Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Vážené nejmenší čtverce s časově proměnnými parametry (TVP-WLS)× | Model stavového prostoru (Kalmanův filtr)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1976–1990 | 1990 |
| Tvůrce≠ | Cooley & Prescott (1976); Harvey (1990) | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Typ≠ | Time-varying coefficient regression with observation weights | State space time series model |
| Původní zdroj | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 978-0521405737 | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Další názvy | TVP-WLS, time-varying coefficient WLS, locally weighted time-varying regression, TVP weighted regression | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Příbuzné≠ | 2 | 4 |
| Shrnutí≠ | Time-Varying Parameter WLS is a regression technique for time-series data in which the slope and intercept coefficients are allowed to change over time while observations are weighted to account for heteroscedasticity or to discount distant data. It combines the flexibility of state-space coefficient evolution with the variance-correcting power of weighted least squares. | 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. |
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