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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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SARIMAX python np.linalg.linalg.LinAlgError: LU decomposition error

I have a problem with time series analysis. I have a dataset with 5 features. Following is the subset of my input dataset: date,price,year,day,totaltx 1/1/2016 0:00,434.46,2016,1,126762 1/2/2016 0:00,433.59,2016,2,147449 1/3/2016…
user3104352
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Forecasting with ARIMA

I am forecasting time series data using the ARIMA model. I have found the ARIMA model with the best fit using the following code: def run_arima_model(df, ts, p,d,q): from statsmodels.tsa.arima_model import ARIMA model=ARIMA(df[ts],…
Niam45
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module 'statsmodels.tsa.api' has no attribute 'arima_model'

I'm trying to use "statsmodels.api" to work with time series data and trying to fit a simple ARIMA model using sm.tsa.arima_model.ARIMA(dta,(4,1,1)).fit() but I got the following error module 'statsmodels.tsa.api' has no attribute…
Chaymae Ahmed
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How to choose a value for the maxlag parameter in Python statsmodels adfuller?

I have monthly data about clicks on websites and want to build a SARIMA model to predict the next month's expected clicks. Because a SARIMA model needs to work with stationary data, I transformed the data and carried out the Augmented Dickey Fuller…
LBoss
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ARIMA forecast inverted

Im using statsmodels to fit an ARIMA in python. However the forecast values are getting inverted after integrating, could anyone point what I am doing wrong? Differencing the series for stationarity ts['val_diff1'] = ts.Value -…
harold_noobie
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LinAlgError when modeling ARIMA

I'm facing a weird problem when I'm modeling ARIMA and checking MSE. Here's code that I'm trying out. from sklearn.metrics import mean_squared_error import sys split_point = int(len(value_series) * 0.66) train, test =…
sunsets
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statsmodels SARIMAX with exogenous variables matrices are different sizes

I'm running a SARIMAX model but running into problems with specifying the exogenous variables. In the first block of code (below) I specify one exogenous variable lesdata['LESpost'] and the model runs without a problem. However, when I add in…
David King
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ARIMA modeling on time-series dataframe python

I'm trying to use ARIMA model for forecasting. I'm new to it. I have tried to plot seasonal_decompose() of my data-set (hourly data), below is the plot? I want to understand these plots, brief description will be helpful. I see that there is no…
Ashag
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Understanding and diagnosing prediction of auto_arima model

I have a very small array representing annual values. I'm trying to train a model using auto_arima and then get predictions. The predictions start off fine, decreasing as we would expect as per the trend in the training data. However, the last 3…
matsuo_basho
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ValueError: Provided exogenous values are not of the appropriate shape for SARIMAX model

I am trying to run a SARIMAX model on some mortgage prepayment data. I have a list of dataframes clustered by mortgage cohort and separate them into train and test sets based on time. Then I scale the train and test sets and run a step-wise…
hulio_entredas
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Time Series Analysis / Forecasting

When I try to use an AR(3) model to predict / forecast future data I get a very poor forecast. I'm not too sure where I'm going wrong, or why the forecast then begins to decrease. More than grateful for any help or pointers. Thank you very…
user19354061
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Is it Safe to Say That Non-Stationary Series Can Not Be Simulated Using R

I am performing an experiment using classes of ARIMA models which I have to simulate for instance AR, MA, ARMA and possibly ARIMA using arima.sim() function in R. I am able to AR, MA, ARMA but ARIMA seems impossible as the coefficient of AR must be…
Daniel James
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Time Series Prediction with statsmodels.tsa.arima.model import ARIMA

I am trying to make prediction on my ARIMA Model but I stucked in one point from statsmodels.tsa.arima.model import ARIMA train2 = trainData1["meantemp"][:1170] test2 = trainData1["meantemp"][1170:] # p,d,q ARIMA Model model = ARIMA(train2,…
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Conditional Statement for arima.sim() Function: Error in Task 1 Failed - "Inconsistent Specification of 'ma' Order

I am trying to write a function with arima.sim() function in R such that I only need to input the variables of any of the ARMA families to get the seeds that will produce my type of ARMA simulation. Two out of my three (2/3) cases are true when I…
Daniel James
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R libraries forecast::auto.arima vs fable:ARIMA what's the differences?

The online documentation indicates that the algorithm under the hood is the same to estimate the (s)Arima models. During some tests, with a Kaggle dataset, I had different models: ARIMA function show me a sArima, auto.arima only Arima…
martincr
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