1,195 questions
0
votes
0
answers
17
views
How to generate a simple ARIMA process with statsmodels
I am trying to generate an ARIMA process with statsmodels. I tried already different combinations but nothing works. There is also nothing in the documentation that could solve my problem. The ...
0
votes
0
answers
49
views
ACF/PACF for certain time-frame of time-series
I'm trying to analyse acf/pacf plots of industrial production index, using first and seasonal differences to correctly identify SARIMA parameters. Data are stored in "zoo" time-series object ...
- 23
0
votes
0
answers
19
views
ARIMA model on a group by
For a project I am using a sales dataset available here https://www.kaggle.com/datasets/adsamardeep/retail-sales to make an ARIMA model to predict seasonal sales of their top 5 items. I am currently ...
- 31
1
vote
0
answers
60
views
How to replicate statmodels' ARIMA fittedvalues for a MA(1)? (Python package)
Let's simulate a MA(1) process using numpy
import numpy as np
# Simulation parameters
n = 20 # Number of observations
theta_1 = 0.7 # MA(1) coefficient
sigma = 1.0 # Standard deviation of white ...
0
votes
0
answers
35
views
Interest rate EURIBOR-Switch regime monte carlo
Question for Expert Forum:
I am working on a Regime-Switching Monte Carlo Simulation for EURIBOR interest rates, where I
Estimate separate ARIMA models for three identified regimes (Hiking, Cutting, ...
1
vote
1
answer
43
views
BigQuery ML Time Series model evaluate keeps returning null
I’m using BigQuery ML to train an ARIMA_PLUS model for forecasting CPU usage. The model trains successfully, but when I run ML.EVALUATE, all result values are NULL.
Model Training Query
CREATE OR ...
1
vote
1
answer
57
views
How to get static ARIMA forecasts with statsmodels
I'm trying to replicate a Stata ARIMA analysis in statsmodels. This analysis used static predictions from its ARIMA (1,0,4) model with four exogenous regressors. I've replicated the model – both Stata ...
- 846
0
votes
0
answers
41
views
How does Statsmodels ARIMA compute the first few fitted values?
Suppose I have an ARIMA(p,d,q), d>0 that I estimate using statsmodels. (See ARIMA class here.) For in-sample forecasts for t >= d, I get exactly what I expect, namely the Y(t) uses exactly the ...
- 21
0
votes
0
answers
45
views
Modeling Time series with ARIMA
I am trying to model a time series. I am not certain if my approach is correct and that's why I am posting a question here. May be someone could point out the mistake I am doing. Can someone propose a ...
- 7,707
1
vote
1
answer
87
views
Forecast accuracy question - acf1 returning NA
Accuracy is returning NA for ACF1. I believe it is because there needs to be a fitted line for the test data in order to derive residuals needed for the computation. Please confirm/advise.
ETA: or ...
- 41
0
votes
1
answer
69
views
HORIZON in CREATE_MODEL statement for BigQuery ML forecast using ARIMA_PLUS
What's the purpose of HORIZON in bqml CREATE_MODEL statement for ARIMA_PLUS?
The resulting model doesn't have any forecast and I think CREATE_MODEL will fit the model based on all data points, without ...
0
votes
0
answers
33
views
ARIMA Model give 0s for prediction when differentiating non Stationarity data
I am trying to learn ARIMA and so far I am working on this dataset
Huge Stock Market Dataset
i used intel stocks as you can see from the code, I was able to make it work with LSTM and that went smooth,...
0
votes
0
answers
32
views
ARIMA with intervention "dummy" variable forecast problem
I have trouble forecasting an arima model with a dummy variable, script is as follows:
#Time series #361 months quotation of the dollar -peso exchange rate. 1994-2024:
usd.ts=ts(arima_dollar1, start=...
1
vote
1
answer
63
views
ARIMA model Using YYYY-WWW results to "No supported index is available. Prediction results will be given with an integer index beginning at `start`."
I'm encountering an issue while using the auto_arima function from the pmdarima library to train an ARIMA model on my weekly time series data. The data is structured with an ISO 8601 week-year format (...
- 11
0
votes
0
answers
93
views
Why is my ARIMA model's prediction a straight line?
I am trying to create an ARIMA model to predict road traffic for a single node using the PEMS08 dataset preprocessed for ASTGCN. I used the statsmodels library together with the auto_arima function of ...
-1
votes
1
answer
84
views
Extract forecast from an ARIMA with log and difference (R)
I computed AR's models to predict the value of BTC. In order to make the data stationary i have transformed it :
yt=log(BTS_t)
dyt = yt-yt-1
I take the difference of logarithms (interpretable as the ...
