Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| ARIMA estacional (SARIMA)× | Model d'espai d'estats (Filtre de Kalman)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2015 | 1990 |
| Autor original≠ | Box & Jenkins (seasonal extension of ARIMA) | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Tipus≠ | Seasonal time-series model | State space time series model |
| Font seminal≠ | Box, G.E.P., Jenkins, G.M., Reinsel, G.C. & Ljung, G.M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Àlies≠ | seasonal ARIMA, Box-Jenkins seasonal model, SARIMA — Mevsimsel ARIMA | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Relacionats≠ | 5 | 4 |
| Resum≠ | SARIMA is a seasonal extension of the Box-Jenkins ARIMA model that adds seasonal differencing and seasonal autoregressive and moving-average terms. Developed within the Box, Jenkins, Reinsel and Ljung framework (5th edition, 2015), it forecasts series whose pattern repeats on a yearly, monthly, or weekly period. | A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases. |
| ScholarGateConjunt de dades ↗ |
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