Mo Hinh Chu I TH I Gian M Trong D Bao Chu I TH I Gian

I HC THI NGUYN
KHOA CNG NGH THNG TIN

---------------------------------
NGUYN TH KIM LOAN
M HNH CHUI THI GIAN M

TRONG D BO CHUI THI GIAN
LUN VN THC S CNG NGH THNG TIN

Chuyn ngnh: KHOA HC MY TNH
M s: 60.48.01
Gio vin hng dn: TS. NGUYN CNG IU
THI NGUYN - 2009

S ha bi Trung tm Hc liu i hc Thi Nguyn
http://www.lrc-tnu.edu.vn
MC LC
M U ........................................................................................................ 1
CHNG 1. CC KIN THC C BN V CHUI THI GIAN ............ 5
1. Chui thi gian v qu trnh ngu nhin ................................................... 5
1.1. Khi nim chui thi gian v qu trnh ngu nhin ............................ 5
1.2. Qu trnh ngu nhin dng ................................................................ 6
1.3. Hm t tng quan ............................................................................ 7
1.4. Ton t tin, ton t li...................................................................... 8
2. Qu trnh ARMA ...................................................................................... 9
2.1. Qu trnh t hi quy ........................................................................... 9
2.2. Qu trnh trung bnh trt ................................................................ 11
2.3. Qu trnh t hi quy trung bnh trt ............................................... 13
3. c lng tham s m hnh ARMA ....................................................... 15
4. Nhng hn ch ca m hnh ARMA trong chui thi gian ti chnh....... 16
CHNG 2. L THUYT TP M V CHUI THI GIAN M ........... 23
1. L thuyt tp m .................................................................................... 23
1.1. Tp m ............................................................................................ 23
1.2. Cc php ton trn tp m ............................................................... 25
2. Cc quan h v suy lun xp x, suy din m .......................................... 30
2.1. Quan h m ..................................................................................... 30
2.2. Suy lun xp x v suy din m ....................................................... 31
3. H m ..................................................................................................... 33
3.1. B m ho ....................................................................................... 33
3.2. H lut m ....................................................................................... 34
3.3. ng c suy din ............................................................................. 35
3.4. B gii m ....................................................................................... 36
3.5. V d minh ho ................................................................................ 37
CHNG 3. MT S THUT TON C BN TRONG CHUI THI

