Порівняння методів

	Часові ряди MCMC	Фільтр Калмана
Галузь	Баєсові методи	Баєсові методи
Родина	Bayesian methods	Bayesian methods
Рік появи	1994–1997	1960
Автор методу	Carter & Kohn; West & Harrison	Rudolf E. Kalman
Тип	Bayesian posterior sampling for time-ordered data	recursive Bayesian filter
Основоположне джерело	Carter, C. K. & Kohn, R. (1994). On Gibbs sampling for state space models. Biometrika, 81(3), 541–553.	Kalman, R. E. (1960). A new approach to linear filtering and prediction problems. Journal of Basic Engineering, 82(1), 35-45.
Інші назви	MCMC time series, Bayesian time series MCMC, time series posterior sampling, sequential Bayesian MCMC	linear quadratic estimator, LQE, Kalman-Bucy filter, optimal recursive filter
Пов'язані	6	5
Підсумок	Time series MCMC applies Markov chain Monte Carlo methods to Bayesian inference over time-ordered data. Rather than optimising a single parameter estimate, it draws samples from the full joint posterior of parameters and latent states, yielding probability distributions that honestly reflect uncertainty about dynamics, trends, and seasonal patterns across every time point.	The Kalman filter is an optimal recursive algorithm for estimating the hidden state of a linear dynamical system from noisy measurements. At each time step it alternates between a prediction step — projecting the state forward using the system model — and an update step that corrects the prediction with the new observation, producing minimum-variance state estimates and their uncertainty in real time.