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Model SARIMA sa strukturnim prekidima×SARIMA model×
OblastEkonometrijaEkonometrija
PorodicaRegression modelRegression model
Godina nastanka1970s–19981970 (first edition); 1976 (revised)
TvoracBox & Jenkins (SARIMA); Bai & Perron (structural break detection)Box, Jenkins, and Reinsel
TipTime series model with regime shiftsSeasonal time series model
Temeljni izvorBai, 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., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744
Drugi naziviSARIMA with structural breaks, break-augmented SARIMA, piecewise SARIMA, SARIMA-SBSARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component
Srodne35
SažetakThe 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.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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ScholarGateUporedite metode: Structural Break SARIMA Model · SARIMA model. Preuzeto 2026-06-17 sa https://scholargate.app/sr/compare