1
vote
0
answers
60
views
ARIMA model with seasonal adjusted series
I want to forecast the series with trend and seasonal components using ARIMA model. But is that posible that I use the seasonally adjusted data for ARIMA model to gain the forecast data, then add the ...
- 11
0
votes
1
answer
62
views
Number of used observations for estimation when using R's 'arima' command
I observe some weird behavior with R's arima function. Maybe I am also missing something, thus I am asking for help.
If we want to compare two ARIMA models, let's say ARIMA(1,0,0) and ARIMA(2,0,0) ...
- 219
0
votes
1
answer
68
views
NaN in output when trying to use an ARIMA model
Construct a graph of the value of the Russian ruble against the Egyptian pound based on data at the end of trading. Select the best ARIMA model, predict further exchange rate values based on it, ...
0
votes
1
answer
58
views
Problem predicting arima model, why can't I predict further?
I have a df, I need to learn how to create arima models. I try with auto_arima to search for coefficients p,q,d - I get the following.
Data:
df = df.sort_index()
df = df.asfreq('h')
df_c4 = df[df....
- 1
1
vote
1
answer
103
views
garch model with fixed arma lags in R
I can't fit an ARMA-GARCH model with specific MA lags not estimated in time series data. For example I run the following code:
library(fGarch)
fitgi <- garchFit(~ arma(0,4)+ garch(1,1), data = gi, ...
0
votes
1
answer
69
views
basic ARIMA set up in stock price forecasting using R
I am using auto.arima function as the backbone to forecast stock price, with example below:
First off I have the parameters set up and download price data, with Walmart(WMT) being used as an example.
...
- 569
5
votes
1
answer
2k
views
numpy.dtype size changed, may indicate binary incompatibility. Expected 96 from C header, got 88 from PyObject error
I am trying to import pmdarima, but it gives the error ValueError: numpy.dtype size changed, which may indicate binary incompatibility. Expected 96 from the C header, got 88 from PyObject
I ...
- 41
0
votes
0
answers
96
views
Why are my SARIMA model forecasts all NaN in the DataFrame?
I am working on a cash flow forecasting project using Python and the pmdarima library for SARIMA model predictions. I’m able to generate predictions for each column and print them, but when I try to ...
0
votes
0
answers
57
views
Why does R display this Error message : wrong number of dimensions?
I am trying to model a time series with two hexogenous series, however when I try to test the model on the test partition the result is this message.
Warning message:
In forecast.forecast_ARIMA(model, ...
0
votes
1
answer
56
views
Extract Seasonality Directly from SARIMA in R
I want to extract the seasonality from my sarima model.
My dataset is in the format of this:
ds: dates
y: metric
This is weekly data
I have done the following:
ts_data <- ts(for_seasonality$y, ...
- 4,253
0
votes
0
answers
191
views
Model drift for VARIMA model when forecasting multivariate time series
I am currently trying to train a VARIMA model on multivariate time series data about 5 different kinds of sensor measurements of a cooling system. The data is of cyclical nature so the exact same ...
0
votes
1
answer
133
views
Prediction using arima but showing error in Python
Here's the code using statsmodels.tsa.arima.model.Arima model to predict the store sales
from statsmodels.tsa.arima.model import ARIMA
from datetime import datetime
# fit model
model = ARIMA(ts, ...
- 25
1
vote
1
answer
400
views
Model equation out from ARIMA result
I'm using ARIMA from statsmodels for time series analysis. Now I stumbled across the following site
In this example an ARIMA(3,1,0) model was built with the following result thru ARIMA.fit():
...
- 147
0
votes
1
answer
276
views
TypeError when trying to make predictions using a fitted ForecasterSarimax object in Skforecast
I'm encountering an error when trying to predict using a fitted forecaster object. I've followed this SarimaxForecaster tutorial and I don't get any error. However my dataset in hourly and when I try ...
- 939
0
votes
0
answers
64
views
Tidy/fable way to select many exogenous regressors from a data.frame?
Q: What is the tidy / tidyverts / fable way of selecting many exogenous regressors from a data.frame for use in model fitting, esp., with ARIMA()?
I set up a minimal working example below. You can ...
- 3,855
0
votes
1
answer
133
views
Run ARIMA without xreg when they're completely rank deficient?
Q: In the context of forecasting many series with exogenous regressors in the R tidyverts/fable framework, is there a way to tell fable::ARIMA(y~x1+x2+...) to fail over to running its routine for ...
- 3,855
1
vote
1
answer
134
views
Cannot run an ARIMA model obtained via auto.arima in R
I did an extensive search for time series data using auto.arima() function in R. Since it is taking a long time to find the optimal model, I want to save the model obtained from auto.arima() and plug ...
