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| 自己回帰モデル（AR）× | SARIMAモデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1970s (popularised 1976) | 1970 (first edition); 1976 (revised) |
| 提唱者≠ | George E. P. Box and Gwilym M. Jenkins | Box, Jenkins, and Reinsel |
| 種類≠ | Time series model | Seasonal time series model |
| 原典≠ | Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0816211043 | Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744 |
| 別名 | AR model, AR(p) model, autoregression, AR process | SARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component |
| 関連≠ | 6 | 5 |
| 概要≠ | An autoregressive model of order p — AR(p) — expresses the current value of a time series as a linear function of its own p most recent past values plus a white-noise error. It is the building block of the Box-Jenkins family of time-series models and is widely used for forecasting stationary economic and financial series. | 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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