Can I forecast with discontinued data using ARIMA? I have data for sales on monthly basis, but a few months' information is not in the CSV file or data file. Can I forecast or fill that missing month with other calculated values from present records?



Part of the code I am using:

AIC = []
SARIMAX_model = []
for param in pdq:
    for param_seasonal in seasonal_pdq:
        try:
            mod = sm.tsa.statespace.SARIMAX(train_data,
                                            order=param,
                                            seasonal_order=param_seasonal,
                                            enforce_stationarity=False,
                                            enforce_invertibility=False)

            results = mod.fit()

            print('SARIMAX{}x{} - AIC:{}'.format(param, param_seasonal, results.aic), end='\r')
            AIC.append(results.aic)
            SARIMAX_model.append([param, param_seasonal])
        except:
            continue
print('The smallest AIC is {} for model SARIMAX{}x{}'.format(min(AIC), SARIMAX_model[AIC.index(min(AIC))][0],SARIMAX_model[AIC.index(min(AIC))][1]))

# Let's fit this model
mod = sm.tsa.statespace.SARIMAX(train_data,
                                order=SARIMAX_model[AIC.index(min(AIC))][0],
                                seasonal_order=SARIMAX_model[AIC.index(min(AIC))][1],
                                enforce_stationarity=False,
                                enforce_invertibility=False)
I ran into a similar problem and this worked for me:
#First I resampled the data to have all the months
train_data = df['sum of received quantity'].resample('MS').mean()
#Then I filled the Nan values
train_data = train_data.fillna(train_data.bfill())