Regression modelEconometrics / time series
稳健自回归滑动平均模型
稳健自回归滑动平均模型（Robust ARMA）通过用抗异常值估计方法（通常是M估计量或基于中位数的方法）替代敏感的最小二乘损失，扩展了经典的自回归滑动平均（Autoregressive Moving Average）框架。这可以保护系数估计和预测免受加性异常值、水平漂移或创新性异常值（在经济和金融时间序列中很常见）的扭曲。
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如何引用本页
ScholarGate. (2026, June 3). Robust Autoregressive Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-arma-model
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