GIAN M V MT S THUT TON CI TIN ................................... 39
1. Mt s khi nim .................................................................................... 39
1.1. nh ngha tp m v chui thi gian m ........................................ 39
1.2. Mt s nh ngha lin quan n chui thi gian m........................ 40
2. M hnh mt s thut ton d bo trong m hnh chui thi gian m ......... 41
2.1. M hnh thut ton ca Song v Chissom ........................................ 41
2.2. M hnh thut ton ca Chen ........................................................... 42
2.3. Thut ton ca Singh ....................................................................... 43
2.4. M hnh Heuristic cho chui thi gian m ....................................... 45
3. ng dng trong d bo chng khon ...................................................... 48
3.1. Bi ton ch s chng khon i Loan ............................................ 48
3.2. Xy dng chng trnh .................................................................... 60
KT LUN ................................................................................................... 64
TI LIU THAM KHO ............................................................................. 65
M U
Chui thi gian ang c s dng nh mt cng c hu hiu phn
tch trong kinh t, x hi cng nh trong nghin cu khoa hc. Chnh do tm
quan trng ca phn tch chui thi gian, rt nhiu tc gi xut cc cng
c phn tch chui thi gian.
Trong nhng nm trc, cng c ch yu phn tch chui thi gian l
s dng cc cng c thng k nh hi qui, phn tch Furie v mt vi cng c
khc. Nhng hiu qu nht c l l m hnh ARIMA ca Box-Jenkins. M
hnh ny cho mt kt qu kh tt trong phn tch d liu. Tuy nhin s phc
tp ca thut ton gy kh khn khi ng dng trong phn tch chui s liu,
nht l khi chui s liu c nhng thay i phn nh s phi tuyn ca m hnh.
vt qua c nhng kh khn trn, gn y nhiu tc gi s
dng m hnh chui thi gian m. Khi nim tp m c Zadeh a ra t
nm 1965 v ngy cng tm c ng dng trong nhiu lnh vc khc nhau
nht l trong iu khin v tr tu nhn to. Trong lnh vc phn tch chui thi
gian, Song v Chissom a khi nim chui thi gian m ph thuc vo
thi gian v khng ph thuc vo thi gian d bo. Chen ci tin v a
ra phng php mi n gin v hu hiu hn so vi phng php ca Song
v Chissom. Trong phng php ca mnh, thay v s dng cc php tnh t
hp Max- Min phc tp, Chen tnh ton bng cc php tnh s hc n gin
thit lp mi quan h m. Phng php ca Chen cho hiu qu cao hn v
mt sai s d bo v phc tp ca thut ton.
T cc cng trnh ban u v chui thi gian m c xut hin nm
1993, hin nay m hnh ny ang c s dng d bo rt nhiu lnh vc
trong kinh t hay x hi nh trong lnh vc gio dc d bo s sinh vin
nhp trng, hay trong lnh vc d bo tht nghip, trong lnh vc dn s,
chng khon v trong nhiu lnh vc khc nh tiu th in, hay d bo nhit
ca thi tit
Tuy nhin xt v chnh xc ca d bo, mt s thut ton trn cn
cho kt qu cha cao. nng cao chnh xc ca d bo, mt s thut ton
cho moo hnh chui thi gian m lin tip c a ra. Chen s dng m hnh
bc cao ca chui thi gian m tnh ton. Sah v Degtiarev thay v d bo
chui thi gian s dng chui thi gian l hiu s bc nht nng cao
chnh xc. y cng l mt phng php hay c s dng trong m hnh
Box-Jenkins loi b tnh khng dng ca chui thi gian. Huarng s
dng cc thng tin c trc trong tnh cht ca chui thi gian nh mc
tng gim a ra m hnh heuristic chui thi gian m.
Trong thi gian gn y, ti ny vn lun c mt s tc gi nghin
cu. Cc hng hin nay vn l tp trung nng cao chnh xc d bo ca
m hnh chui thi gian m. Bi bo ca I-Hong Kuo v cc tc gi (2008) a
ra phng php tng chnh xc ca d bo bng ti u cc phn t m
ng (Particle swarm optimaization). Ching Hsue Cheng v cc ng tc gi
(2008) m rng nghin cu bng cc phng php k vng (Exspectation
method) v Phng php la chn mc (Grade Selection Method) thng qua
cc ma trn chuyn dch c trng. Ngoi ra hin nay c xu hng s dng kt
hp cc phng php khc nhau vi chui thi gian m nh phng php
mng N ron nh Cagdas H. Aladag (2008) hay Medey Khascay (2008). Ngay
c mt nh nghin cu su trong lnh vc ny l Huarng cng m rng theo
hng ny t nm 2006. Thut ton di truyn cng tm c ng dng trong
hng nghin cu ny. Nm 2007 c bi bo ca Li-Wei Lee s dng mi
quan h m v thut ton di truyn d bo nhit v ch s ti chnh ca
i Loan. Ngoi ra mt s tc gi khc tm nhng thut ton khc n gin
d bo nh bi bo ca Singh (2007) hay thut ton da vo trend ca chui
thi gian (Baldwin 2000).
Nghin cu d bo chui thi gian lun l mt bi ton gy c s ch

ca cc nh ton hc, kinh t, x hi hc,... Cc quan st trong thc t thng
c thu thp di dng chui s liu. T nhng chui s liu ny ngi ta c th
rt ra c nhng quy lut ca mt qu trnh c m t thng qua chui s liu.
Nhng ng dng quan trng nht l d bo kh nng xy ra khi cho mt chui s
liu. Nhng th d dn ra trong cc bi bo u a ra kh nng d bo trong kinh
t nh d bo ch s chng khon, mc tng dn s, d bo nhu cu s dng in,
d bo s lng sinh vin nhp hc ca mt trng i hc... Cc th d ny u
c th dn ra trong mi ngnh kinh t k thut.
Nh trnh by phn trn, c kh nhiu phng php d bo chui thi
gian. Thng thng d bo, ngi ta s dng mt cng c kh mnh ca thng
k l m hnh ARIMA. M hnh ny thch ng hu ht cho chui thi gian dng
v tuyn tnh. Trong mi b chng trnh x l s liu u c mt phn d bo
chui thi gian. Nhng i vi cc chui s liu phi tuyn, nht l trong s liu
kinh t, s dng m hnh ARIMA km hiu qu. Chnh v vy phi c nhng
phng php khc nhau x l chui s liu phi tuyn. c nhiu ngi s
dng cng c mng n ron x l tnh cht phi tuyn ca chui s liu. y l
mt hng i c nhiu ngi tip cn v c nhng sch chuyn kho v
vn ny th d nh cun ca Mandic v Chambers Recurrent neural network
and prediction in vo nm 2001. Mt hng i khc l s dng khi nim m
a ra thut ng Chui thi gian m. Phng php s dng chui thi gian m
c a ra t nm 1994 v n nay vn ang c tip tc nghin cu lm
tng chnh xc ca d bo.
Trong ti ny em trnh by phng php d bo ch s chng khon
bng cng c chui thi gian m c mt s tc gi pht trin. T tng
chnh ca phng php l s dng mt s khi nim ca Huarng v Chen, Hsu
pht trin thut ton mi. Da trn thut ton ra, em tnh ton mt bi
ton thc t da trn d liu ly t th trng chng khon i Loan kim
chng. Kt qu thu c rt kh quan. chnh xc ca d bo c nng ln

