Sarimax

Seasonal Autoregressive Integrated Moving Average, SARIMA or Seasonal ARIMA, is an extension of ARIMA that explicitly supports univariate time series data with a seasonal component.

Type

ml-estimator

Class

fire.nodes.ts.NodeStatsModelSarimax

Fields

Name	Title	Description
endog	Endog Column	The observed time-series process Eg:col1
exogenous	Exogenous Columns	An optional 2-d array of exogenous variables. If provided, these variables are used as additional features in the regression operation. This should not include a constant or trend.
order	Order	The (p,d,q) order of the model for the number of AR parameters, differences, and MA parameters. d must be an integer indicating the integration order of the process, while p and q may either be an integers indicating the AR and MA orders (so that all lags up to those orders are included) or else iterables giving specific AR and or MA lags to include. Default is an AR(1) model: (1,0,0)
seasonal_order	Seasonal Order	The (P,D,Q,s) order of the seasonal component of the model for the AR parameters, differences, MA parameters, and periodicity. D must be an integer indicating the integration order of the process, while P and Q may either be an integers indicating the AR and MA orders (so that all lags up to those orders are included) or else iterables giving specific AR and / or MA lags to include.s is an integer giving the periodicity (number of periods in season), often it is 4 for quarterly data or 12 for monthly data. Default is no seasonal effect.
trend	Trend	Parameter controlling the deterministic trend polynomial.Can be specified as a string where c indicates a constant (i.e. a degree zero component of the trend polynomial), t indicates a linear trend with time, and ct is both. Can also be specified as an iterable defining the non-zero polynomial exponents to include, in increasing order.
measurement_error	Measurement Error
time_varying_regression	Time Varying Regression
mle_regression	Mle Regression
simple_differencing	Simple Differencing
enforce_stationarity	Enforce Stationarity
enforce_invertibility	Enforce Invertibility
hamilton_representation	Hamilton Representation
concentrate_scale	Concentrate Scale
trend_offset	Trend Offset
use_exact_diffuse	Use Exact Diffuse
fit	Fit
transformed	Transformed
includes_fixed	Includes Fixed
cov_type	Cov Type
method	Method
maxiter	Maxiter
full_output	Full Output
optim_score	OptimScore	The method by which the score vector is calculated. like harvey, approx
optim_complex_step	Optim Complex Step
optim_hessian	Optim Hessian	The method by which the Hessian is numerically approximated. opg, oim & approx