Exercise

Searching over model order

In this exercise you are faced with a dataset which appears to be an ARMA model. You can see the ACF and PACF in the plot below. In order to choose the best order for this model you are going to have to do a search over lots of potential model orders to find the best set.

The SARIMAX model class and the time series DataFrame df are available in your environment.

Instructions

100 XP

Loop over values of p from 0-2.
Loop over values of q from 0-2.
Train and fit an ARMA(p,q) model.
Append a tuple of (p,q, AIC value, BIC value) to order_aic_bic.

Take Hint (-30 XP)