Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Розширений тест Дікі-Фуллера (ADF) на одиничний корінь× | Модель ARIMA (Авторегресійна інтегрована ковзна середня)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1979 | 2015 |
| Автор методу≠ | David A. Dickey & Wayne A. Fuller | Box & Jenkins (Box-Jenkins methodology) |
| Тип≠ | Unit-root test for stationarity | Univariate time-series model |
| Основоположне джерело≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | 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 |
| Інші назви≠ | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli |
| Пов'язані≠ | 4 | 5 |
| Підсумок≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | 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). |
| ScholarGateНабір даних ↗ |
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