kh nhiu so vi cc thut ton trc y ra.
Ni dung chnh ca lun vn nghin cu nhng khi nim, tnh cht v
nhng thut ton khc nhau trong m hnh chui thi gian m d bo cho
mt s chui s trong kinh t x hi, c trnh by trong 3 chng:
Chng 1: trnh by cc kin thc c bn v chui thi gian.
Chng 2: trnh by L thuyt tp m v chui thi gian m.
Chng 3: trnh by mt s thut ton c bn trong chui thi gian m
v mt s thut ton ci tin.
Lun vn ny c hon thnh di s hng dn tn tnh ca TS
Nguyn Cng iu, tc gi xin by t lng bit n chn thnh ca mnh i
vi thy. Tc gi xin chn thnh cm n cc thy gio Vin cng ngh thng
tin, khoa Cng ngh thng tin i hc Thi Nguyn tham gia ging dy
gip em trong sut qa trnh hc tp nng cao trnh kin thc. Tuy nhin
v iu kin thi gian v kh nng c hn nn lun vn khng th trnh khi
nhng thiu st. Tc gi rt mong cc thy c gio v bn ng gp kin
ti c hon thin hn.
CHNG 1
CC KIN THC C BN V CHUI THI GIAN
Trong phn ny, chng ta s tm hiu v mt lp m hnh chui thi

gian ht sc thng dng trong thc t. l m hnh quy trnh trt
ARMA(Autoregressive Moving Average). Ta s nghin cu cc c trng ca
qu trnh ARMA, xem xt tng quan v phng php c lng tham s ca
lp m hnh ny v cng thy r c hn ch ca n khi p dng vo chui
thi gian ti chnh. Ngoi ra, m hnh ARMA cn ng vai tr quan trong nh
l c s xy dng m hnh ARCH sau ny.
1. Chui thi gian v qu trnh ngu nhin
Trc khi i vo chi tit tm hiu v m hnh ARMA, ta s nhc li mt
s khi nim lin quan n chui thi gian v qu trnh ngu nhin. D l ta i
vo chi tit m hnh g i chng na th cc khi nim c bn ny vn s theo
chng ta trong sut qu trnh nghin cu v chui thi gian.
1.1. Khi nim chui thi gian v qu trnh ngu nhin
Mt chui thi gian l mt dy cc gi tr quan st X:={x1, x2, xn}
c xp th t din bin thi gian vi x1 l cc gi tr quan st ti thi im
u tin, x2 l quan st ti thi im th 2 v xn l quan st ti thi im th n.
V d: Cc bo co ti chnh m ta thy hng ngy trn bo ch, tivi hay
Internet v cc ch s chng khon, t gi tin t, ch s tng cng hay ch s
tiu dng u l nhng th hin rt thc t ca chui thi gian.
Bc u tin ca vic phn tch chui thi gian l chn mt m hnh
ton hc ph hp vi tp d liu cho trc X:={x1, x2, xn}no . c
th ni v bn cht ca nhng quan st cha din ra, ta gi thit mi quan st xt
l mt gi tr th hin ca bin ngu nhin Xt vi tT. y T c gi l tp
ch s. Khi ta c th coi tp d liu X:={x1, x2, xn} l th hin ca qu
trnh ngu nhin Xt, tT. V v vy, ta c th nh ngha mt qu trnh ngu

nhin nh sau
nh ngha 1.1(Qu trnh ngu nhin)
Mt qu trnh ngu nhin l mt h cc bin ngu nhin Xt, tT c
nh ngha trn mt khng gian xc sut(, ,).
Ch :
Trong vic phn tch chui thi gian, tp ch s T l mt tp cc thi im,
v d nh l tp {1,2..} hay tp (-,+). Tt nhin cng c nhng qu trnh ngu
nhin c T khng phi l mt tp con ca R nhng trong gii hn ca lun vn ny
ta ch xt cho trng hp TR. V thng th ta xem T l cc tp cc s nguyn,
khi ta s s dng k hiu tp ch s l Z thay v T trn. Mt im ch na l
trong lun vn ny chng ta s dng thut ng chui thi gian ng thi ch d
liu cng nh qu trnh c d liu l mt th hin.
1.2. Qu trnh ngu nhin dng
nh ngha 1.2 (Hm t hip phng sai)
Gi s Xt, t Z l mt qu trnh ngu nhin c var(Xt)< vi mi t
Z. Khi hm t hip phng sai ca Xt c nh ngha theo cng thc sau:
x (r , s) : cov( X r , X s ) E[( X r EX r )( X s EX s )], vi r, s Z.
nh ngha 1.3 (Qu trnh dng)

