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Model SARIMA ze strukturalnymi przełamaniami×Model ARIMA (Autoregresyjny Zintegrowany Model Średniej Ruchomej)×Model SARIMA×
DziedzinaEkonometriaEkonometriaEkonometria
RodzinaRegression modelRegression modelRegression model
Rok powstania1970s–199819701970 (first edition); 1976 (revised)
TwórcaBox & Jenkins (SARIMA); Bai & Perron (structural break detection)George Box and Gwilym JenkinsBox, Jenkins, and Reinsel
TypTime series model with regime shiftsTime series forecasting modelSeasonal time series model
Źródło pierwotneBai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI ↗Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744
Inne nazwySARIMA with structural breaks, break-augmented SARIMA, piecewise SARIMA, SARIMA-SBARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)SARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component
Pokrewne365
PodsumowanieThe 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.The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.SARIMA extends ARIMA by adding seasonal autoregressive and moving-average operators to capture repeating patterns at fixed intervals — such as monthly, quarterly, or annual cycles. Denoted SARIMA(p,d,q)(P,D,Q)s, it is the standard workhorse for univariate seasonal time series forecasting in econometrics, economics, and official statistics.
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