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Questions tagged [arima]

ARIMA (AutoRegressive Integrated Moving Average) model is a statistical model for finding patterns in time series in order to predict future points in the series.

In time series analysis, ARIMA (AutoRegressive Integrated Moving Average) model is a statistical model for finding patterns in time series in order to predict future points in the series (forecasting).

If your question concerns theoretical topics on ARIMA or practical topics which are not about implementation you might want to ask the question on cross validated.

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Error: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting

So I have a CSV file with two columns: date and price, but when I tried to use ARIMA on that time series I encountered this error: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored…
Dorki
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Statsmodels ARIMA - Different results using predict() and forecast()

I use ARIMA from statsmodels package in order to predict values from a series: plt.plot(ind, final_results.predict(start=0 ,end=26)) plt.plot(ind, forecast.values) plt.show() I thought that I would get the same results from these two methods, but…
Simone
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How to perform multi-step out-of-time forecast which does not involve refitting the ARIMA model?

I have an already existing ARIMA (p,d,q) model fit to a time-series data (for ex, data[0:100]) using python. I would like to do forecasts (forecast[100:120]) with this model. However, given that I also have the future true data (eg: data[100:120]),…
John.Ludlum
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multiple seasonality Time series analysis in Python

I have a daily time series dataset that I am using Python SARIMAX method to predict for future. But I do not know how to write codes in python that accounts for multiple seasonalities. As far as I know, SARIMAX takes care of only one seasonality but…
Samuel1985
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R Arima works but Python statsmodels SARIMAX throws invertibility error

I am comparing SARIMAX fitting results between R (3.3.1) forecast package (7.3) and Python's (3.5.2) statsmodels (0.8). The R-code is: library(forecast) data("AirPassengers") Arima(AirPassengers, order=c(2,1,1),…
cuckoops
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ConvergenceWarning: Maximum Likelihood optimization failed to converge

I am trying to use the ARIMA algorithm in statsmodels library to do forecasting on a time series dataset. It is a stock price dataset and when I feed normalized data to the model it gives the below error. Note: This is a uni-variate forecasting and…
Suleka_28
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Want to combine date and time in a column using R

I have the following dataframe Date Time 10/03/2014 12.00.00 11/03/2014 13.00.00 12/03/2014 14.00.00 I want to create one single column as follows DT 10/03/2014 12.00.00 11/03/2014 13.00.00 12/03/2014 14.00.00 when I…
Nikhil Mangire
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ARIMA Forecast: Cannot cast ufunc subtract output from dtype('float64') to dtype('int64') with casting rule 'same_kind'

I am using ARIMA to fit values and save it as a pickle file. Post that, the pickle file is used to get out of sample predictions. However, while getting sample predictions I am getting the following error: Cannot cast ufunc subtract output from…
Ankit Tripathi
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Is this time series stationary or not?

I want to check the stationary of a time series data saved in TS.csv. However, R's tseries::adf.test() and Python's statsmodels.tsa.stattools.adfuller() give completely different results. adf.test() shows it's stationary (p < 0.05), while adfuller()…
Leo
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Statsmodels ARIMA: how to get confidence/prediction interval?

How to generate "lower" and "upper" predictions, not just "yhat"? import statsmodels from statsmodels.tsa.arima.model import ARIMA assert statsmodels.__version__ == '0.12.0' arima = ARIMA(df['value'], order=order) model = arima.fit() Now I can…
Dzmitry Lazerka
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How to use Monte Carlo for ARIMA Simulation Function in R

Here is the algorithm of what I want to do with R: Simulate 10 time series data set from ARIMA model through arima.sim() function Split the series into sub-series of possible 2s, 3s, 4s, 5s, 6s, 7s, 8s, and 9s. For each size take a resample the…
Daniel James
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Python: pmdarima, autoarima does not work with large data

I have a Dataframe with around 80.000 observations taken every 15 min. The seasonal parameter m is assumed with 96, because every 24h the pattern repeats. When I insert these informations in my auto_arima algorithm, it takes a long time (some hours)…
christianbauer1
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Python ARIMA output - interpreting Sigma2

I am trying to interpret ARIMA output below and not clear about sigma2. The documentation says it is 'The variance of the residuals.'. What is the hypothesis behind this output/importance?. Kindly provide answer or a link where it is covered in…
Regi Mathew
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Is there an ARIMA model in Spark Scala?

How can we do ARIMA modeling in spark scala? Can we directly import any ARIMA package like regression or classification? In Spark's ml library, we do not have anything like ARIMA model.
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Is it possible to include lags of exogenous variables in an ARIMAX-model?

Suppose I have two time series {x} and {y} and want to examine how the current realization of {y} is dependent on current and past realizations of {x} and past realizations of {y}. For this purpose, I could run a VAR(p)-model including p lags of {x}…
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