Hi, I'm trying to access the parameters of my Auto...
# statsforecastd
David Rice
05/20/2024, 8:55 PMHi, I'm trying to access the parameters of my AutoARIMA model using .fitted_ and .model["arma"], which contains the following (1, 1, 0, 1, 52, 1, 1). The ordering of this notation and the documentation suggests that "D"=52 and "s"=1 here, which seems unusual. Interestingly, your Ask AI functionality agrees:
Could it be as simple as the arma parameters are not in the correct order, or is there something I'm missing? Thanks!
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Mariana Menchero
05/20/2024, 8:59 PMHi @David Rice quick question. Is that from StatsForecast's documentation or is it your own? In the meantime, let me validate the output order for AutoARIMA.
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José Morales
05/20/2024, 9:09 PMd
David Rice
05/20/2024, 9:36 PMHi @Mariana Menchero the screenshot was a response from StatsForecast's documentation yes, thank you for looking into it.
David Rice
05/20/2024, 10:00 PM@José Morales I did not know about the ARIMASummary class that is very useful thank you. For my specific use case I'm looking to access each parameter to and store in a dataframe. I don't think I can get around the arima_string here for that, but looking at the arima_string code it has an an interesting order where where 6 would be where the unusually high "D" values currently are:
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José Morales
05/20/2024, 10:52 PMD=1 in your example, is that high?
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David Rice
05/21/2024, 7:57 AMIn my example, if I align my model["arma"] output (1, 1, 0, 1, 52, 1, 1) to the documentation (p,d,q,P,D,Q,s) then D=52 and s=1? When I run ARIMASummary I get ARIMA(1,1,1)(0,1,1)[52] which is much more in line with expectation. This is leading me to think the model["arma"] output is not in the same order as the documentation specifies. I was hoping to understand what each value returned from model["arma"] corresponds to in terms of seasonal arima parameters. Hope that makes sense.
David Rice
05/21/2024, 8:15 AMWorth noting if I map (1, 1, 0, 1, 52, 1, 1) to [0, 5, 1, 2, 6, 3, 4] (from arima_string order variable) then it should return (1,1,1)(0,1,1)[52] so maybe this is the appropriate order?
David Rice
05/21/2024, 12:43 PMTo investigate this further, I created a generic arima model with unique parameter values and matched them up:
suggests the output order of ["arma"] is (p, q, P, Q, s, d, D)
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José Morales
05/21/2024, 3:40 PMIn order to get them as (p, d, q, P, D, Q, s) you have to use the indices that are used in the arima string function
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