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مدل فوریه-ساریمـا×مدل ساریمای شکست ساختاری×
حوزهاقتصادسنجیاقتصادسنجی
خانوادهRegression modelRegression model
سال پیدایش19941970s–1998
پدیدآورHarvey & Scott (1994); Hyndman & Athanasopoulos (popularization)Box & Jenkins (SARIMA); Bai & Perron (structural break detection)
نوعSeasonal time series model with trigonometric regressorsTime series model with regime shifts
منبع بنیادینHarvey, A., & Scott, A. (1994). Seasonality in dynamic regression models. The Economic Journal, 104(427), 1324-1345. link ↗Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗
نام‌های دیگرFourier SARIMA, SARIMA with Fourier terms, Fourier-SARIMA, trigonometric SARIMASARIMA with structural breaks, break-augmented SARIMA, piecewise SARIMA, SARIMA-SB
مرتبط63
خلاصهThe Fourier SARIMA model extends the classical Seasonal ARIMA framework by incorporating trigonometric (Fourier) terms as deterministic regressors. This allows the model to approximate smooth, complex, or multiple-frequency seasonal patterns without requiring a full seasonal ARIMA structure for every frequency, making it particularly useful for high-frequency data or series with non-integer or evolving seasonality.The Structural Break SARIMA model extends the classical Seasonal ARIMA framework by explicitly detecting and accommodating abrupt, permanent shifts in the level, trend, or seasonal pattern of a time series. Rather than forcing a single SARIMA specification across the entire sample, the model partitions the series at estimated breakpoints and fits separate SARIMA processes to each resulting segment, producing more accurate forecasts and reliable inference in the presence of regime changes.
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  1. v1
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  3. PUBLISHED

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ScholarGateمقایسهٔ روش‌ها: Fourier SARIMA model · Structural Break SARIMA Model. بازیابی‌شده در 2026-06-17 از https://scholargate.app/fa/compare