ARIMA模型不可逆


问题内容

我正在尝试编写代码以生成一系列Arima模型并比较不同的模型。代码如下。

p=0
q=0
d=0
pdq=[]
aic=[]

for p in range(6):
    for d in range(2):
        for q in range(4):
            arima_mod=sm.tsa.ARIMA(df,(p,d,q)).fit(transparams=True)

            x=arima_mod.aic


            x1= p,d,q
            print (x1,x)

            aic.append(x)
            pdq.append(x1)



keys = pdq
values = aic
d = dict(zip(keys, values))
print (d)

minaic=min(d, key=d.get)

for i in range(3):
 p=minaic[0]
    d=minaic[1]
    q=minaic[2]
print (p,d,q)

其中’df’是时间序列数据,输出如下

(0, 0, 0) 1712.55522759
(0, 0, 1) 1693.436483044094
(0, 0, 2) 1695.2226857997066
(0, 0, 3) 1690.9437925956158
(0, 1, 0) 1712.74161799
(0, 1, 1) 1693.0408994539348
(0, 1, 2) 1677.2235087182808
(0, 1, 3) 1679.209810237856
(1, 0, 0) 1700.0762847127553
(1, 0, 1) 1695.353190569905
(1, 0, 2) 1694.7907607467605
(1, 0, 3) 1692.235442716487
(1, 1, 0) 1714.5088374907164

ValueError: The computed initial MA coefficients are not invertible
You should induce invertibility, choose a different model order, or you can
pass your own start_params.

即对于阶数(1,1,1),模型是不可逆的。所以过程在那里停止。我如何跳过p,d,q的这种不可逆组合,然后继续其他组合


问题答案:

使用try: ... except: ...捕获异常并继续

for p in range(6):
    for d in range(2):
        for q in range(4):
            try:
                arima_mod=sm.tsa.ARIMA(df,(p,d,q)).fit(transparams=True)

                x=arima_mod.aic

                x1= p,d,q
                print (x1,x)

                aic.append(x)
                pdq.append(x1)
            except:
                pass
                # ignore the error and go on