Regression modelEconometrics / time series
非线性自回归 (NAR) 模型
非线性自回归 (NAR) 模型通过允许从过去值到当前值的映射遵循任意或机制转换的非线性函数，扩展了经典的自回归框架。主要家族包括自激阈值自回归 (SETAR)、平滑转换自回归 (STAR) 和神经网络自回归，每种模型都捕捉了单变量时间序列中不同形式的不对称性、机制转换或平滑非线性动态。
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来源
- Tong, H. (1990). Non-Linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 9780198522201
- Terasvirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89(425), 208-218. DOI: 10.1080/01621459.1994.10476462 ↗
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Autoregressive Model. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-ar-model
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Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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