Regression modelEconometrics / time series
稳健SARIMA模型
稳健SARIMA通过用稳健损失函数（例如M估计量）替换标准的最小二乘准则，扩展了经典的季节性ARIMA框架，从而使季节性时间序列中的异常值和重尾创新不会扭曲参数估计或使预测失效。
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来源
- Muler, N., Peña, D., & Yohai, V. J. (2009). Robust estimation for ARMA models. The Annals of Statistics, 37(2), 816–840. DOI: 10.1214/07-AOS570 ↗
- Franses, P. H., & Ghijsels, H. (1999). Additive outliers, GARCH and forecasting volatility. International Journal of Forecasting, 15(1), 1–9. DOI: 10.1016/S0169-2070(98)00053-3 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Seasonal Autoregressive Integrated Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-sarima-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.
- 自回归积分滑动平均模型 (ARIMA)计量经济学↔ compare
- 稳健回归统计学↔ compare
- SARIMA模型计量经济学↔ compare
- X-13ARIMA-SEATS 季节调整计量经济学↔ compare