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| ベイジアンARMA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≠ | 1970s–1980s | 1970s (ARIMA); Bayesian extension prominent from 1990s |
| 提唱者≠ | Box & Jenkins (classical ARMA); Bayesian treatment developed through work of Zellner, Geweke, and others in 1970s–1980s | Pole, West & Harrison (Bayesian treatment); Box & Jenkins (ARIMA foundation) |
| 種類 | Bayesian time series model | Bayesian time series model |
| 原典≠ | Geweke, J., & Meese, R. (1981). Estimating regression models of finite but unknown order. International Economic Review, 22(1), 55–70. link ↗ | Pole, A., West, M., & Harrison, J. (1994). Applied Bayesian Forecasting and Time Series Analysis. Chapman & Hall. ISBN: 978-0412416903 |
| 別名 | Bayesian ARMA, B-ARMA, Bayesian autoregressive moving average, ARMA with Bayesian inference | Bayesian ARIMA, BARIMA, Bayesian Box-Jenkins model, Bayesian integrated time series model |
| 関連 | 6 | 6 |
| 概要≠ | The Bayesian ARMA model applies Bayesian inference to the classical autoregressive moving average framework for stationary univariate time series. Rather than producing single point estimates for the AR and MA parameters, it yields full posterior distributions, naturally incorporating prior knowledge and providing coherent uncertainty quantification over forecasts and impulse responses. | 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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