Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modèle SARIMA non linéaire× | Modèle SARIMA× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1990–2000 | 1970 (first edition); 1976 (revised) |
| Auteur d'origine≠ | Tong (1990) for threshold nonlinear extensions; Franses & van Dijk (2000) for empirical finance applications | Box, Jenkins, and Reinsel |
| Type≠ | Nonlinear time series model | Seasonal time series model |
| Source fondatrice≠ | Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0198523000 | Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744 |
| Alias | NL-SARIMA, nonlinear seasonal ARIMA, threshold SARIMA, smooth transition SARIMA | SARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component |
| Apparentées≠ | 3 | 5 |
| Résumé≠ | The Nonlinear SARIMA model extends the classical Seasonal ARIMA framework by replacing the linear conditional mean function with a nonlinear specification — such as threshold switching or smooth transition — while retaining seasonal differencing and lag structure. It is used when seasonal time series exhibit regime-dependent dynamics, asymmetric adjustment, or other nonlinear patterns that a linear model cannot capture. | SARIMA extends ARIMA by adding seasonal autoregressive and moving-average operators to capture repeating patterns at fixed intervals — such as monthly, quarterly, or annual cycles. Denoted SARIMA(p,d,q)(P,D,Q)s, it is the standard workhorse for univariate seasonal time series forecasting in econometrics, economics, and official statistics. |
| ScholarGateJeu de données ↗ |
|
|