Порівняння методів

	Байєсівське усереднення моделей часових рядів	Послідовний Монте-Карло
Галузь	Баєсові методи	Баєсові методи
Родина	Bayesian methods	Bayesian methods
Рік появи	1999–2010	1993 (particle filter); 2006 (SMC samplers)
Автор методу	Hoeting, Madigan, Raftery, Volinsky (BMA); Raftery et al. for dynamic/time-series extensions	Gordon, Salmond & Smith (particle filter); Del Moral, Doucet & Jasra (SMC samplers)
Тип	Bayesian ensemble / model combination	Sequential Bayesian computation
Основоположне джерело	Hoeting, J. A., Madigan, D., Raftery, A. E., & Volinsky, C. T. (1999). Bayesian model averaging: A tutorial. Statistical Science, 14(4), 382–401.	Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEE Proceedings F - Radar and Signal Processing, 140(2), 107–113.
Інші назви	TS-BMA, Bayesian model averaging for time series, BMA forecasting, time series BMA	SMC, particle filter, sequential importance resampling, SMC sampler
Пов'язані	5	6
Підсумок	Time series Bayesian model averaging (TS-BMA) combines forecasts from an ensemble of time series models — such as AR, VAR, or state-space specifications — by weighting each model by its posterior probability given observed data. Rather than selecting one model and discarding uncertainty about which model is best, TS-BMA integrates over model uncertainty, producing forecasts that are more robust and better calibrated than any single model alone.	Sequential Monte Carlo (SMC) is a family of simulation-based algorithms that approximate evolving probability distributions by propagating and reweighting a cloud of weighted random draws called particles. It handles nonlinear, non-Gaussian models and streams of data naturally, making it the method of choice for real-time state estimation and posterior approximation over complex distributions.