- 511
1
vote
0
answers
18
views
Is it possible to define a data transformation for specific groups in a tsibble when applying a forecasting model like ETS or ARIMA?
I have a tsibble made of a date column (the index, with monthly frequency), a geo column (the key, representing some European states), and a value column (the variable I need to forecast).
I am ...
- 3,698
0
votes
1
answer
174
views
Forecast Model - Python - SARIMA
I am having trouble in applying a SARIMA model to my data set in Python - I am using store sales data of a department store and want to forecast the next year split into quarters. The data has ...
6
votes
2
answers
218
views
Issue with SARIMA model for PM10 concentration forecasting with m=365
I'm trying to build a SARIMA (Seasonal Autoregressive Integrated Moving Average) model for forecasting PM10 concentrations based on five years of data. However, when I set the seasonal parameter m to ...
1
vote
1
answer
45
views
R Sapply function seems to produce slightly different values to for loop approach
I have written two blocks of R-code. I believe that they should both do exactly the same thing - except that one uses a for-loop approach and one uses the sapply function. However, they produce ...
- 13
0
votes
2
answers
85
views
Getting error "TypeError: no numeric data to plot" in a Time Series ARIMA analysis
I am trying to follow a tutorial whereby an ARIMA time series analysis using differenced data is being done:
The following is the python code:
def difference(dataset):
diff = list()
for i in ...
- 574
1
vote
1
answer
49
views
summary function in R not giving desired output
I am just trying to build an arima model using the arima() function and want to get some summary stats like AIC and RMSE using the summary() function. But the summary function is giving me some ...
- 13
0
votes
1
answer
88
views
Is there a way to use a time series to predict a numeric value different to the time series variable?
Ahoy,
As an example, I have multiple time series of temperature. These times series are of different lengths (1-8 days), and generally from non-overlapping date:time, but the interval between data ...
0
votes
1
answer
32
views
What is the 'u' parameter estimated by Statsmodel's ARIMA fit method?
I'm struggling to find mention of the 'u' parameter that is returned by the statsmodels ARIMA.fit method in the following ARMAX model parameter estimation example:
import pandas as pd
from statsmodels....
- 11.8k
1
vote
2
answers
220
views
Can ARIMA take input sequence in Python?
In Python, when you train LSTM model you can train the model on part of the data. Then at inference you can give it whatever input you like for example 10 recent timesteps that is not part of the ...
- 2,281
0
votes
1
answer
177
views
Time series forecast ARIMA in iOS
I've a time series with few entries (not enough to ML) and I need to forecast some (more than one) future entries in an iOS app. I tested in Python with statsmodels ARIMA model and works fine but I ...
- 381
0
votes
1
answer
305
views
Weird intercept (constant) from ARIMA Model of statsmodels.tsa
I am trying to fit a AR(2) with intercept model to a timeseries. However, the intercept calibrated really confuses me. The value is 14.0695 which is extremely huge. And also, in-sample 1 step ahead ...
- 1
4
votes
1
answer
429
views
How does R forecast package treat missing values in ARIMA (auto.arima function)
I run an ARIMA model in R on the data with missing values. It is financial data, so the missings are either days on public holiday or weekends, so not completely at random. I am still thinking which ...
0
votes
0
answers
44
views
plot_predict - error AttributeError: 'function' object has no attribute 'get_prediction'
I ru both codes below python and get similar errors
model_fit.plot_predict(dynamic=False)
plt.show()
Error:AttributeError: 'function' object has no attribute 'plot_predict'
plot_predict(model_fit, ...
- 1
-3
votes
1
answer
209
views
ValueError: too many values to unpack (expected 3) in Python ARIMA implementation
I am trying to create an ARIMA model to predict stock market values (experimenting with this, not going to step on it to use it real life) and export it in PNG format for all the 512 stocks i have in ...
- 13
2
votes
1
answer
57
views
Auto.arima from forecas-Different results for Zoo object and.xts object?
I have time series of Covid-19 death cases which is only weekdays without weekend. I created it in R as .zoo object. But since some packages work better with time series I created it as .xts object as ...
- 21
0
votes
1
answer
1k
views
ufunc 'isnan' not supported for the input types and the inputs could not be safely coerced to any supported types according to the casting rule 'safe'
I am trying to train some machine learning models to predict the price action for 4 chosen stocks from a list of NASDAQ-100 stocks.
I am very new to Python, so I've run into a few issues I have not ...
- 19
1
vote
1
answer
195
views
Parameters start_p and start_q in pmdarima.auto_arima do not work after they are set
I'm trying to use the auto_arima method in the pmdarima package to automatically find the optimal d, p, q of the ARIMA model. I hope that p and q start from 1 instead of 0, and the maximum is 3.
You ...
- 10.1k