Chui thi gian Xt, t Z c gi l dng nu n tho mn 3 iu
kin sau:
- E X t , t Z
2
- EX t m, t Z
- x (r , s) x (r t , s t ), t , r , s Z
nh l 1.1
Nu Xt, t Z l mt qu trnh dng, v nu nh at R, i Z tho mn
iu kin
ai th h thc Yt :
a X
t -i
, t Z s nh ngha mt qu dng.
Ch : Cng c ti liu gi dng theo ngha trn l dng yu, ng

theo ngha rng hay dng bc hai. Tuy nhin y ta ch xem xt tnh dng
theo ngha nh ngha trn
Khi chui thi gian Xt, t Z l dng th
y x (r , s) x (r s,0), r , s Z ,
V v vy, vi mt qu trnh dng th c th nh ngha li hm t hip

phng sai bng cch ch thng qua hm mt bin. Khi , vi qu trnh
dng Xt, t Z ta c:
y x (h) x (h,0) Cov( X
t h
, X t ), t, h Z
Hm s y x (.) c gi l hm t hip phng sai ca Xt, cn x(h)l

gi tr ca n ti tr h. i vi mt qu trnh dng th ta thng k hiu hm
t hip phng sai bi (.) thay v x(.).
Vi mt qu trnh dng th hm hip phng sai c cc tnh cht
(0) 0, (h)(0), hZ
V n cn l mt hm chn ngha l:
(h) = (-h),hZ.
1.3. Hm t tng quan
nh ngha 1.4
Hm t tng quan ca qu trnh ngu nhin Xt, t Z c nh
ngha ti tr h nh sau:
(h): = (h)/(0):=corr(Xt+h,Xt), t, hZ
Ch :
Trong thc t, ta ch quan st c mt th hin hu hn X:={xt, t =
1,2,n}ca mt chui thi gian ng nn v nguyn tc ta khng th bit
chnh xc c cc hm t hip phng sai ca chui thi gian , mun c
lng n ta a vo khi nim hm t hip phng sai mu ca th hin X.
Hm t hip phng sai mu ca mt th hin X c nh ngha bi
cng thc
n h
c(h) : n 1n 1 ( x j x)( x
x),0 h n
j h
j 1
n
V c(h) : c(h), n h 0, trong x n 1 x j l trung bnh mu.

j 1
Khi th hm tng t tng quan mu cng nh ngha thng qua

hm t hip phng sai mu nh sau:
r (h) : c(h) / c(0), h n.
1.4. Ton t tin, ton t li

Ton t li B kt hp vi mt qu trnh ngu nhin Xt, t Z l qu
trnh ngu nhin Yt, t Z sao cho
Yt : BX t : X t 1
Ton t lu B l ton t tuyn tnh va kh nghch. Nghch o ca n

B-1:=F c gi l ton t tin, nh ngha bi cng thc:
FXt :=Xt+1
Cc ton t B, F tho mn h thc
BnXt = Xt-n, FnXt :=Xt+n
V
n
n
a B i X a X
t i0 i t-i
i
i0
Ch :
Mt cch tng qut, ngi ta c th nh ngha cc chui theo ton t
tin F hay ton t li b v mun th chng ta hn ch trong trng hp cc qu
trnh l dng. Khi , gi s ta c qu trnh dng Xt, t Z v mt dy {ai
,iZ tuyt i kh tng, tc l
Yt :
a , th nh l 1.1, qu trnh
i i
ai X t i , t Z cng l qu trnh dng. Ta k hiu
tng ng qu trnh dng Xt, t Z
a B
l nh x t
vi qu trnh dng Yt, t Z . Cc
chui theo B khi s c nhng tnh cht cho php ta x l n tng t nh

i vi chui nguyn thng thng. c bit ta c th thc hin php cng,
php nhn hay php ly nghch o. iu ny c vai tr quan trng trong cc
php bin i ca a thc t hi quy, a thc trung bnh trt v cc php bin
i x l chui thi gian khc.
2. Qu trnh ARMA
2.1. Qu trnh t hi quy
nh ngha 1.5 (Qu trnh n trng)
Qu trnh ngu nhin t tZ c gi l mt n trng, k hiu
WN(0,2), khi n tho mn cc iu kin sau:

Ets = 0 (t s)
E t2 2
E t 0, t
nh ngha 1.6 (Qu trnh t hi quy)

Ngi ta gi qu trnh ngu nhin Xt, t Z l mt qu trnh t hi
quy cp P, vit l Xt AR(p), l mt qu trnh dng {Xt, tZ} tho mn
Xt a X
a X
... a p X t -p t , a p 0 .
1 t 1
2 t 2
vi {} l mt n trng.
Ta c th vit biu thc ca qu trnh t hi quy trn bi cng thc
Xt a X
a X
.... a p X t-p t , a p 0,
1 t 1 2 t 2
Hay dng
ton t
a( z) : 1 a z a z 2 ... a p z
1
2
y a(z) c gi l a thc hi quy.

