Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| SARIMA-модель с изменяющимися во времени параметрами (TVP-SARIMA)× | Модель SARIMA× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1990s | 1970 (first edition); 1976 (revised) |
| Автор метода≠ | Harvey, A. C.; Durbin, J. & Koopman, S. J. (state-space framework) | Box, Jenkins, and Reinsel |
| Тип≠ | Time-varying state-space model | Seasonal time series model |
| Основополагающий источник≠ | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 9780521321969 | Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744 |
| Другие названия | TVP-SARIMA, time-varying SARIMA, state-space SARIMA, adaptive SARIMA | SARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component |
| Связанные≠ | 4 | 5 |
| Сводка≠ | The Time-Varying Parameter SARIMA model extends the classical SARIMA framework by allowing autoregressive and moving-average coefficients to evolve over time. Cast as a state-space system and estimated with the Kalman filter, it captures both seasonal patterns and structural change within a single unified model. | SARIMA extends ARIMA by adding seasonal autoregressive and moving-average operators to capture repeating patterns at fixed intervals — such as monthly, quarterly, or annual cycles. Denoted SARIMA(p,d,q)(P,D,Q)s, it is the standard workhorse for univariate seasonal time series forecasting in econometrics, economics, and official statistics. |
| ScholarGateНабор данных ↗ |
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