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| Model średniej ruchomej (MA) w ujęciu bayesowskim× | Model Bayesowski VAR (BVAR)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1970s–1997 | 1984 |
| Twórca≠ | Bayesian framework applied to Box-Jenkins MA models; West & Harrison (1997) canonical treatment | Doan, Litterman & Sims |
| Typ≠ | Bayesian time series model | Multivariate time-series model |
| Źródło pierwotne≠ | West, M., & Harrison, J. (1997). Bayesian Forecasting and Dynamic Models (2nd ed.). Springer. ISBN: 978-0387947259 | Doan, T., Litterman, R., & Sims, C. (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3(1), 1–100. DOI ↗ |
| Inne nazwy | Bayesian MA, Bayesian moving average, BMA time series, MA model with Bayesian estimation | BVAR, Bayesian VAR, Bayesian vector autoregressive model, BVAR model |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The Bayesian MA model estimates a moving average time series model within a fully Bayesian framework, placing prior distributions on the MA parameters and error variance and updating them via Bayes' theorem. This approach yields full posterior distributions over model parameters and produces probabilistic forecasts with coherent uncertainty quantification. | The Bayesian Vector Autoregression (BVAR) model extends the classical VAR framework by incorporating prior beliefs about the model coefficients. Priors — most commonly the Minnesota prior — shrink VAR coefficients toward economically sensible values, dramatically reducing overfitting and improving out-of-sample forecast accuracy even when the number of variables is large. |
| ScholarGateZbiór danych ↗ |
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