Ch :
Nu a thc a(z) trn c nghim nm ngoi a trn n
v ( z 1) th Xt c gi l qu trnh nhn qu t hi qui cp p v ni chung ta
ch xt cc qu trnh nhn qu.
Cc c trng ca qu trnh t hi quy cp p:
-
E(Xt) = 0
(0) ai (i ) | 2
t 1
(h) ai (h i) 0, h 0
i1
Ln lt cho h = 1,2,.p ta c
1
(1)
(1) 1
. .
(p-2).
(p-1)
. (p-2)
. (p-3)
. ...
(p-3) 1
(p-2) (1)
(p-1)
(p-1)
..
(1)
1
a1 (1)
a
(2)
2
= ......
a p 1 ( p 1)
( p )
H phng trnh gi l h phng trnh Jule Walker, song tuyn i

vi a v .
10
Ngha l nu cho ta s tnh c a v ngc li cho a ta cng s tnh

c . Trong h phng trnh Jule Walker, nu ta t pi = ai, i =1,p th
h phng trnh Jule Walker tng ng vi
( j ) p1 ( j p), j 1,..., p
i lng pp trn c gi l t tng quan ring cp p ca qu trnh

{Xt, n ng vai tr rt quan trng trong vic xc nh bc ca qu trnh t
hi quy cng nh vic c lng tham s m hnh t hi quy sau ny.
Trong vic thc t, khi cho chui quan st X:=x1, t = 1,2,n th ta
dng cng thc ca tng quan mu tnh cc r(i), l cc gi tr xp x ca
(i). Khi c cc t tng quan mu ta thay vo h phng trnh Jule

Walker v gii n tm cc tham s a 1. T y ta cng xc nh c tng
quan ring p1.,pp.
2.2. Qu trnh trung bnh trt
nh ngha1.7 (Qu trnh trung bnh trt)
Mt qu trnh trung bnh trt cp q, k hiu Xt MA(q), l mt qu
trnh Xt, t Z tho mn biu thc
Xt b
.... bq t q , b b ,...,bq R, bq 0
1 1 t 1
1 2
vi t l mt n trng.
Ta cng c th vit biu thc trung bnh trt trn di dng ton t
lu tng t nh i vi qu trnh t hi quy nh sau :
Xt = b(B)t,
Trong hm b(.) nh ngha bi
b(z) : = 1+b1z++bqzq.
y b(z) c gi l a thc trung bnh trt .
11
Ch :
Khc vi qu trnh AR, biu thc trn lun xc nh duy nht mt qu
trnh MA m khng i hi thm iu kin g i vi cc h s b 1. V vi gi
thit t l n trng th theo nh l 1.1 ta c
b(z)(z) = 1.
V khi 1 c th biu din di dng
t j X t j ; ( z) j z j ; j
j
j
j
Mt ch na, cng ging nh trng hp AR, nu a thc trung bnh

trt b(z) khng c nghim c mun bng 1 th ta c th biu din X t di
dng sau:
j 1
X t j X t j t ; j
V c th xc nh i bng cch chia 1(theo lu tha tng) cho

b(z), ( 0 1) ..
Khi qu trnh X t c th biu din dng trn, tc l khi b(z) ch c
nghim c mun ln hn 1 th ta ni X t l mt qu trnh kh nghch. V t
nay v sau, nu khng ni g thm th khi ni v cc qu trnh AR v MA
chng ta hiu l cc qu trnh nhn qu v kh nghch.
Cc c trng ca qu trnh trung bnh trt:
Trc ht, ta d dng thy rng
EX t 0 ,
V
2 , s t
E ( X t t ) 2b , s t i;1 i q
1
0, s
12
Mt khc ta c:
(h) : E ( X t X
t h
) E ( X t (
t h
b
b
))
1 1h1 q 1hq
T ta suy ra
(h) 2 (b b b
... b
bq ), b : 1;1 h q
1
0
h
h
1
q
(h) 0, h q
c bit ta c
(0) : var X t 2 (1 b 2 ... bq2

