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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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Is it necessary to make time series data stationary before applying tree based ML methods i.e. Random Forest or Xgboost etc?

As in case of ARIMA models, we have to make our data stationary. Is it necessary to make our time series data stationary before applying tree based ML methods? I have a dataset of customers with monthly electricity consumption of past 2 to 10 years,…
Muhammad Hassan
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Loop python auto_arima through several columns in a wide data format

I will preface this by saying I am in no way a Python expert but my current project demands that it be programmed in Python, so any help is appreciated. What I have is a transformed timeseries with monthly data (30 months) and 1000 + items. I wish…
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auto arima: r and python suggest different arima models for same data, why?

I have tried using auto arima in python at the same time on R for the same data but got different ARIMA model selection being the best model with different AIC. Can you tell me why I am getting different best models with different AIC from the two…
Daniel James
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Aggregating/resampling a pandas multiindex dataframe over many timeframes and forecasting ARIMA

I have multiple timeframes I want to track and predict values for (ARIMA forecasting 1 period ahead per timeframe), and my algorithm retrieves data on the lowest timeframe. Note: each timeframe is evenly (but not necessarily symmetrically) divisible…
SnakeWasTheNameTheyGaveMe
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Why does auto_arima function from pmdarima package on python is much slower than auto.arima function available on R?

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…
mathis
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How to use statsmodels ARIMA to predict next value?

I have a pandas Series indexed by datetime.date objects and having some values I am interested in modelling. I have about 250 rows. I am trying to use the first 150 examples to train an ARIMA model with the statsmodels module (version 0.9.0), and…
Katie Dobbs
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What is the use of xreg in auto.arima function?

I am working on predicting the number of customer attending an hospital to perform MR scan per day. I have the daily count of the customers attending the hospital for the last 4 years. But I am not able to capture the daily change in the count of…
Prasad Dalvi
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R Encoding Holiday Vectors optionally using timeDate package

the timeDate package in R provides a list of holidays that I would like to include in a timeseries dataset. If I call timeDate::listHolidays("US") i get a vector of US holiday names that correspond to function names in the timeDate package. I would…
RSHAP
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Out of sample forecasting issue with SARIMAX

I can make predictions on my sample data but when I try to make out of sample predictions I get an error message saying: C:\Users\YannickLECROART\Miniconda3\envs\machinelearning\lib\site-packages\statsmodels\tsa\base\tsa_model.py:531: ValueWarning:…
Yannick
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Python/Pandas - How to tune auto_arima model parameters to get future forecast

Python 3.6 My dataset looks like this: It's travel bookings, say for a travel company e.g. airlines/trains/buses etc. date bookings 2017-01-01 438 2017-01-02 167 ... 2017-12-31 45 2018-01-01 748 ... 2018-11-29 223 I…
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Python- ARIMA predictions returning all NaNs

I'm trying to follow the time series tutorial here (using my own dataset): https://www.analyticsvidhya.com/blog/2018/02/time-series-forecasting-methods/ Surprisingly, I am able to satisfactorily successfully reach Part 7: ARIMA. In this section, I…
machump
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ARIMA/Holt Winters for multiple Time Series

Is there a way of running an ARIMA/Holt-Winters model in python that deals with multiple items (time series) at once? I can run a single ARIMA/Holt-Winters model using the StatsModels package in Python, but not for multiple Time Series. To clarify…
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Understanding Fourier for Seasonality

I am using the auto.arima from the forecast package in R to determine the optimal K-terms for fourier series. After I do that, I want to then calculate the seasonality and plug that one seasonality variable into a multiple regression model. Using…
nak5120
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Auto_Arima enforce_stationarity error during fit

I am following this link to create auto_arima model on my data. https://medium.com/@josemarcialportilla/using-python-and-auto-arima-to-forecast-seasonal-time-series-90877adff03c Gitub code location is :…
Sand T
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Why does ARIMA fit properly but generate flat predictions?

Model Fits but the Predictions Fail Using a (4,0,13) ARIMA model on the following data shown in the picture below yields flat predictions (also shown shown in the second picture below). I am not sure why the model can fit the data in the training…
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