This is a comprehensive model that includes all the possible model types (Autoregressive, Exogenous, Seasonal and Moving Average) for prediction.
Input
- finance_data3, as in VARMAX Example 1: No Exogenous Model
SQL Call
SELECT * FROM VARMAX (
ON finance_data3 AS "data" PARTITION BY id ORDER BY period
USING
ResponseColumns ('expenditure')
ExogenousColumns ('income', 'investment')
PartitionColumns ('id')
PDQ ('1, 1, 1')
SeasonalPDQ ('1, 0, 0')
Period (4)
Lag (3)
ExogenousOrder (3)
IncludeMean ('false')
StepAhead (3)
) AS dt ORDER BY id;
Output
| id | coef | coef_value | stepahead | predict_expenditure |
|---|---|---|---|---|
| 1 | coef | 1, 1, 1, 1, 0, 0, 3 | ||
| 1 | ar_params | [[-0.08614401327519393]] | ||
| 1 | ma_params | [[-0.1680269481962965]] | ||
| 1 | exogenous_params | [[0.14203710879699824, -0.5781265904163024]], [[4.346857849907079, -3.6811357032482723]], [[1.5837616273557507, 1.6939228988751796]] | ||
| 1 | seasonal_ar_params | [[-1.774477167876499]] | ||
| 1 | seasonal_ma_params | |||
| 1 | period | 4 | ||
| 1 | lag | 3 | ||
| 1 | sigma | [[21676.58531469003]] | ||
| 1 | aic | 10.445526400752035 | ||
| 1 | bic | 10.829425242166568 | ||
| 1 | iterations | 20 | ||
| 1 | converged | true | ||
| 1 | 1 | 3943.92757311105 | ||
| 1 | 2 | 5935.79783027663 | ||
| 1 | 3 | 5949.27104339776 | ||
| 2 | coef | 1, 1, 1, 1, 0, 0, 3 | ||
| 2 | ar_params | [[0.7116543185119842]] | ||
| 2 | ma_params | [[0.7409842225080137]] | ||
| 2 | exogenous_params | [[-1.3036705963984643, 3.539286250241028]], [[4.598852419341966, 0.24549009988380754]], [[-1.665252032620963, -4.712566452061846]] | ||
| 2 | seasonal_ar_params | [[-5.409614969849707]] | ||
| 2 | seasonal_ma_params | |||
| 2 | period | 4 | ||
| 2 | lag | 3 | ||
| 2 | sigma | [[36921.803548309304]] | ||
| 2 | aic | 10.97809599913301 | ||
| 2 | bic | 11.361994840547544 | ||
| 2 | iterations | 53 | ||
| 2 | converged | true | ||
| 2 | 1 | 1684.98113900396 | ||
| 2 | 2 | 1678.10798395172 | ||
| 2 | 3 | 1737.6262526761 | ||
| 3 | coef | 1, 1, 1, 1, 0, 0, 3 | ||
| 3 | ar_params | [[0.254361642305569]] | ||
| 3 | ma_params | [[0.1001575083196238]] | ||
| 3 | exogenous_params | [[0.29320016884259, -0.7088197800884475]], [[0.029695938455021133, 0.3298987004589782]], [[0.552628701381863, -1.4286270925970472]] | ||
| 3 | seasonal_ar_params | [[-0.1780611965952543]] | ||
| 3 | seasonal_ma_params | |||
| 3 | period | 4 | ||
| 3 | lag | 3 | ||
| 3 | sigma | [[2.333553926057712E-18]] | ||
| 3 | aic | -38.962775641871566 | ||
| 3 | bic | -38.63722496412744 | ||
| 3 | iterations | 20 | ||
| 3 | converged | true | ||
| 3 | 1 | 2323.20886314076 | ||
| 3 | 2 | 2393.45004194531 | ||
| 3 | 3 | 2374.68753995705 |