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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 to predict future datapoints with ARIMA/SARIMA in python?

I'm following this…
effepelosa
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How to define a multivariate state space model with SARIMAX

I want to create a state space with a mutivariate endog data frame: data_augmented = pd.DataFrame({'x' : endog, 'Y_t_1': Y_t_1}) but when I run the SARIMAX command: mod = sm.tsa.statespace.SARIMAX(data_augmented, order=(1,1,1)) I get the following…
Victor Saucedo
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Big Spike in SARIMAX model of fitted values

I'm trying to create a SARIMAX code and to make sure it is correct, I'm using an exercise given in: https://otexts.com/fpp3/seasonal-arima.html#example-monthly-us-leisure-and-hospitality-employment. However, the beginning of my series of fitted…
Ana D'Andrea Henkin
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SARIMAX vs ARIMA in statsmodels (Python)

I am estimating ARIMAX and SARIMAX models (time series analysis), and I have some questions about their Python implementation within the statsmodels package. The ARIMA class in statsmodels is supposed to be able to also deal with SARIMAX models…
Federico Bindi
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How to limit lowest possible value in SARIMA forecast

I'm using SARIMA by statsmodels for the forecasting. The origin of the forecasted value is that it never goes negative (almost never except for certain exceptions). Most of the variables are near 0. Therefore forecast sometimes goes below 0. How can…
Egorsky
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Exponential Smoothing in a time series Sarima model forecast

I'm making a time series forecast using SARIMA and for that I've made the series stationary and applied exponential smoothing to it, so that I could get a better fit and a more clear seasonality. However, I'm not finding a way to undo the…
João Pedro Leite
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SARIMAX model not giving prediction according to training set

I am doing time series analysis, I have 36 months of data, starting from 09/2019- 03/2023.. the data is aggregated to the monthly level.. I have trained a SARIMAX model.. but the model seems to starting training from 0. I dont know why? I tried…
Shubham Jain
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How to infer predictions in time series forecasting?

I am working on a sales data taken from kaggle. I am studying ARIMA currently and following this article for the code , article. In the article, after fitting the dataset into a SARIMA model, I observe that the first predicted value starts from…
Nitya Bansal
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How can I improve ARIMA model performance for monthly sales forecasting with only 12 rows of data for each of the 100 products?

I have a dataset of 100 different products and their monthly sales respectively. My goal is to forecast the monthly sales of the products accurately. By eye-glancing the data I observed the sales for each product were different and I believed…
Nitya Bansal
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Theoretical SARIMA model in python

How can i create theoretical SARIMA model in python? For instance i want to have not seasonal parameters (1, 0, 0) and seasonal parameters (1, 1, 1) with m = 12 and parameters for AR 1.14 for Seasonal AR 0.85 and Seasonal MA 2.2. I dont want to use…
Pro100siaroga
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Understanding SARIMAX Model's Graph: A Comprehensive Guide

I am stuck with this graph and outcome. Would any kind soul help me explaining this graph and statistical figure. so that I can input more info in finding. another does the exogenous variable always use last 21 values of the dataset?
Junayed Hossain
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Sarimax model issue with xreg

Please help me with sarimax model. I am using R to forecast my data and for my model I need exogenous variable. First I split my data to train and test: data$date <- as.Date(data$date,format = "%Y-%m-%d") time<-data$date time<-tail(time,…
Laura_777
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forecast method from statsmodels gives me in-sample forecast instead of out-of-sample

I am trying to get a one-step ahead forecast of an ARIMA model (using the SARIMAX object) for daily stock market data. This is my code for the model: df_train.index = pd.DatetimeIndex(df_train.index).to_period('D') training_mod =…
zaidmehdi
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Time series forecasting with SARIMAX model

I am trying to build a SARIMAX model for time series forecasting. I am not able to figure out what the period of seasonality should be. My data is daily data (exculding weekends) of stock prices for past 5 years. I have resampled it to weekly…
Sarthak Mehra
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pandas dataframe error when using SARIMAX

import numpy as np import pandas as pd import matplotlib.pyplot as plt from statsmodels.tsa.statespace.sarimax import SARIMAX from keras.models import Sequential from keras.layers import Dense from keras.optimizers import Adam …
Adnan khan
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