statsmodels.tsa.arima_model.ARMAResults.predict¶

ARMAResults.
predict
(start=None, end=None, exog=None, dynamic=False)[source]¶ ARMA model insample and outofsample prediction
Parameters:  start (int, str, or datetime) – Zeroindexed observation number at which to start forecasting, ie., the first forecast is start. Can also be a date string to parse or a datetime type.
 end (int, str, or datetime) – Zeroindexed observation number at which to end forecasting, ie., the first forecast is start. Can also be a date string to parse or a datetime type. However, if the dates index does not have a fixed frequency, end must be an integer index if you want out of sample prediction.
 exog (arraylike, optional) – If the model is an ARMAX and outofsample forecasting is requested, exog must be given. Note that you’ll need to pass k_ar additional lags for any exogenous variables. E.g., if you fit an ARMAX(2, q) model and want to predict 5 steps, you need 7 observations to do this.
 dynamic (bool, optional) – The dynamic keyword affects insample prediction. If dynamic is False, then the insample lagged values are used for prediction. If dynamic is True, then insample forecasts are used in place of lagged dependent variables. The first forecasted value is start.
Returns: predict – The predicted values.
Return type: array
Notes
It is recommended to use dates with the timeseries models, as the below will probably make clear. However, if ARIMA is used without dates and/or start and end are given as indices, then these indices are in terms of the original, undifferenced series. Ie., given some undifferenced observations:
1970Q1, 1 1970Q2, 1.5 1970Q3, 1.25 1970Q4, 2.25 1971Q1, 1.2 1971Q2, 4.1
1970Q1 is observation 0 in the original series. However, if we fit an ARIMA(p,1,q) model then we lose this first observation through differencing. Therefore, the first observation we can forecast (if using exact MLE) is index 1. In the differenced series this is index 0, but we refer to it as 1 from the original series.