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Questions tagged [sarimax]

SARIMAX (abbreviation for Seasonal Auto-Regressive Integrated Moving Average with eXogenous factors) is a solution for forecasting time series data with seasonal trends. Use this tag for questions only about this specific type of prediction. Do not use this tag for different type of time series prediction such as ARIMA, LSTM, etc.

SARIMAX (abbreviation for Seasonal Auto-Regressive Integrated Moving Average with eXogenous factors) is a solution for forecasting time series data with seasonal trends. It is an extension of ARIMA (Auto Regressive Integrated Moving Average) with four new parameters for tuning: P, D, Q, and s.

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How do I forecast data using ARIMA?

I wanted to forecast stock prices using the ARIMA model (Autoregressive Moving Average) and wanted to plot the forecasted data over the actual and training data. I'm following this tutorial and have browsed others too. But they all follow the same…
OnsenEgg
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I want to configure parameters in the model with .fix_params() of statsmodels

I'm building a SARIMAX model. model = statsmodels.tsa.statespace.sarimax.SARIMAX(endog=y, order=[1,0,1], seasonal_order=[1, 1, 0, 10]) I wanted some parameters to be 0, since the p-value is greater than 0.05 I used fix_params()…
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Predict future of deflated series via sarimax

I am working with a non stationary time series. To make the time series stationary: I removed the rolling mean from the series. Now, when I am predicting how can I incorporate the mean as I don't have seem to have rolling mean for future from…
Alok
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Does it exist a LSTM model that can have exogenous factors same as SARIMAX?

I have been working with SARIMAX a while now. I try to predict energy usage in large buildings. Im using weather data as exogenous variables. As I know the predicted weather from the weather forecast i use this data in the prediction as well. I try…
Peder Ward
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python sarimax model prediction

I am building a sarimax model to predict the number of passengers from April 2021 onwards. Currently I am using the data from 1 Jan to 31 Jan 2021 as seen below How do i write the code so that i can predict future data from 1 Apr 2021 onwards?…
pot
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Time Series Data: Trend and Multi-Seasonality, SARIMA and TBATS predictions not working

I have ~2.6K hours of sales data with a positive linear trend as well as daily and weekly seasonality. See plotted data. I have tried to model the data using SARIMA and TBATS in python. In both cases, I cannot get the predictions to work as I…
Jess625
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Forecast using autogenerated p d q m parameters in SARIMAX model

SARIMAX model needs q, d, q, m parameters in order to operate properly. P stands for the order of AutoRegressive model and it can optically be estimated using PACF plot D stands for the number of differences for making a time series stationary and…
Stavros Koureas
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How to generate a state space model from data?

I am trying to identify a state space model from discrete time series data in Python using statsmodels library: statsmodel.tsa.statespace.sarimax.SARIMAX. I need the matrices of the state space general form (here the statsmodel reference): from the …
giulia
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I'm using a version of pmdarima that no longer includes statsmodels ARIMA or ARMA class. How do I interpret SARIMAX without pdq?

auto_arima(df1['Births'],seasonal=False).summary() SARIMAX Results Dep. Variable: y No. Observations: 120 Model: SARIMAX Log Likelihood -409.745 Date: Mon, 23 Aug 2021 AIC 823.489 Time: 06:55:06 BIC 829.064 Sample: 0 HQIC …
Justin Terry Bingman
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Approach while using dynamic =True and dynamic = False in SARIMAX forecasting

I have referred to previous queries in Stack Overflow but still could not come to the conclusion. I have a dataset containing monthly commodity price. I want to predict price using SARIMAX. I want to predict price for next 24 months. Initially, I…
Sabrin
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Different Order and Seasonal Order in SARIMAX Model: Implications?

Link to code I'm working with time series data and trying to fit a SARIMAX model using the statsmodels library in Python. I've noticed that in the code, the order and seasonal_order parameters are set differently. q-value is different. Why set it…
459zyt
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Math specification with a Regression with SARIMA errors

I have one question so I'm asking for your help. I'm working on a model with a Regression with SARIMA errors, I already have the model and the forecast, but I need the mathematically specification for the model, the order is (1,1,0) (1,0,0,12), and…
Oscar Limón
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trouble running samirax model with seasonality as 288

My time series has a frequency of 5 minutes, and every 24 hours it has a seasonality so s=288. I tried to run SARIMAX with s=288, but it's too big and the computer can't hold it up. Is there other ways to get this seasonality counted while running…
한유림
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How to include already known future sales orders values in SARIMAX forecasting

I am a supply chain analyst working for a food industry. I have some knowledge in python, and forecasting but my job consists mostly in developing PBI dash and that is why I am far from being an expert in forecasting and I am requesting your help…
sam
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Can a dataset be stationary and show seasonality when building an ARIMA/SARIMAX model?

I was evaluating and building an ARIMA/SARIMAX model for sales forecasting. When I ran the Adfuller test for my dataset I got the following results - ADF Test Statistic : -4.973173618997548 p-value : 2.507235653612757e-05 #Lags Used : 0 Number of…
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