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	Tidsvarierande parameter MA-modell	ARMA-modell (Autoregressiv glidande medelvärde)
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1990s	1970
Upphovsperson	Harvey, A. C.; Durbin, J. & Koopman, S. J.	George E. P. Box and Gwilym M. Jenkins
Typ	Time-varying state-space model	Time series model
Ursprungskälla	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. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
Alias	TVP-MA model, state-space MA, Kalman filter MA, time-varying MA	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)
Närliggande	6	5
Sammanfattning	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 ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting.