Structural Break SARIMA Model
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.
Rekod sumber
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- Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. · DOI 10.2307/2998540
- Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. · ISBN 978-1118675021
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