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SARIMA (Seasonal ARIMA)×ETS: Penghalusan Eksponen Ralat, Tren, Bermusim×Penghalusan Eksponensial Tiga Holt-Winters×Prophet×
BidangEkonometrikEkonometrikEkonometrikEkonometrik
KeluargaRegression modelRegression modelRegression modelRegression model
Tahun asal2015200819602018
PengasasBox & Jenkins (seasonal extension of ARIMA)Hyndman, Koehler, Ord & Snyder (state space framework)Charles C. Holt and Peter R. WintersTaylor & Letham (Facebook/Meta)
JenisSeasonal time-series modelExponential smoothing state space modelExponential smoothing forecasting modelDecomposable (structural) time series model
Sumber perintisBox, G.E.P., Jenkins, G.M., Reinsel, G.C. & Ljung, G.M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021Hyndman, R. J., Koehler, A. B., Ord, J. K. & Snyder, R. D. (2008). Forecasting with Exponential Smoothing: The State Space Approach. Springer. DOI ↗Winters, P. R. (1960). Forecasting Sales by Exponentially Weighted Moving Averages. Management Science, 6(3), 324-342. DOI ↗Taylor, S. J. & Letham, B. (2018). Forecasting at Scale. The American Statistician, 72(1), 37-45. DOI ↗
Aliasseasonal ARIMA, Box-Jenkins seasonal model, SARIMA — Mevsimsel ARIMAexponential smoothing state space model, innovations state space model, Holt-Winters family, ETS — Hata/Trend/Mevsimsellik Üstel Düzleştirmetriple exponential smoothing, Winters' method, Holt-Winters seasonal method, Holt-Winters Üçlü Üstel DüzleştirmeProphet, Facebook Prophet, Meta Prophet, forecasting at scale
Berkaitan5545
RingkasanSARIMA is a seasonal extension of the Box-Jenkins ARIMA model that adds seasonal differencing and seasonal autoregressive and moving-average terms. Developed within the Box, Jenkins, Reinsel and Ljung framework (5th edition, 2015), it forecasts series whose pattern repeats on a yearly, monthly, or weekly period.ETS is a comprehensive exponential smoothing framework that automatically selects additive or multiplicative combinations of the error (E), trend (T) and seasonal (S) components of a time series. Formalised as an innovations state space model by Hyndman, Koehler, Ord and Snyder in 2008, it unifies and generalises the Holt-Winters family of forecasting methods.Holt-Winters triple exponential smoothing is a forecasting model that extends Holt's double smoothing by adding a seasonal component, introduced by Peter Winters in 1960 building on Charles Holt's work. It tracks three evolving quantities — level, trend, and season — and combines them to forecast a continuous time series.Prophet is a Bayesian structural time series model introduced by Taylor and Letham at Facebook/Meta in 2018. It forecasts a continuous series by decomposing it into separate, interpretable trend, seasonality, and holiday components, and is designed to be approachable for analysts working at scale.
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ScholarGateBandingkan kaedah: SARIMA · ETS Model · Holt-Winters · Prophet. Dicapai 2026-06-18 daripada https://scholargate.app/ms/compare