方法对比
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| ARFIMA：分数阶积分自回归滑动平均模型× | 分位数回归× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1980 | 1978 |
| 提出者≠ | Granger & Joyeux (1980); Hosking (1981) | Koenker & Bassett |
| 类型≠ | Long-memory time series model | Conditional quantile regression |
| 开创性文献≠ | Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15–29. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| 别名≠ | fractionally integrated ARMA, long-memory time series model, ARFIMA / FIGARCH, fractional differencing model | conditional quantile regression, regression quantiles, Kantil Regresyon |
| 相关 | 5 | 5 |
| 摘要≠ | ARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Granger and Joyeux (1980) and formalised by Hosking (1981) to describe series whose autocorrelations decay slowly rather than abruptly. | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. |
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