Regression modelEconometrics / time series
贝叶斯自回归滑动平均模型
贝叶斯自回归滑动平均（ARMA）模型将贝叶斯推断应用于平稳单变量时间序列的经典自回归滑动平均框架。它不产生 AR 和 MA 参数的单一点估计，而是产生完整的后验分布，自然地纳入先验知识，并为预测和脉冲响应提供连贯的不确定性量化。
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来源
- Geweke, J., & Meese, R. (1981). Estimating regression models of finite but unknown order. International Economic Review, 22(1), 55–70. 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
如何引用本页
ScholarGate. (2026, June 3). Bayesian Autoregressive Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/bayesian-arma-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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