I am trying to interpret ARIMA output below and not clear about sigma2. The documentation says it is 'The variance of the residuals.'. What is the hypothesis behind this output/importance?.
Kindly provide answer or a link where it is covered in detail.
import statsmodels.api as sm
mod = sm.tsa.statespace.SARIMAX(df.Sales, order=(0, 1, 1),
seasonal_order=(0, 1, 1, 12), enforce_stationarity=False,
enforce_invertibility=False)
results = mod.fit()
print(results.summary().tables[1])
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ma.L1 -0.9317 0.055 -16.989 0.000 -1.039 -0.824
ma.S.L12 -0.0851 0.143 -0.594 0.553 -0.366 0.196
sigma2 1.185e+09 2.13e-11 5.56e+19 0.000 1.19e+09 1.19e+09
==============================================================================