Regression modelEconometrics / time series
结构断点 ARIMA 模型
结构断点 ARIMA 模型在标准 ARIMA 框架的基础上，通过显式识别和处理时间序列水平、趋势或动态中的一个或多个突变点，对其进行了扩展。它不强制整个样本使用一套固定的 ARIMA 参数，而是为由检测到的断点日期定义的每个状态拟合单独的 ARIMA 模型。
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来源
- Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. DOI: 10.2307/2998540 ↗
- Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. DOI: 10.2307/1913712 ↗
如何引用本页
ScholarGate. (2026, June 3). Structural Break Autoregressive Integrated Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-arima-model
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