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alkaline-ml / pmdarima

A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.
https://www.alkaline-ml.com/pmdarima
MIT License
1.58k stars 234 forks source link

How are the parameters d,D, max_d, max_D exactly working? #123

Closed vibhashahani closed 5 years ago

vibhashahani commented 5 years ago

What does the parameter max_d and max_D exactly do? My concern is - if I mention max_d = 2 so is it taking all possible values of d from 0 to 2 or how is it working? Similarly with max_D

tgsmith61591 commented 5 years ago

Your intuition is correct. In your case, it would search from 0 to 2. The caveat is max_order also plays a role. If max_order is 5, for instance, order can never equal, say, (2, 2, 2), since it sums to greater than 5. You can always set max_order=None to allow this behavior.

If you explicitly set d or D, however, max_d and max_D won't matter and the method won't search over those parameters.