1
T cng thc hip sai ca qu trnh trung bnh trt ta suy ra cng thc
ca t tng quan nh sau:
(h)
b
h
0,
b b
.... b
b
1
h 1
q h q
, h 1,2....q
2
1 b2 .... bq
1
h. q
2.3. Qu trnh t hi quy trung bnh trt

nh ngha 1.8 (qu trnh t hi quy trung bnh trt)
Mt qu trnh Xt, t Z c gi l qu trnh t hi quy trung bnh
trt cp p,q , k hiu X t ARMA(p,q) l mt qu trnh Xt, t Z tha mn
X t a1X t 1 .... a p X t p t b1 t 1 ...
bq t q , a1, a2 ,...a p , b1, b2 ,..., bq R, a p 0, bq 0
Trong t l n trng, a(.) v b(.) ln lt l a thc t hi quy v a

thc trung bnh trt c bc tng ng l p v q:
a( z) : 1 a z ... a p z p
1
b( z ) : 1 b z ... bq z q
1
13
Khi ta c th vit qu trnh ARMA dng ton t nh sau
a(B) X t b(B) t
nh ngha 1.9 (Qu trnh nhn kh nghch)
Mt qu trnh ARMA(p,q) c gi l mt qu trnh nhn qu v kh nghch
nu c l mt qu trnh ARMA(p,q) c a(z) v b(z) tha mn hai iu kin:
i) a(z) v b(z) khng c nghim chung
ii) a(z) v b(z) khng c nghim c mun khng vt qu 1
Ch :
Do tnh nhn qu v kh nghch cng vi tnh cht kh o ca a
thc ton t, ta c th biu din mt qu trnh
X t i t i , 1; i .
0
i0
i1
V c th tnh cc h s t bng cch chia theo ly tha tng a(z) cho b(z).
Cc c trng ca qu trnh ARMA:
Trc ht ta c
(h) E ( X t X
p
q
) a (h i )
(h) bi
(h i )
.X
.
X
t h t 1 1
i1
Vi
.X (k ) : E( t X
t k
Mt khc ta c th biu din
i
t k i0 t k i
V ta c
0, k 0
e.X (k )
2
k , k
14
0
Ln lt cho h = 0,1,...p trong cc chng trnh trn v ch n tnh

chn ca hm (h) ta c h phng trnh tuyn tnh i vi (0),..., (p) hay
vi (1),... ( p).
p
(h) ai (h i ), h q
i 1
V v th
p
(h) ai (h i), h q.
i1
3. c lng tham s m hnh ARMA
Gi s ta cn c lng cc tham s ca m hnh ARMA(p,q)
X t a1 X t 1 ... a p X t p t b1 t 1 ... bq t q , a1, a2 ,..., a p , b1, b2 ,..., bq R, a p 0, bq
trong t ng vai tr l sai s.
i vi m hnh ARMA cng c nhiu phng php c lng tham s

hiu qu v c nu ra chi tit trong P.Brockwell, R. David, 2001. Di y,
ta s xem xt phng php bnh phng cc tiu theo kiu thut ton Hannan
Rissanen. tng ca thut ton ny l s dng hi quy tuyn tnh c
lng cc tham s. Nu q>0 ta cn phi c lng cc gi tr cha bit t .
Thut ton Hannan Rissanen
Bc 1:
Dng c lng Yule Walker c lng cc tham s m hnh
AR(m), vi
m > max(p,q).
X t a X ... am X t m t , t m 1,..., n.
1 t 1
Bc 2:
c lng vecto tham s (a ,..., a p , b ...., bq )t trn c s cc tiu
1
1
ha hm
15
S ( )
n
( xt a x a x
... a p xt p b
... bqt q )2 theo .
1
t
1
2
t
2
1
t
2
t mq1
Gii h Gauss-Markov, kt qu thu c dng sau:
(Z t Z ) 1 Z t X n ,
Ta cng c th dng phng php trc giao ha Househoder tm
y,
X n (X
m1q
,..., X n )
V
X mq X
mq1
X
X mq
Z mq1
....
X
X
....
n2
n1
... X
mq
mq1 p
... X
mq2 p mq1
...
X n p
n2
n2
mq1
...
mq ...
... nq
S ( )
HR
.
nmq
2
4. Nhng hn ch ca m hnh ARMA trong chui thi gian ti chnh

M hnh ARMA thu c thnh cng ln khi p dng cho cc chui
thi gian xut pht t cc lnh vc khoa hc t nhin v k thut nhng tht
bi khi p dng cho cc chui thi gian kinh t v ti chnh. Nguyn nhn
chnh l gi thit v mt ton hc phng sai ca cc chui thi gian ti chnh
khng thay i theo thi gian l khng ph hp. V v vy m hnh ARMA c
th d bo c k vng nhng tht bi khi d bo phng sai ca chui thi
gian ti chnh. Sau y ta s xem xt mt v d c th thy r s khng ph
hp ca m hnh ARMA i vi chui thi gian ti chnh.
16
m2
c lng phng sai t theo cng thc
m1
Xt chui s chui s liu NYSE cha gi tr ca ch s chng khon

giao dch hng ngy trn th trng NewYork t thng ngy 02/01/1990 n
ngy 31/12/2001. Chui gm 3028 s liu c lu di tn file l NYSE.txt.
Tuy nhin thay v trc tip lm vic vi chui s liu gc, ta ly logarit t
nhin ca chui gc ri ly li sai phn ca n c mt chui mi m
trong lnh vc kinh t ti chnh ta gi l chui tng trng.
T s liu trn, chui gi v chui tng trng c minh ha bng
th sau
Hnh 1.1 Chui gi
Hnh 1.2 Chui tng trng

