Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| SARIMAX× | ARIMA (Autoregressive Integrated Moving Average) -malli× | Bayesiläinen vektoritodennäköisyysmalli (BVAR)× | |
|---|---|---|---|
| Tieteenala | Ekonometria | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model | Regression model |
| Syntyvuosi≠ | 2015 | 2015 | 1986 |
| Kehittäjä≠ | Box & Jenkins (ARIMA framework); SARIMAX extension with exogenous regressors | Box & Jenkins (Box-Jenkins methodology) | Litterman (1986); Bańbura, Giannone & Reichlin (2010) |
| Tyyppi≠ | Seasonal time-series regression model | Univariate time-series model | Bayesian multivariate time-series model |
| Alkuperäislähde≠ | Hyndman, R. J. & Athanasopoulos, G. (2021). Forecasting: Principles and Practice (3rd ed.). OTexts. link ↗ | 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 ↗ |
| Rinnakkaisnimet≠ | seasonal ARIMA with exogenous variables, SARIMA with regressors, ARIMAX, SARIMAX — Dışsal Değişkenli Mevsimsel ARIMA | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR) |
| Liittyvät≠ | 4 | 5 | 5 |
| Tiivistelmä≠ | SARIMAX extends the seasonal ARIMA (Box-Jenkins) model by adding exogenous explanatory variables, so it can capture the effect of holidays, economic indicators, or policy variables on a time series. It combines non-seasonal and seasonal autoregressive and moving-average dynamics with external regressors, and is estimated by maximum likelihood in state-space form. | 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. |
| ScholarGateAineisto ↗ |
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