I'd like to compare the results of an LSTM model to an ARIMA model.

How can I create an ARIMA model in python that trains on the first 70% of data (~2700 observations), and then produces forecasts at 10-day intervals for the test data (~1200 observations) where the model sees all the previous data (expanding window) but does not get refit every 10 days? Thanks!

Right now my code refits the model every 10 days:

for t in range(0, len(test), 10):
  model = ARIMA(history, order=(5,1,0))
  model_fit = model.fit(disp=0)
  output = model_fit.forecast(steps=10)
  yhat = output[0]

  obs = test[t]

closed as off-topic by Richard Hardy, Michael Chernick, Siong Thye Goh, Peter Flom May 1 at 10:41

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  • 2
    $\begingroup$ How to do something in Python (or any other language or piece of software) is off topic here. But the statistical aspect of the problem is a valid question. What you could do is estimate the model on the training set, then either (1) save the coefficients and manually construct forecasts by supplying ever newer data or (2) use the estimated model as a filter with some existing Python function. I do not know of such a function, but perhaps filter could be a good keyword in seaching. $\endgroup$ – Richard Hardy Apr 30 at 19:58