矢量自回归移动平均模型:一篇评论
Marie-Christine Düker1, David S Matteson2, Ruey S Tsay3
1Department of Statistics and Data Science Friedrich-Alexander Universität Erlangen-Nürnberg Erlangen Germany.
概括
矢量自回归移动平均 (VARMA) 模型为多个时间序列动态提供了先进的见解. 本综述探讨了VARMA模型,强调它们与矢量自回归 (VAR) 模型相比的优势,以改进分析和预测.
科学领域:
- 计量经济学 计量经济学 计量经济学
- 时间序列分析时间序列分析
- 统计建模 统计建模
背景情况:
- 矢量自回归移动平均 (VARMA) 模型是分析多变量时间序列的通用类.
- 尽管它们具有功能,但矢量自回归 (VAR) 模型在实证应用中更频繁地使用.
- 在实践中,VAR在VARMA模型上占据主导地位的原因尚未完全理解.
研究的目的:
- 为VARMA模型的优势和能力提供全面的资源.
- 引导研究人员和从业人员有效利用VARMA模型.
- 解决VARMA模型在经验研究中的不足利用问题.
主要方法:
- 对VARMA模型的经典和现代识别方案的审查.
- 讨论VARMA模型的估计,规范和诊断技术.
- 探索实际应用,包括格兰杰因果关系,预测和结构分析.
主要成果:
- 瓦玛模型提出了独特的识别挑战,但提供了卓越的分析能力.
- 有效的估计,规范和诊断方法可用于VARMA模型.
- 在格兰杰因果关系,预测和结构分析方面,VARMA模型提供了显著的优势.
结论:
- VARMA模型具有重要的时间序列分析潜力,但这种潜力往往被低估.
- 解决识别和估计挑战可以促进VARMA模型的更广泛采用.
- 对VARMA扩展的进一步研究可以提高它们的实际实用性和应用范围.
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