เปรียบเทียบวิธี

	แบบจำลองปริภูมิสถานะ (ตัวกรองคาลมาน)	แบบจำลอง ARIMA (Autoregressive Integrated Moving Average)	Bayesian Vector Autoregression (BVAR)	แบบจำลองอนุกรมเวลาเชิงโครงสร้าง (แบบจำลองโครงสร้างพื้นฐาน)
สาขาวิชา	เศรษฐมิติ	เศรษฐมิติ	เศรษฐมิติ	เศรษฐมิติ
ตระกูล	Regression model	Regression model	Regression model	Regression model
ปีกำเนิด	1990	2015	1986	1990
ผู้ริเริ่ม	Harvey; Durbin & Koopman (state space treatment); Kalman filter	Box & Jenkins (Box-Jenkins methodology)	Litterman (1986); Bańbura, Giannone & Reichlin (2010)	Andrew C. Harvey
ประเภท	State space time series model	Univariate time-series model	Bayesian multivariate time-series model	State-space (unobserved components) time series model
แหล่งต้นตำรับ	Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38.	Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 978-0521405737
ชื่อเรียกอื่น	state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter)	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	BVAR, Bayesian vector autoregression, Minnesota prior VAR, Bayesian VAR (BVAR)	BSM, basic structural model, unobserved components model, Yapısal Zaman Serisi Modeli (BSM)
ที่เกี่ยวข้อง	4	5	5	4
สรุป	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.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts.	The Structural Time Series Model, in its Basic Structural Model (BSM) form, is Andrew Harvey's state-space approach that decomposes a series into separate stochastic trend, seasonal, cyclical, and irregular components. Developed in Harvey's 1990 treatment, it is prized for interpretability and component decomposition where ARIMA only delivers a black-box fit.