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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 get best prediction with SARIMA from the parameter generated

I asked a question before on how to get parameter combination for seasonal Arima model and that has been fixed. I am trying to get the best prediction with ARIMA, how do I explore my parameters? I checked some of the few answers here, but it didn't…
Abandev
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How to resolve the unbound local error in the following code while trying to create a function for a SARIMAX model?

y = df['Date'] import itertools def sarima_grid_search(y, seasonal_period): p= d=q= range(0,2) pdq= list(itertools.products(p,d,q)) seasonal_pdg= [(x[0], x[1], x[2], seasonal_period) for x in list(itertools.product(p,d,q))] mini= float('+inf') for…
Harisha G
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Forecasting in R with arimax

I am trying to run a forecast of bitcoin returns with the sentiment score of twitter. However, after running the following code I get a plot for the forecast but with just a horizaontal line. Seems weird, since it does not go up or down. This is my…
A. Jahanyar
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How to predict unseen data with auto arima using exogenous variables

I have the following understanding problem. I have trained an auto_arima model including an exogenous variable and now I would like to do forecasts based on an existing time series. My training looked like this: stepwise_model =…
M.Fuchs
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Why is my sarimax future forecast just a straight line?

I tried using sarimax to forecast my data but the forecast looked awfully wrong. But i do not understand why is it just a straight line. Tried to copy codes online and adjust but i still did not get a proper forecast. Anyone knows why? My…
AlexCole
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Out of sample forecasting

I have the following code to perform an out-of-sample assessment of a time series. The idea is to perform a recursive and rolling method to calculate MAPE and MSPE. The code is as follows: long = len(y) n_estimation = 83 real =…
diana
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Understanding SARIMAX results summary

I am trying to understand the SARIMAX Results table. I don't get what L means in the results table. I could understand Ar.L52 as autorgresive lagged 52, but the results table says Ar.S.L52. Does it mean seasonal? I have uploaded my data, run…
apalokamar
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Python (S)ARIMA models completely wrong

I have some time series, like this one: I want to predict future values, so I splitted in train/test (70/30) and I created several ARIMA models, however they are all completely wrong (or maybe I am wrong). First of all, considering differentiation,…
CasellaJr
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Problem with forecasting time series data

I have time series data about the birds migration. The birds migrated to some area in specific months in a year e.g. SEP, NOV, DEC, JAN, FEB, MAR. I want to use 'SARIMAX' model for forecasting. The model create problem because the data for the month…
Siraj Muhammad
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ValueError: SARIMAX models require univariate `endog`. Got shape (88, 2)

My Dataframe(train) look like this total_mtrs total_mtrs_2 trx_date 2013-07-01 3449701.0 -1.362983 2013-08-01 3172872.0 -1.585093 2013-09-01 3137336.0 -1.613605 2013-10-01 3108550.0 -1.636701 2013-11-01 2981503.0 …
Mehmaam
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Training SARIMA models with exogenous regressors on several time series

I would like to model the effect the effect of an exogenous regressor (let's say weather) on a time series (let's say of sales at beach resort X for the example). However, I have insufficient data on the sales at beach resort X to properly train the…
Enzo
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Is autocorrelation an indication of Non Stationary Series

I have time series data and it has following ACF plot I read The data should be stationary "The data is non-stationary when there is a large spike at lag 1 that slowly decreases over several lags. If you see this pattern, you should difference the…
user172500
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How to get fitted in-sample values using auto_arima in python?

I have no problem in getting the forecast out-of sample values but I can't seem to find a way to show the fitted in-sample ones. model = auto_arima(y = training_set['Y'], m = 12, seasonal = True, …
nukepanda
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How to find AR,MA,ARIMA.ARMA,SARIMA,SARMA of a time series data in r

library(readxl) export1 <- read_excel("C:/Users/Hazeeb/OneDrive/Desktop/data/export1.xlsx") View(export1) class(export1) #> [1] "tbl_df" "tbl" "data.frame" #> export1t=ts(export1$`CURRENT TOTAL EXPORT`, frequency = 12, start = c(2007,…
hazeeb hashim siddique
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Why does auto arima generate a best model with q order exceeding my pre-set range?

I would like to create an auto arima model to automatically select the best parameter values. The value range that I set for q is [1,2]. However, the best q value generated by auto arima is 0. Does anyone know why it is? Below is my…
rheeeeaG
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