방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 시변 모수 이동평균(Time-Varying Parameter Moving Average, TVP-MA) 모형× | 시변 모수 ARMA 모형 (TVP-ARMA)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1990s | 1976 |
| 창시자≠ | Harvey, A. C.; Durbin, J. & Koopman, S. J. | Cooley & Prescott (1976); further formalised by Harvey (1989) |
| 유형≠ | Time-varying state-space model | State-space time series model |
| 원전≠ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 9780521321969 | Cooley, T. F., & Prescott, E. C. (1976). Estimation in the presence of stochastic parameter variation. Econometrica, 44(1), 167–184. DOI ↗ |
| 별칭 | TVP-MA model, state-space MA, Kalman filter MA, time-varying MA | TVP-ARMA, time-varying ARMA, state-space ARMA, locally stationary ARMA |
| 관련≠ | 6 | 3 |
| 요약≠ | 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 ARMA (TVP-ARMA) model extends the classical ARMA framework by allowing the autoregressive and moving-average coefficients to evolve over time. Embedded in a state-space representation and estimated via the Kalman filter, it captures structural change and parameter instability in time series without requiring an explicit breakpoint. |
| ScholarGate데이터셋 ↗ |
|
|