方法证据记录
Fourier ARMA model
The Fourier ARMA model augments the classical Autoregressive Moving Average framework with low-frequency Fourier (sine and cosine) terms to capture smooth, gradual shifts in the mean or trend of a time series. Unlike dummy-variable approaches, it requires no prior knowledge of when structural change occurred, approximating change with flexible trigonometric functions.
源记录
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Fourier-Augmented Autoregressive Moving Average Model
分类方法记录 · regression-model / econometrics
- Becker, R., Enders, W., & Hurn, S. (2006). A general test for time dependence in parameters. Journal of Applied Econometrics, 21(7), 1005–1028. · URL
- Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419. · DOI 10.1515/snde-2014-0101
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