Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| ARIMA (Autoregressive Integrated Moving Average) -malli× | Bayesiläinen vektoritodennäköisyysmalli (BVAR)× | Markovin tilaa vaihtava malli (MS-AR / MS-VAR)× | |
|---|---|---|---|
| Tieteenala | Ekonometria | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model | Regression model |
| Syntyvuosi≠ | 2015 | 1986 | 1989 |
| Kehittäjä≠ | Box & Jenkins (Box-Jenkins methodology) | Litterman (1986); Bańbura, Giannone & Reichlin (2010) | Hamilton (1989); Kim & Nelson (1999) |
| Tyyppi≠ | Univariate time-series model | Bayesian multivariate time-series model | Regime-switching time series model |
| Alkuperäislähde≠ | 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 | Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38. DOI ↗ | Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. DOI ↗ |
| Rinnakkaisnimet≠ | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR) | regime-switching model, Markov-switching autoregression, MS-AR, MS-VAR |
| Liittyvät | 5 | 5 | 5 |
| Tiivistelmä≠ | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts. | The Markov regime-switching model lets the parameters of a time series change probabilistically across hidden regimes governed by a Markov chain. Introduced by Hamilton (1989) and developed further by Kim and Nelson (1999), it automatically detects business-cycle phases such as expansions and contractions. |
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