1
$\begingroup$

I am working on a time series forecasting problem.As I came to know that I was not considering structural changes and seasonal dummies and was building a simple ARIMA that was causing a very poor fit. I added monthly and day dummies and provided them as exogenous variable in seasonal ARIMA (SARIMAX) ,which improved the model somewhat.

enter image description here

with respect to the the ARIMA model-

enter image description here

I want to ask how to add the effect of change points in ARIMAX/SARIMAX in python and I also want to understand the conceptual understanding of after adding these change points how does the cost function/parameter estimation of the of the model changes ?

$\endgroup$
  • $\begingroup$ You say "I added monthly and day dummies and provided them as exogenous variable in seasonal ARIMA (SARIMAX) ,which improved the model somewhat." . I say "not so much" as there is no daily effect JUST day 1 and there are no level shifts in the out-of-sample so your level shifts make little sense and represent your specification for this problem. Cost function/parameter estimation is not a familiar statistical concept to me . Is it machine language speak ? $\endgroup$ – IrishStat Mar 20 at 16:12
  • $\begingroup$ There is an effect for JUST 2 months of the year (september & october) based upon the first 413 values. It appears that you have inserted/assumed a Jan/Feb effect $\endgroup$ – IrishStat Mar 20 at 17:40
  • $\begingroup$ yes, I added a dummy for each month and provided them as exogenous variable. From the first comment - yes Cost function/parameter estimation is word from machine learning ,what I wanted to ask is the how adding the effect of different change points affects the model performance for future points(test points) , like for the exogenous variables I read that there is regression model with ARMA errors. $\endgroup$ – A.kumar Mar 20 at 18:58
  • $\begingroup$ stats.stackexchange.com/questions/398489/… for stuff on the ARMAX model. The Model I developed for your data is an example of that $\endgroup$ – IrishStat Mar 20 at 19:23

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.