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| ベイズ autoregressive (AR) モデル× | ベイズARIMAモデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1971 | 1970s (ARIMA); Bayesian extension prominent from 1990s |
| 提唱者≠ | Arnold Zellner; foundational Bayesian time-series work by West & Harrison | Pole, West & Harrison (Bayesian treatment); Box & Jenkins (ARIMA foundation) |
| 種類≠ | Bayesian time-series model | Bayesian time series model |
| 原典≠ | Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics. Wiley. ISBN: 978-0471169376 | Pole, A., West, M., & Harrison, J. (1994). Applied Bayesian Forecasting and Time Series Analysis. Chapman & Hall. ISBN: 978-0412416903 |
| 別名 | Bayesian autoregressive model, BAR model, Bayesian AR, Bayesian time-series autoregression | Bayesian ARIMA, BARIMA, Bayesian Box-Jenkins model, Bayesian integrated time series model |
| 関連 | 6 | 6 |
| 概要≠ | The Bayesian AR model estimates an autoregressive time-series process by combining a likelihood derived from the AR structure with prior distributions over the lag coefficients and error variance. Rather than producing single point estimates, it yields full posterior distributions, enabling principled uncertainty quantification and probabilistic forecasting. | The Bayesian ARIMA model combines the classical Box-Jenkins ARIMA framework with Bayesian inference. Instead of obtaining single point estimates for autoregressive and moving average parameters, it places prior distributions over them and uses observed data to update beliefs into a full posterior distribution, enabling coherent uncertainty quantification and probabilistic forecasting. |
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