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Arima

polars_ts.models.arima

ARIMA / SARIMA wrappers for polars-ts.

  • arima_fit / arima_forecast -- explicit order control via statsmodels.tsa.statespace.sarimax.SARIMAX.
  • auto_arima -- automatic order selection via statsforecast.models.AutoARIMA.

_infer_freq(dates)

Return the most common time delta in a sorted date/datetime column.

_make_future_dates(last_date, freq, h)

Generate h future timestamps starting one step after last_date.

auto_arima(df, h, season_length=1, target_col='y', id_col='unique_id', time_col='ds')

Fit an AutoARIMA model per series and return h-step forecasts.

Uses statsforecast.models.AutoARIMA under the hood.

Returns

pl.DataFrame Columns [id_col, time_col, "y_hat"].

arima_fit(df, order=(1, 1, 1), seasonal_order=None, target_col='y', id_col='unique_id', time_col='ds')

Fit a SARIMAX model per group and return a dict of fitted models.

Parameters

df Long-format DataFrame with at least [id_col, time_col, target_col]. order (p, d, q) for the non-seasonal component. seasonal_order (P, D, Q, s) for the seasonal component. None means no seasonal component.

Returns

dict Mapping group_id -> fitted SARIMAXResults.

arima_forecast(fitted, h, id_col='unique_id', time_col='ds')

Produce h-step-ahead forecasts from previously fitted models.

Parameters

fitted Output of :func:arima_fit. h Forecast horizon.

Returns

pl.DataFrame Columns [id_col, time_col, "y_hat"].