Regression modelEconometrics / time series
稳健 ARIMA 模型
稳健 ARIMA 模型扩展了经典的 ARIMA 框架，用于在估计过程中检测和纠正异常值和结构性断裂的影响。通过联合识别异常观测值和重新估计模型参数，它产生的系数估计和预测比标准 ARIMA 受孤立冲击或数据错误的影响要小得多。
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来源
- Tsay, R. S. (1986). Time series model specification in the presence of outliers. Journal of the American Statistical Association, 81(393), 132–141. DOI: 10.1080/01621459.1986.10478250 ↗
- Chen, C., & Liu, L.-M. (1993). Joint estimation of model parameters and outlier effects in time series. Journal of the American Statistical Association, 88(421), 284–297. DOI: 10.2307/2290724 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Autoregressive Integrated Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-arima-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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