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object SARIMAX

Companion object for class SARIMAX. Includes features related to differencing and automated order selection.

See also

www.jstatsoft.org/article/view/v027i03/v27i03.pdf

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  6. def difference(xx: VectoD, d: Int, dd: Int, period: Int): (VectoD, VectoD)

    Difference the time series or external regressors.

    Difference the time series or external regressors. Return both the completely differenced time series and the intermediate (differenced once) time series (needed to scale back results later).

    xx

    the time series or external regressors to be differenced

    d

    the order of simple differencing

    dd

    the order of seasonal differencing

    period

    the seasonal period

  7. def differenceSeason(x_: VectoD, dd: Int, period: Int): VectoD

    Difference for seasonality.

    Difference for seasonality.

    x_

    the time series or external regressors to be seasonally differenced, this is usually the intermediate result after simple differencing.

    dd

    the order of seasonal differencing

    period

    the seasonal period

  8. def differenceTrend(xx: VectoD, d: Int): VectoD

    Difference for trend.

    Difference for trend.

    xx

    the time series or external regressors to be trend differenced

    d

    the order of simple differencing

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  19. def transformBack(xp: VectoD, x_: VectoD, xx: VectoD, d: Int, dd: Int, period: Int): VectoD

    Transform the fitted values on the training data of a differenced time series back to the original scale.

    Transform the fitted values on the training data of a differenced time series back to the original scale.

    xp

    the vector of predictions/fitted values of a differenced time series

    x_

    the intermediate result after differencing for trend, but before differencing for seasonality

    xx

    the original zero-mean time series

    d

    the order of simple differencing

    dd

    the order of seasonal differencing

    period

    the seasonal period

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  20. def transformBackF(xf: VectoD, x_: VectoD, xx: VectoD, d: Int, dd: Int, period: Int, t: Int): VectoD

    Transform the forecast values of a differenced time series back to the original scale.

    Transform the forecast values of a differenced time series back to the original scale.

    xf

    the vector of forecasted values of a differenced time series

    x_

    the intermediate result after differencing for trend, but before differencing for seasonality

    xx

    the original zero-mean time series

    d

    the order of simple differencing

    dd

    the order of seasonal differencing

    period

    the seasonal period

    t

    the time

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  21. def transformBackFSeason(xf: VectoD, x_: VectoD, dd: Int, period: Int, t: Int): VectoD

    Transform the forecast values of a differenced time series back to the original scale.

    Transform the forecast values of a differenced time series back to the original scale. Undo seasonal differencing only.

    xf

    the vector of forecasted values of a differenced time series

    x_

    the intermediate result after differencing for trend, but before differencing for seasonality

    dd

    the order of seasonal differencing

    period

    the seasonal period

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  22. def transformBackFTrend(xf_: VectoD, xx: VectoD, d: Int, t: Int): VectoD

    Transform the forecast values of a differenced time series back to the original scale.

    Transform the forecast values of a differenced time series back to the original scale. Undo trend differencing only.

    xf_

    the vector of forecasted values after undoing seasonal differencing

    xx

    the original zero-mean time series

    d

    the order of simple differencing

    t

    the time

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  23. def transformBackSeason(xp: VectoD, x_: VectoD, dd: Int, period: Int): VectoD

    Transform the fitted values on the training data of a differenced time series back to the original scale.

    Transform the fitted values on the training data of a differenced time series back to the original scale. Undo seasonal differencing only.

    xp

    the vector of predictions/fitted values of a differenced time series

    x_

    the intermediate result after differencing for trend, but before differencing for seasonality

    dd

    the order of seasonal differencing

    period

    the seasonal period

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  24. def transformBackTrend(xp_: VectoD, xx: VectoD, d: Int): VectoD

    Transform the fitted values on the training data of a differenced time series back to the original scale.

    Transform the fitted values on the training data of a differenced time series back to the original scale. Undo trend differencing only.

    xp_

    the vector of predictions/fitted values after undoing seasonal differencing

    xx

    the original zero-mean time series

    d

    the order of simple differencing

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

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