time-seriesforecastingarimapmdarimasarimax

SARIMAX: Calculating the Seasional_order(P, D Q, M) values

Is there a function or library (like auto_arima to get the order(p,d,q) values) available to calculate the P, D, Q and M values to be used in Seasional_order(P,D,Q,M) in SARIMAX model.

Thanks,

Solution

  • The auto_arima function can do that. You can set the parameter seasonal = True and give the length of the season with the parameter m:

    auto_arima(y=your_data, seasonal=True, m=length)

    If you want to only use the seasonal components without the non-seasonals, then you can manually turn them off by setting the respective parameters to 0:

    auto_arima(y=your_data, seasonal=True, m=length, p=0, d=0, q=0)

    However, auto_arima cannot really detect whether your data is stationary and therefore, you need to estimate the d and D parameters yourself and manually set them in the auto_arima function.

    https://alkaline-ml.com/pmdarima/modules/generated/pmdarima.arima.auto_arima.html