Gii thiu m hnh ARIMA

Gii thiu m hnh ARIMA

Bi:
Phm Tr Cao

Tnh dng ca d liu

Qu trnh ngu nhin(Stochastic process)
Bt c d liu chui thi gian no cng c to ra bng mt qu trnh ngu nhin. Mt
dy s liu thc t c th nh gi bp ci tng thng hnh 7.1 l kt qu ca mt qu
trnh ngu nhin. i vi d liu chui thi gian, chng ta c nhng khi nim v tng
th v mu nh sau:
Qu trnh ngu nhin l mt tng th.
S liu thc t sinh ra t qu trnh ngu nhin l mu.
Tnh dng(Stationary)
Mt qu trnh ngu nhin c gi l c tnh dng khi n c cc tnh cht sau:
K vng khng i theo thi gian, E(Yt) = .
Phng sai khng i theo thi gian, Var(Yt) = E(Yt- ) = 2.
ng phng sai ch ph thuc khong cch ca tr m khng ph thuc thi im
tnh ng phng sai , vk = E[(Yt- )(Yt-k- )] khng ph thuc t.
Lu : Chng ta c th bin d liu chui thi gian t khng c tnh dng thnh c tnh
dng bng cch ly sai phn ca n.
wt = Yt-Yt-1: Sai phn bc nht
w2t = wt wt 1: Sai phn bc hai

Hm t tng quan v hm t tng quan mu

Hm t tng quan(ACF) tr k c k hiu l k c nh ngha nh sau:
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Gii thiu m hnh ARIMA

(7.11)
Tnh cht ca ACF
k khng c th nguyn.

Gi tr ca k nm gia -1 v 1.
Trong thc t chng ta ch c th c s liu thc t l kt qu ca qu trnh ngu nhin,
do chng ch c th tnh ton c hm t tng quan mu(SAC), k hiu l rk.

vi

lch chun h s t tng quan mu

s(rj) =

(7.12)
Tr thng k t

Vi c mu ln th tk ~ Z nn vi t > 1,96 th rk khc khng c ngha thng k, khi

ngi ta gi rk l 1 nh.

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Gii thiu m hnh ARIMA

Cc phn mm kinh t lng s tnh ton cho chng ta kt qu ca SAC v cc gi tr

n hn(hoc tr thng k t) ca n ng vi mc ngha = 5%.
Thng k Ljung-Box

(7.14)
n l c mu
m l chiu di ca tr
H0: Tt c cc rk u bng 0.
H1: Khng phi tt c cc rk u bng 0.
Nu LB > 2m,1 th ta bc b H0.
Mt s phn mm kinh t lng c tnh ton tr thng k LB.

Hm t tng quan ring phn (PACF)

H s t tng quan ring phn vi tr k o lng tng quan ca Yt-k vi Yt sau
khi loi tr tc ng tng quan ca tt cc cc tr trung gian. Cng thc tnh PACF
nh sau

(7.15)
lch chun ca rkk
Cng thc tnh lch chun ca rkk ph thuc vo bc ca sai phn. Cng thc trnh
by trn l cng thc gn ng vi s quan st ln.

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Gii thiu m hnh ARIMA

Tr thng k t

Vi c mu ln th tkk~ Z nn vi tkk> 1,96 th rkk khc khng c ngha thng k, khi

ngi ta gi rkk l 1 nh.
Cc chng trnh kinh t lng c th tnh ton cho chng ta cc gi tr PACF, cc gi
tr ti hn hay tr thng k t.
M hnh AR, MA v ARMA
Xt qu trnh ngu nhin c tnh dng vi d liu chui thi gian Yt c E(Yt) = v sai
s ngu nhin t c trung bnh bng 0 v phng sai 2(nhiu trng).
M hnh t hi quy (AR-Autoregressive Model)
M hnh t hi quy bc p c k hiu l AR(p) c dng

Nhn dng m hnh AR(p): PACF c nh n tr p v SAC suy gim nhanh ngay
sau tr th nht th m hnh d bo c dng t hi quy bc p.
M hnh trung bnh trt(MA-Moving average Model)
M hnh trung bnh trt bc q c k hiu l MA(q) c dng