Nhn vo th ca chui gi, r rng ta thy n khng c tnh dng.
Ngc li, chui tng trng c th rt ging vi mt qu trnh dng. Khi
nhn vo th ca chui tng trng ta cng thy c xut hin nhng cm
bin ng, c vng bin i v phng sai ca chui thi gian. Tip theo ta s
17
khai thc c trng tng quan ring mu ca chui tng trng trn. Kt
qu c minh ha bng th sau:
Hnh 1.3 T tng quan ca chui tng trng
Hnh 1.4 T tng quan ring ca chui tng trng

Ta thy rng tng quan ring ca chui tng trng bin i trong mt
khong tng i hp kh ging vi t tng quan ring ca mt qu trnh
dng. Tuy nhin ta li khng thy c du hiu trit tiu ca t tng quan
ring mc d ta ly n tr 100. iu ny cho thy cho chui tng trng
chc chn khng th l mt qu trnh t hi quy. Ta cng bit rng, v mt l
thuyt c th xp x m hnh AR nhiu tham s bng m hnh ARMA vi t
tham s hn. iu ny cng cho thy m hnh ARMA nhiu kh nng khng
ph hp vi chui tng trng ca chng ta.
By gi ta ly bnh phng chui tng trng, kt qu cho bi th
di y
18
Hnh 1.5 Bnh phng chui tng trng

Nhn vo th ta c th ta c th thy c vic to thnh cc cm bin
ng trong cc thi k v bin ng mnh xen k nhau. Ta tnh tip cc c
trng mu ca bnh phng chui tng trng. Kt qu c th hin bng cc
th sau
Hnh 1.6 T tng quan ca bnh phng chui tng trng
Hnh 1.7 T tng quan ring ca bnh phng chui tng trng
Mc d chui tng trng t tng quan nhng bnh phng ca n li
th hin s tng quan mnh. Nhng du hiu cho ta thy rng m hnh
ARMA khng thc s ph hp vi chui thi gian qua st ny.
19
By gi gi s bng cch no ta tm c m hnh ARMA gn nht

vi chui quan st v l m hnh ARMA(1,1). Mc ch y l chng ta
s thy r rng sau khi c lng, nhiu thu c s khng phi l mt n
trng nh ta mong mun na. Tht vy, kt qu c lng theo m hnh
ARMA(1,1) l
yt 0.00049332 t
Nhiu khi c tnh ton v biu din bi th sau
Hnh 1.8 Nhiu

Khi t tng quan v t tng quan ring ca nhiu cho bi th
di y
Hnh 1.9 T tng quan ca nhiu
20
Hnh 1.10. T tng quan ring ca nhiu

Ban u, do tnh t tng quan ca nhiu c lng c nn ta thy n
ging vi mt qu trnh n trng. Tuy nhin khi ly bnh phng nhiu ta li
thy khc
Hnh 1.11. Bnh phng nhiu
Hnh 1.12 T tng quan bnh phng nhiu
21
Hnh 1.13 T tng quan ring bnh phng nhiu

R rng l nhiu c hin tng to cm bin ng ging nh chui tng
trng ban u. Cn khi nhn vo th t tng quan ca bnh phng nhiu
ta thy n th hin s tng quan mnh nn ta c th kt lun rng nhiu
khng phi l mt n trng nh mong mun. V nh vy m hnh ARMA s
khng ph hp vi chui s liu ny.
Mc d m hnh ARMA t ra khng ph hp vi chui thi gian ti
chnh nhng nhng k thut m n cung cp l mt c s rt quan trng v
mang li nhiu gi cho cc cng trnh nghin cu v chui thi gian sau
Box-Jenkins. Chnh Box-Jenkins l nhng ngi u tin a ra cc k thut
ly sai phn kh khuynh tt nh nhm tng kh nng dng ca mt chui
thi gian. Vi nhng vn dng sng to khi nim khuynh ny, nhng ngi
nghin cu i sau Box-jenkins cho ra i hai lp m hnh rt quan trng i
vi chui thi gian ti chnh. l m hnh cng tch, Cointegration
(Granger,1981) v m hnh t hi quy bin ng bt thng ca chui thi
gian ti chnh. M hnh ARCH l cng hin mang tnh khai ph ca Engle, n
c th gii thch s bt thng ca phng sai m ch s dng nhng thng tin
qu kh ca bn thn nhiu. M hnh GARCH (Generalized Autoregressive
Conditional Heteroschedasticity) u tin c gii thiu bi Tim Bollerslev
nm 1986 lm cho lp m hnh ny c nhiu ng dng thc t hn trong
lnh vc kinh t ti chnh.
22
CHNG 2
L THUYT TP M V CHUI THI GIAN M
Trong cc b mn ton c bn, chng ta rt quen thuc vi suy lun

