Advanced Forecasting with Python: With State-of-the-Art-Models Including LSTMs, Facebook’s Prophet, and Amazon’s DeepAR

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2021

J. KorstanjeAdvanced Forecasting with Pythonhttps://doi.org/10.1007/978-1-4842-7150-6_8

8. The SARIMAX Model

Joos Korstanje¹  

(1)

Maisons Alfort, France

 

In this chapter, you will discover the SARIMAX model. This model is the most complete version of classical time series models, as it contains all of the components that you’ve discovered throughout the previous chapters of this book. It adds the X component: external variables.

Time Series Building Blocks

Let’s have a quick look back at the different components of time series that you have seen throughout the previous chapters using Table 8-1.

Table 8-1

The Building Blocks of Univariate Time Series

Name	Explanation ...