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.

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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Neel Shah

Last answered:

April 16, 2020

Posted on:

April 03, 2020

what is sigma2 in SARIMAX and why is there no constant in SARIMAX summary.

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Viktor Mehandzhiyski

Posted on:

April 16, 2020

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