(7.18)
vi l hng s, t l nhiu trng.
Nhn dng m hnh MA(q): SAC c nh n tr q v SPAC suy gim nhanh ngay
sau tr th nht.
M hnh kt hp t hi quy kt hp trung bnh trt(ARMA)

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Gii thiu m hnh ARIMA

M hnh c t hi quy bc p v trung bnh trt bc q c k hiu l ARMA(p,q) c

dng

(7.19)
Nhn dng m hnh ARMA(p,q): c SAC v SPAC u c gi tr gim dn theo hm
m. Nhn dng ng p v q i hi phi c nhiu kinh nghim. Trong thc hnh ngi
ta chn mt vi m hnh ARMA v la chn m hnh tt nht.
M hnh ARIMA v SARIMA
ARIMA
a s d liu kinh t theo chui thi gian khng c tnh dng(stationary) m c tnh kt
hp(integrated). nhn c d liu c tnh dng, chng ta phi s dng sai phn ca
d liu.
Cc bc sai phn
Sai phn bc 0 l I(0): chnh l d liu gc Yt.
Sai phn bc 1 l I(1): wt = Yt Yt-1.
Sai phn bc 2 l I(2): w2t = wt wt-1
Sai phn bc d k hiu I(d).
M hnh ARMA(p,q) p dng cho I(d) c gi l m hnh ARIMA(p,d,q).
SARIMA
Trong m hnh ARIMA nu chng ta tnh ton sai phn bc nht vi tr ln hn 1
kh tnh ma v nh sau wt = Yt Yt-s, vi s l s k gia cc ma th m hnh c
gi l SARIMA hay ARIMA c tnh ma v.
Phng php lun Box-Jenkins
Phng php lun Box-Jenkins cho m hnh ARIMA c bn bc nh sau:
Bc 1: Xc lp m hnh ARIMA(p,d,q)

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Gii thiu m hnh ARIMA

Dng cc th xc nh bc sai phn cn thit th c tnh dng. Gi s d liu

dng I(d). Dng th SAC v SPAC ca I(d) xc nh p v q.
Trin khai dng ca m hnh.
Bc 2: Tnh ton cc tham s ca m hnh.
Trong mt s dng ARIMA n gin chng ta c th dng phng php bnh phng
ti thiu. Mt s dng ARIMA phc tp i hi phi s dng cc c lng phi tuyn.
Chng ta khng phi lo lng v vic c lng tham s v cc phn mm kinh t lng
s tnh gip chng ta. Quay li bc 1 xy dng m hnh vi cp (p,q) khc dng nh
cng ph hp. Gi s chng ta c lng c m m hnh ARIMA.
Bc 3: Kim tra chn on
So snh cc m hnh ARIMA c lng vi cc m hnh truyn thng(tuyn tnh,
ng xu hng, san bng s m,) v gia cc m hnh ARIMA vi nhau chn
m hnh tt nht.
Bc 4: D bo
Trong a s trng hp m hnh ARIMA cho kt qu d bo ngn hn ng tin cy nht
trong cc phng php d bo. Tuy nhin gii hn ca ca ARIMA l:
S quan st cn cho d bo phi ln.
Ch dng d bo ngn hn
Khng th a cc yu t thay i c nh hng n bin s cn d bo ca thi k cn
d bo vo m hnh.
Xy dng m hnh ARIMA theo phng php lun Box-Jenkins c tnh cht ngh thut
hn l khoa hc, hn na k thut v khi lng tnh ton kh ln nn i hi phi c
phn mm kinh t lng chuyn dng.
MT S GI TR Z THNG C S DNG

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Gii thiu m hnh ARIMA

Ngun: hm Normsinv ca Excel.

MT S GI TR t THNG C S DNG

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Gii thiu m hnh ARIMA

Ngun: hm Tinv ca Excel.

MT S GI TR F TI HN TRN THNG C S DNG
Mc ngha = 5%

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Gii thiu m hnh ARIMA

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Gii thiu m hnh ARIMA

Ngun: hm Finv ca Excel.

MT S GI TR TI HN TRN THNG C S DNG
Mc ngha = 5%

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Gii thiu m hnh ARIMA

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Gii thiu m hnh ARIMA

Ngun: Hm Chiinv ca Excel

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