[ENH] add disp parameter to sarimax to control output verbosity

[tvdboom]

Reference Issues/PRs

Closes #5712

What does this implement/fix? Explain your changes.

Added the disp parameter to the constructor of SARIMAX to control the verbosity of the printed convergence messages. It follows the same naming convention as other models like DynamicFactor, AutoETS, VARMAX.

What should a reviewer concentrate their feedback on?

Do I need a changelog for this?

PR checklist

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For new estimators

• I've added the estimator to the API reference - in docs/source/api_reference/taskname.rst, follow the pattern.
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[fkiraly]

Looks good.

Left some non-blocking comments above.

Other non-blocking comments, this relates to multiple issues where fit parameters of the interfaced method are not exposed via the sktime constructor.
statsmodels - #4377
pmdarima - #2344

As you have looked into the statsmodels estimators, do you perchance know whether now all the fit_params are exposed in all estimators, so we can close the related issue #4377?

The same problem exists for other packages, in case you have some awareness there.

[tvdboom]

As you have looked into the statsmodels estimators, do you perchance know whether now all the fit_params are exposed in all estimators, so we can close the related issue #4377?

Not all estimators expose all fit parameters. SARIMAX itself for example is missing many. Also some estimators (or at least AutoREG) do expose them but they are not in the docstring (thus not in the documentation). So that ticket remains open.

[fkiraly]

So that ticket remains open.

Well, if you would be kind enough to deal with it in one stroke, that would be very much appreciated. No pressure though.

[tvdboom]

Well, if you would be kind enough to deal with it in one stroke, that would be very much appreciated. No pressure though.

I'm working now and another PR for modin objects. Don't think I'll do another one after to fix that. sorry. at least not in the near future