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Nonlinear SARIMA Model×ऑटोरेग्रेसिव इंटीग्रेटेड मूविंग एवरेज (ARIMA) मॉडल×SARIMA मॉडल×
क्षेत्रअर्थमितिअर्थमितिअर्थमिति
परिवारRegression modelRegression modelRegression model
उद्भव वर्ष1990–200019701970 (first edition); 1976 (revised)
प्रवर्तकTong (1990) for threshold nonlinear extensions; Franses & van Dijk (2000) for empirical finance applicationsGeorge Box and Gwilym JenkinsBox, Jenkins, and Reinsel
प्रकारNonlinear time series modelTime series forecasting modelSeasonal time series model
मौलिक स्रोतTong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0198523000Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744
उपनामNL-SARIMA, nonlinear seasonal ARIMA, threshold SARIMA, smooth transition SARIMAARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)SARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component
संबंधित365
सारांशThe 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.The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.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.
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