Metodebevisregistrering

Structural Time Series Model

The Structural Time Series Model, in its Basic Structural Model (BSM) form, is Andrew Harvey's state-space approach that decomposes a series into separate stochastic trend, seasonal, cyclical, and irregular components. Developed in Harvey's 1990 treatment, it is prized for interpretability and component decomposition where ARIMA only delivers a black-box fit.

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Basic Structural Model (Structural Time Series Model)

Taksonomisk metoderegistrering · regression-model / econometrics

Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. · ISBN 978-0521405737
Harvey, A. C. & Shephard, N. (1993). Structural Time Series Models. In G. S. Maddala, C. R. Rao & H. D. Vinod (Eds.), Handbook of Statistics, Vol. 11 (pp. 261-302). Elsevier. · DOI 10.1016/S0169-7161(05)80045-8

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Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.See alsoBayesian Structural Time Seriesmachine-suggested · Relational suggestion, not evidence.Same method familyMarkov-Switching Modelmachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.