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| 非線形SARIMAモデル× | 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≠ | 1990–2000 | 1970 (first edition); 1976 (revised) |
| 提唱者≠ | Tong (1990) for threshold nonlinear extensions; Franses & van Dijk (2000) for empirical finance applications | Box, Jenkins, and Reinsel |
| 種類≠ | Nonlinear time series model | Seasonal time series model |
| 原典≠ | 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 |
| 別名 | NL-SARIMA, nonlinear seasonal ARIMA, threshold SARIMA, smooth transition SARIMA | SARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component |
| 関連≠ | 3 | 5 |
| 概要≠ | 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. |
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