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| Байесов модел на пълзяща средна (MA)× | Модел ARIMA (Авторегресионен интегриран плъзгащ се среден)× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1970s–1997 | 1970 |
| Създател≠ | Bayesian framework applied to Box-Jenkins MA models; West & Harrison (1997) canonical treatment | George Box and Gwilym Jenkins |
| Тип≠ | Bayesian time series model | Time series forecasting model |
| Основополагащ източник≠ | West, M., & Harrison, J. (1997). Bayesian Forecasting and Dynamic Models (2nd ed.). Springer. ISBN: 978-0387947259 | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| Други названия | Bayesian MA, Bayesian moving average, BMA time series, MA model with Bayesian estimation | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) |
| Свързани | 6 | 6 |
| Резюме≠ | The Bayesian MA model estimates a moving average time series model within a fully Bayesian framework, placing prior distributions on the MA parameters and error variance and updating them via Bayes' theorem. This approach yields full posterior distributions over model parameters and produces probabilistic forecasts with coherent uncertainty quantification. | 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. |
| ScholarGateНабор от данни ↗ |
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