARIMA sim package to simulate an ARIMA simulation with a drift. My problem is that I cannot seem to get it to work. I need to get something like this: My code is producing this though: > mean(datatime) [1] 15881.56 >…
Timothy Mash
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Multiple Processes Instead of for loop in R

I wish to run for loop in parallel process. The result I have with the for loop R code is good to my taste but will be applying it to a very huge data thus, the timing of the execution is slow. library(forecast) library(dplyr) arima_order_results =…
Daniel James
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Is there a way to simulate time series data with a specific rolling mean and autocorrelation in R?

I have an existing time series (1000 samples) and calculated the rolling mean using the filter() function in R, averaging across 30 samples each. The goal of this was to create a "smoothed" version of the time series. Now I would like to create…
Bernadette Denk
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Statsmodels ACF Confidence Interval doesn't match - Python

I'm trying find number of significant output using ACF graph, however results of statsmodels.tsa.acf() confidence intervals don't match with statsmodels.graphics.tsa.acf() graph. Sample code: import statsmodels.api as sm from…
user2913249
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Python Auto ARIMA model not working correctly

I've created a pandas DataFrame with valid DatetimeIndex df.index = df.timestamp df = df.resample("10Min", how="mean") plt.plot_date(df.index, df['delay']) fig = plt.gcf() fig.set_size_inches(18.5, 8.5) This is how it looks like: The relevant…
Alexandre Juma
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How to fix this error while using statsmodels" ImportError: cannot import name 'factorial'"?

I have already gone through this answer While importing auto_arima from pmdarima: ERROR : cannot import name 'factorial' from 'scipy.misc' but couldn't fix the error,I do not understand how to use developer version. Is there any other method for…
Aditya Mahajan
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how to solve LinAlgError & ValueError when training arima model with Python

I am trying to implement a time series model and getting some strange exceptions that tells nothing to me. I wonder if I am making a mistake or if it is totally expected. Here comes details... When training my model, I try to make a grid search to…
edn
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How are ARIMA in sample predictions of pmdarima scaled?

I performed a time series forecast using auto_arima from the pmdarima package. I know that this package is based on the statsmodel SARIMAX package. Using the command: fit.predict_in_sample(ARIMA_input, dynamic=None), gives results that are…
AvO
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How to run pyramid auto arima on Anaconda Jupyter notebook?

Apparently, Anaconda has a different pyramid package and it is for web framework. https://anaconda.org/anaconda/pyramid The user guide for arima pyramid suggests that one uses pip to install pyramid-arima.…
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