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| Model pokretnih prosjeka s vremenski promjenjivim parametrima× | Model vremenski promjenjivih parametara ARIMA (TVP-ARIMA)× | |
|---|---|---|
| Područje | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model |
| Godina nastanka≠ | 1990s | 1976–1989 |
| Tvorac≠ | Harvey, A. C.; Durbin, J. & Koopman, S. J. | Cooley & Prescott (1976); Harvey (1989) state-space formulation |
| Vrsta≠ | Time-varying state-space model | Time series model with evolving coefficients |
| Temeljni izvor≠ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 9780521321969 | Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 9780521405737 |
| Drugi nazivi | TVP-MA model, state-space MA, Kalman filter MA, time-varying MA | TVP-ARIMA, time-varying ARIMA, adaptive ARIMA, state-space ARIMA |
| Srodne≠ | 6 | 3 |
| Sažetak≠ | The time-varying parameter moving average (TVP-MA) model extends the standard MA model by allowing the moving-average coefficients to change over time. Cast as a state-space system, it is estimated via the Kalman filter and smoother, making it well suited for series where the shock-transmission dynamics evolve across the sample. | The time-varying parameter ARIMA model extends the classical ARIMA framework by allowing its autoregressive and moving-average coefficients to evolve over time rather than remaining fixed. Cast in state-space form and estimated via the Kalman filter, it is designed for economic and financial time series whose dynamic structure shifts in response to structural breaks, policy changes, or regime transitions. |
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