某些滞后的ARIMA模型 [英] ARIMA model for certain lags

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，我要消除不明显的滞后.例如，我只想要滞后1和滞后3.但是按顺序，我只能给出总滞后.(因此，如果我说p = 3，那么我会滞后1、2和3)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

如果只需要特定的延迟列表，例如1&3作为AR组件，那么您可以通过以下方式实现

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

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

这篇关于某些滞后的ARIMA模型的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持IT屋！