Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors

Modeling Time Series with SARIMAX and Skew-Normal and Zero-Inflated Skew-Normal Errors

This study proposes an extension of Seasonal Autoregressive Integrated Moving Average models with exogenous regressors (SARIMAX) by incorporating skew-normal and zero-inflated skew-normal error structures to better accommodate asymmetry and excess zeros in time series data. The proposed framework de...

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Bibliographic Details
Main Authors: M. Alejandro Dinamarca, Fernando Rojas, Claudia Ibacache-Quiroga, Karoll González-Pizarro
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Mathematics
Subjects:
seasonal autoregressive models
skew-normal distribution
zero-inflated errors
asymmetric residuals
forecasting accuracy
time series analysis
Online Access:https://www.mdpi.com/2227-7390/13/11/1892
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