Regression modelEconometrics / time series
非线性自回归移动平均模型 (NARMA)
非线性自回归移动平均模型 (NARMA) 通过允许条件均值通过任意非线性函数依赖于过去的观测值和过去的误差项，从而扩展了经典的线性自回归移动平均 (ARMA) 框架。它能够捕捉线性模型所忽略的复杂动态——例如状态转换、不对称周期和阈值效应——这使其在经济和金融时间序列分析中具有价值。
阅读完整方法
仅限会员
登录使用免费账户登录即可阅读本节。
Method map
The neighbourhood of related methods — select a node to explore.
来源
- Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0198522300
- Granger, C. W. J., & Terasvirta, T. (1993). Modelling Nonlinear Economic Relationships. Oxford University Press. link ↗
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Autoregressive Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-arma-model
Which method?
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.
Compare side by side →