SARIMAX with seasonality greater than one year

3

I would use Statsmodels SARIMAX with data having seasonality greater than one year. In my case, I have seasonality equal 4 years, therefore I have tried:

smt.SARIMAX(endog, order=(p, d, q), seasonal_order=(P,D,Q,4))

Is it correct set seasonality = 4 when the seasonality is equal 4 years?

Simone

Posted 2017-08-13T15:38:55.350

Reputation: 553

Answers

1

From the documentation of statsmodels:

s is an integer giving the periodicity (number of periods in season), often it is 4 for quarterly data or 12 for monthly data. Default is no seasonal effect.

So it depends on how you have your data recorded, if each entry is a year, your seasonality would be 4, however if you have monthly data, then it would be 36.

David Parra

Posted 2017-08-13T15:38:55.350

Reputation: 11