タイムシリーズ - フィッティングARMAモデル

Question

私はIPythonノートにフィットし、ARMAモデルにしようとしています。次のコードの場合：

--------------------------------------------------------------------------- 
ValueError        Traceback (most recent call last) 
<ipython-input-43-8c1d7770f953> in <module>() 
    1 from statsmodels.tsa.arima_model import ARMA 
----> 2 arma_mod20 = sm.tsa.ARMA(dta, (2,0)).fit() 
    3 print (arma_mod20.params) 

C:\Users\rajadm\Desktop\Anaconda3\lib\site-packages\statsmodels\tsa\arima_model.py in fit(self, start_params, trend, method, transparams, solver, maxiter, full_output, disp, callback, **kwargs) 
917 
918   else: # estimate starting parameters 
--> 919    start_params = self._fit_start_params((k_ar, k_ma, k), method) 
920 
921   if transparams: # transform initial parameters to ensure invertibility 

C:\Users\rajadm\Desktop\Anaconda3\lib\site-packages\statsmodels\tsa\arima_model.py in _fit_start_params(self, order, method) 
554    func = lambda params: -self.loglike_css(params) 
555    #start_params = [.1]*(k_ar+k_ma+k_exog) # different one for k? 
--> 556    start_params = self._fit_start_params_hr(order) 
557    if self.transparams: 
558     start_params = self._invtransparams(start_params) 

C:\Users\rajadm\Desktop\Anaconda3\lib\site-packages\statsmodels\tsa\arima_model.py in _fit_start_params_hr(self, order) 
490   if k != 0: 
491    ols_params = GLS(endog, exog).fit().params 
--> 492    start_params[:k] = ols_params 
493    endog -= np.dot(exog, ols_params).squeeze() 
494   if q != 0: 

ValueError: could not broadcast input array from shape (2) into shape (1) 

どれ提案の修正：

from statsmodels.tsa.arima_model import ARMA 
arma_mod20 = sm.tsa.ARMA(dta, (2,0)).fit() 
print (arma_mod20.params) 

私は次のエラーを取得していますか？

ありがとうございました

Answer 1

入力形式を調整する必要があります。これは動作します：

働い

import statsmodels as sm 
from statsmodels.tsa.arima_model import ARMA 
from datetime import date 

dta = sm.datasets.sunspots.load_pandas().data 
dta.index = pd.date_range(start=date(1700,12, 31), end=date(2008,12,31), freq='A') 
dta = dta.drop('YEAR', axis=1) 

dta.info() 

DatetimeIndex: 309 entries, 1700-12-31 to 2008-12-31 
Freq: A-DEC 
Data columns (total 1 columns): 
SUNACTIVITY 309 non-null float64 
dtypes: float64(1) 
memory usage: 4.8 KB 


arma_mod20 = ARMA(dta, (2, 0)).fit() 
arma_mod20.params 

const    49.659542 
ar.L1.SUNACTIVITY  1.390656 
ar.L2.SUNACTIVITY -0.688571 
dtype: float64