Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| SARIMAX× | Modelo de Espaço de Estados (Filtro de Kalman)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2015 | 1990 |
| Autor original≠ | Box & Jenkins (ARIMA framework); SARIMAX extension with exogenous regressors | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Tipo≠ | Seasonal time-series regression model | State space time series model |
| Fonte seminal≠ | Hyndman, R. J. & Athanasopoulos, G. (2021). Forecasting: Principles and Practice (3rd ed.). OTexts. link ↗ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Outros nomes | seasonal ARIMA with exogenous variables, SARIMA with regressors, ARIMAX, SARIMAX — Dışsal Değişkenli Mevsimsel ARIMA | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Relacionados | 4 | 4 |
| Resumo≠ | SARIMAX extends the seasonal ARIMA (Box-Jenkins) model by adding exogenous explanatory variables, so it can capture the effect of holidays, economic indicators, or policy variables on a time series. It combines non-seasonal and seasonal autoregressive and moving-average dynamics with external regressors, and is estimated by maximum likelihood in state-space form. | A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases. |
| ScholarGateConjunto de dados ↗ |
|
|