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| ETS: Fehler, Trend, Saisonale Exponentielle Glättung× | Strukturelles Zeitreihenmodell (Grundlegendes Strukturmodell)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 2008 | 1990 |
| Urheber≠ | Hyndman, Koehler, Ord & Snyder (state space framework) | Andrew C. Harvey |
| Typ≠ | Exponential smoothing state space model | State-space (unobserved components) time series model |
| Wegweisende Quelle≠ | Hyndman, R. J., Koehler, A. B., Ord, J. K. & Snyder, R. D. (2008). Forecasting with Exponential Smoothing: The State Space Approach. Springer. DOI ↗ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 978-0521405737 |
| Aliasnamen | exponential smoothing state space model, innovations state space model, Holt-Winters family, ETS — Hata/Trend/Mevsimsellik Üstel Düzleştirme | BSM, basic structural model, unobserved components model, Yapısal Zaman Serisi Modeli (BSM) |
| Verwandt≠ | 5 | 4 |
| Zusammenfassung≠ | ETS is a comprehensive exponential smoothing framework that automatically selects additive or multiplicative combinations of the error (E), trend (T) and seasonal (S) components of a time series. Formalised as an innovations state space model by Hyndman, Koehler, Ord and Snyder in 2008, it unifies and generalises the Holt-Winters family of forecasting methods. | 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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