如何训练具有多个系列的statsmodels.tsa.ARIMA模型

Question

The usual way to fit an ARIMA model with the statsmodels python package is:

model  = statsmodels.tsa.ARMA(series, order=(2,2))
result = model.fit(trend='nc', disp=1)

however, i have multiple time series data to train with, say, from the same underlying process, how could i do that?

Answer 1

When you say, multiple time series data, it is not clear if they are of the same type. There is no straightforward way to specify multiple series in ARMA model. However you could use the 'exog' optional variable to indicate the second series.

Please refer for the actual definition of ARMA model.

model  = statsmodels.tsa.ARMA(endog = series1, exog=series2, order=(2,2))

Please refer for the explanation of the endog, exog variables.

Please see a working example of how this could be implemented