search

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
1.57k stars 231 forks source link

Where is it possible to set parameter 'max_lag' when using pmd.arima.autoarima ? #487

Closed mhaslehner closed 2 years ago

mhaslehner commented 2 years ago

Describe the question you have

Hello, I am new to the subject.

Question 1: When I run my code for some time_series model = auto_arima(time_series, d = ndiffs_needed, start_p=1, m=12), I get an error of the type 'All lag values up to 'maxlag' produced singular matrices. Consider using a longer series, a different lag term or a different test.' I am trying to analyse the error.

Where is it possible to change the parameter _maxlag , as this parameter does not appear among the parameters of the autoarima function. Is it max_p?

Question 2: Where can we find documentation or any explanation of the meaning of the parameter out_of_sample_size ?

Thanks

Versions (if necessary)

No response

tgsmith61591 commented 2 years ago

Hello, this error is produced in the OCSB test when the test statistic fails to produce a non-singular matrix.

Note that max_lag can be passed to the seasonality test in the auto_arima function via the seasonal_test_args argument:

pm.auto_arima(y, X, m=m, seasonal_test_args={"max_lag": 5})

As for documentation on out_of_sample_size please see the API Reference