Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Регресійна техніка з часовими параметрами (TVP-WLS)× | Модель простір-стан (фільтр Калмана)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1976–1990 | 1990 |
| Автор методу≠ | Cooley & Prescott (1976); Harvey (1990) | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Тип≠ | Time-varying coefficient regression with observation weights | State space time series model |
| Основоположне джерело | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. ISBN: 978-0521405737 | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Інші назви | TVP-WLS, time-varying coefficient WLS, locally weighted time-varying regression, TVP weighted regression | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Пов'язані≠ | 2 | 4 |
| Підсумок≠ | Time-Varying Parameter WLS is a regression technique for time-series data in which the slope and intercept coefficients are allowed to change over time while observations are weighted to account for heteroscedasticity or to discount distant data. It combines the flexibility of state-space coefficient evolution with the variance-correcting power of weighted least squares. | 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. |
| ScholarGateНабір даних ↗ |
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