Regression modelEconometrics / time series
非线性季节性自回归积分滑动平均模型
非线性季节性自回归积分滑动平均（SARIMA）模型扩展了经典的季节性SARIMA框架，通过用非线性函数（如阈值切换或平滑过渡）替换线性的条件均值函数，同时保留季节性差分和滞后结构。当季节性时间序列表现出依赖于状态的动态、不对称调整或其他线性模型无法捕捉的非线性模式时，使用该模型。
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来源
- Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0198523000
- Franses, P. H., & van Dijk, D. (2000). Non-linear Time Series Models in Empirical Finance. Cambridge University Press. ISBN: 978-0521779654
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Seasonal Autoregressive Integrated Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-sarima-model
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