what is sigma2 in SARIMAX and why is there no constant in SARIMAX summary.
Hi Team,
After printing out the summary of SARIMAX model in the coefficient table there was a sigma2 variable. who does that signify and how is that interpreted. Also in SARIMAX equation there is a constant in the start, however in the summary of the model there was no constant given in the table or values associated with it.
Regards,
Neel.
1 answers ( 0 marked as helpful)
Hey Neel,
Your question got lost in the shuffle a bit. So, sigma squared represents the variance of the residual values. You can examine the statsmodels documentation for further details https://www.statsmodels.org/stable/statespace.html.
Best,
365 Vik