[英]linear regression model with ARMA/ARIMA in python
這是一個快速入門
from statsmodels.tsa.stattools import ARMA
import pandas as pd
import numpy as np
ts = pd.Series(np.random.randn(500), index=pd.date_range('2010-01-01', periods=500))
p, q = 1, 1
arma = ARMA(endog=ts, order=(p, q)).fit()
print arma.summary()
ARMA Model Results
==============================================================================
Dep. Variable: y No. Observations: 500
Model: ARMA(1, 1) Log Likelihood -678.805
Method: css-mle S.D. of innovations 0.941
Date: Tue, 17 May 2016 AIC 1365.610
Time: 00:01:52 BIC 1382.469
Sample: 01-01-2010 HQIC 1372.225
- 05-15-2011
==============================================================================
coef std err z P>|z| [95.0% Conf. Int.]
------------------------------------------------------------------------------
const 0.0624 0.048 1.311 0.191 -0.031 0.156
ar.L1.y 0.3090 0.311 0.992 0.322 -0.302 0.919
ma.L1.y -0.2177 0.318 -0.684 0.494 -0.841 0.406
Roots
=============================================================================
Real Imaginary Modulus Frequency
-----------------------------------------------------------------------------
AR.1 3.2367 +0.0000j 3.2367 0.0000
MA.1 4.5939 +0.0000j 4.5939 0.0000
-----------------------------------------------------------------------------
聲明:本站的技術帖子網頁,遵循CC BY-SA 4.0協議,如果您需要轉載,請注明本站網址或者原文地址。任何問題請咨詢:yoyou2525@163.com.