Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель Фурье SARIMA× | Модель Фурье-ARIMA× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1994 | 2004-2012 |
| Автор метода≠ | Harvey & Scott (1994); Hyndman & Athanasopoulos (popularization) | Becker, Enders, and Hurn; further extended by Enders and Lee |
| Тип≠ | Seasonal time series model with trigonometric regressors | Time series model |
| Основополагающий источник≠ | Harvey, A., & Scott, A. (1994). Seasonality in dynamic regression models. The Economic Journal, 104(427), 1324-1345. link ↗ | Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117(1), 196-202. DOI ↗ |
| Другие названия | Fourier SARIMA, SARIMA with Fourier terms, Fourier-SARIMA, trigonometric SARIMA | Fourier ARIMA, ARIMA with Fourier terms, trigonometric ARIMA, Fourier-flexible ARIMA |
| Связанные≠ | 6 | 2 |
| Сводка≠ | The 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 Fourier ARIMA model augments a standard ARIMA specification with trigonometric sine and cosine terms, allowing it to capture smooth, gradual structural change and flexible nonlinear seasonality without specifying the exact timing or number of breaks in advance. It is widely used in applied macroeconometrics and finance for series exhibiting slowly evolving dynamics. |
| ScholarGateНабор данных ↗ |
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