statsmodels.tsa.statespace.sarimax.SARIMAXResults.forecast

SARIMAXResults.forecast(steps=1, signal_only=False, **kwargs)

Out-of-sample forecasts

Parameters:
stepsint, str, or datetime, optional

If an integer, the number of steps to forecast from the end of the sample. Can also be a date string to parse or a datetime type. However, if the dates index does not have a fixed frequency, steps must be an integer. Default is 1.

signal_onlybool, optional

Whether to compute forecasts of only the “signal” component of the observation equation. Default is False. For example, the observation equation of a time-invariant model is yt=d+Zαt+εt, and the “signal” component is then Zαt. If this argument is set to True, then forecasts of the “signal” Zαt will be returned. Otherwise, the default is for forecasts of yt to be returned.

**kwargs

Additional arguments may required for forecasting beyond the end of the sample. See FilterResults.predict for more details.

Returns:
forecastarray_like

Out-of-sample forecasts (Numpy array or Pandas Series or DataFrame, depending on input and dimensions). Dimensions are (steps x k_endog).

See also

predict

In-sample predictions and out-of-sample forecasts.

get_forecast

Out-of-sample forecasts and results including confidence intervals.

get_prediction

In-sample predictions / out-of-sample forecasts and results including confidence intervals.


Last update: Jan 07, 2025