Regression model
SARIMAX — 含外生回归量的季节性ARIMA模型
SARIMAX 模型是对季节性ARIMA（Box-Jenkins）模型进行了扩展，增加了外生解释变量，从而能够捕捉节假日、经济指标或政策变量对时间序列的影响。它结合了非季节性和季节性的自回归与移动平均动态以及外部回归量，并通过状态空间形式的最大似然法进行估计。
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来源
- Hyndman, R. J. & Athanasopoulos, G. (2021). Forecasting: Principles and Practice (3rd ed.). OTexts. link ↗
- Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021
如何引用本页
ScholarGate. (2026, June 1). Seasonal ARIMA with Exogenous Regressors. ScholarGate. https://scholargate.app/zh/econometrics/sarimax
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.
- ARIMA（自回归积分滑动平均）模型计量经济学↔ compare
- 贝叶斯向量自回归 (BVAR)计量经济学↔ compare
- 霍尔特-温特斯三指数平滑法计量经济学↔ compare
- 状态空间模型（卡尔曼滤波器）计量经济学↔ compare