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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AutoArima - Selecting correct value for m

So for argument sake here is an example of autoarima for daily data: auto_arima(df['orders'],seasonal=True,m=7) Now in that example after running a Seasonal Decomposition that has shown weekly seasonality I "think" you select 7 for m? Is this…
odevney
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Is there a function in Python that calculates the best values for a SARIMAX model?

A cordial greeting to all. I am working with a time series and I am trying to predict it with SARIMAX. As there are many variations to adjust the values of the variables order (p, d, q) and seasonal_order (P, D, Q, s). I was wondering, is there a…
Remi L.
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Statsmodels SARIMAX vs Proc ARIMA SAS

I am converting SAS Arima process to Python Statmodels. And the model that I have is an ARIMAX that is built with Proc ARIMA in SAS. My question is, how can I implement "Conditional Least Squares Estimation" in statsmodels SARIMAX? SAS has the…
monkey
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SARIMA with multiple features and n-step ahead in sample

I have a problem with my SARIMA. I want to create a model that forecast a value a day-ahead based on multiple features. I used the following code, but I do not know how to incorporate all the other features ('data' in the code): data =…
J1999
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Sarimax endogenous and exogenous variables - Provided exogenous values are not of the appropriate shape

The issue that I have is with a rather simple approach of forecasting time series in python using SARIMAX model and 2 variables: endogenous: the one of interest. exogenous: the one assumed to have some influence on the endogenous variable. The…
Marian
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