Last answered:

16 Apr 2020

Posted on:

03 Apr 2020

0

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)
Instructor
Posted on:

16 Apr 2020

0
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

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