问题描述
我想估计 ARIMA 模型的参数.我使用 arima 函数在 python 中执行此操作.现在,我想消除不显着的滞后.例如,我只想要滞后 1 和 3.但按顺序我只能给出总滞后.(因此,如果我说 p=3,那么我会得到滞后 1、2 和 3)我该如何解决这个问题?
I want to estimate parameters for an ARIMA model. I do this in python with the arima function. Now, I want to remove the non significant lags. For instance, I only want the lags 1 and 3. But by order I can only give the total lags. (Hence, if I say p=3, then I get lag 1, 2 and 3) How can I solve this?
model = ARIMA(R_bel, order=(3,0,1))
model_fit = model.fit(disp=0)
print(model_fit.summary())
谢谢
推荐答案
如果您只需要特定的滞后列表,例如 1 &3 作为 AR 组件,那么您可以通过以下方式进行
If you want only specific list of lags like 1 & 3 as AR components, then you can do that in the following way
model = ARIMA(R_bel, order=((1,0,1),0,1))
有关详细信息,您可以在 和 ARIMA - SARIMAX 文档更详细一点,但两者的基本含义相同
For details you can check the documentation having details of order
in SARIMAX and ARIMA - SARIMAX docs is a little bit more detailed, however the underlying meaning is same in both
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