方法对比
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| 简单和双指数平滑 (SES / Holt)× | ARIMA（自回归积分滑动平均）模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1957 | 2015 |
| 提出者≠ | Robert G. Brown (SES); Charles C. Holt (linear trend) | Box & Jenkins (Box-Jenkins methodology) |
| 类型≠ | Exponential smoothing forecasting model | Univariate time-series model |
| 开创性文献≠ | Brown, R. G. (1959). Statistical Forecasting for Inventory Control. McGraw-Hill. link ↗ | 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 |
| 别名≠ | SES, Holt's linear trend method, exponential smoothing forecasting, Basit ve Çift Üstel Düzleştirme (SES / Holt) | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli |
| 相关≠ | 3 | 5 |
| 摘要≠ | Exponential smoothing is a family of basic time-series forecasting models in which each new observation updates a smoothed estimate by a weighting parameter. Simple exponential smoothing (SES), introduced by Robert G. Brown in 1959, forecasts series with a stable level, while Holt's double exponential smoothing, introduced by Charles C. Holt in 1957, adds a trend term using the parameters alpha and beta. | 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). |
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