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| 非線形ARIMAモデル× | 自己回帰和分移動平均モデル (ARIMA Model)× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1978-1994 | 1970 |
| 提唱者≠ | Howell Tong (SETAR/TAR framework); Timo Terasvirta (STAR extensions) | George Box and Gwilym Jenkins |
| 種類≠ | Nonlinear time series model | Time series forecasting model |
| 原典≠ | Tong, H. (1990). Non-Linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 9780198522249 | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| 別名 | nonlinear ARIMA, NARIMA, nonlinear time series model, nonlinear Box-Jenkins model | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) |
| 関連≠ | 3 | 6 |
| 概要≠ | The Nonlinear ARIMA model extends the classical Box-Jenkins ARIMA framework by allowing the conditional mean of a time series to depend on past values and past errors through a nonlinear function. It encompasses families such as Threshold AR (TAR/SETAR), Smooth Transition AR (STAR/LSTAR/ESTAR), and Markov-switching models, capturing asymmetric dynamics, regime changes, and business-cycle asymmetries that linear ARIMA cannot represent. | 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. |
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