Regression modelEconometrics / time series
结构断裂季节性自回归积分移动平均模型
结构断裂季节性自回归积分移动平均（SARIMA）模型在经典SARIMA框架的基础上，通过显式地检测和处理时间序列水平、趋势或季节性模式的突然、永久性变化，对其进行了扩展。该模型不强制整个样本使用单一的SARIMA规范，而是根据估计出的断裂点将序列分割，并对每个由此产生的段落拟合独立的SARIMA过程，从而在存在状态变化的情况下，提供更准确的预测和更可靠的推断。
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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 ↗
- 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 3). Structural Break Seasonal Autoregressive Integrated Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-sarima-model
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