logic nguyn thu hay logic r vi hai gi tr ng/sai hay 1/0. Tuy nhin, cc
suy lun ny khng p ng c hu ht cc bi ton phc tp ny sinh trong
thc t nh nhng bi ton trong lnh vc iu khin ti u, nhn dng h
thng,m cc d liu khng y , khng c nh ngha mt cch r
rng. Trong nhng nm cui thp k 20, mt ngnh khoa hc mi c
hnh thnh v pht trin mnh m l h m. y l h thng lm vic vi
mi trng khng hon ton xc nh, vi cc tham s, cc ch tiu kinh t k
thut, cc d bo v mi trng sn xut kinh doanh cha hoc kh xc nh
mt cch tht r rng, cht ch. Khi nim logic m c gio s Lofti
A.Zadeh a ra ln u tin vo nm 1965 ti M. T l thuyt m c
pht trin v ng dng rng ri.
Trong chng ny chng ta tp trung trnh by mt s kin thc
c bn v h m c lin quan ti m hnh m chng ta s nghin cu.
1. L thuyt tp m
1.1. Tp m
nh ngha: Cho ( ) l khng gian nn, mt tp m A trn
c xc nh bi hm thuc( membership function):
A: [0,1]
0 A(x) 1
A(x) : Ch thuc (membership degree) ca phn t x vo tp m A

( cho n gin trong cch vit, sau ny ta k hiu A(x) thay cho hm A(x))
23
Khong xc nh ca hm A(x) l on [0,1], trong gi tr 0

ch mc khng thuc v cn gi tr 1 ch mc thuc v hon ton.
V d 1: Hm lin tc ca tp m A tp cc s thc gn 1 c
2
nh ngha nh sau: A(x) = e a( x1)
Hnh 2.1. Hm lin thuc ca tp m x gn 1

V d 2: Mt s dng hm lin thuc lin tc khc
Triangle(x, a, b, c) = max(min(
xa cx
,1,
),0)
ba c b
Trapezoid(x, a, b, c ,d) = max(min(
Gaussian(x, , c, )= e
Bell(x, a, b, c) =
xa d x
,1,
),0)
ba d c
c) )2
( x
1
xc
1
a
2b
24
Hnh 2.2. Mt s dng hm lin thuc ca tp m

1.2. Cc php ton trn tp m
1.2.1 Php b ca tp m
nh ngha 1: (Hm ph nh): Hm n: [0,1] khng tng tha mn cc
iu kin n(0) = 1, n(1) = 0 c gi l hm ph nh (negation function).
nh ngha 2: (Phn b ca mt tp m): Cho n l hm ph nh, phn
b Ac ca tp m A l mt tp m vi hm thuc c xc nh bi:
Ac(x) = n(A(x)), vi mi x
1.2.2. Php giao hai tp m
nh ngha 3( T - chun): Hm T: [0,1]2 [0,1] l php bi (T chun) khi v ch khi tho mn cc iu kin sau:
1.T(1, x) = x, vi mi 0 x 1.
2.T c tnh giao hon : T(x,y) = T(y,x), vi mi 0 x, y 1.
3. T khng gim: T(x,y)=T(u,v), vi mi x u, y v.
4. T c tnh kt hp: T(x,T(y,z)) = T(T(x,y),z), vi mi 0 x,y, z 1.
25
nh ngha 4 (Php giao hai tp m): Cho hai tp m A, B trn cng

khng gian nn vi hm thuc A(x), B(x) tng ng. Cho T l mt TChun. Php giao ca hai tp m A,B l mt tp m (k hiu (ATB)) trn
vi hm thuc cho bi biu thc:
(ATB)(x) = T(A(x), B(x)), vi mi x
V d:
-
Vi T(x,y)=min(x,y)ta c: (ATB)(x) = min(A(x),B(x))
Vi T(x,y) = x,y ta c (ATB)(x) = A(x).B(x) (tch i s)
Ta c th biu din php giao ca hai tp m qua hai hm

T(x,y)=min(x,y) v T(x,y) = x.y theo cc th hnh 1.3 sau y:
-
Hnh a: Hm thuc ca hai tp m A v B
Hnh b: Giao ca hai tp m theo T(x,y)=min(x,y)
Hnh c: Giao ca hai tp m theo T(x,y)=x.y
Hnh 2.3. Giao ca hai tp m

1.2.3. Php hp hai tp m
nh ngha 5 (T - i chun): Hm S:[0,1]2 c gi l php tuyn (
T-i chun) nu tho mn cc iu kin sau:
1. S(0,x) = x, vi mi 0 x 1.
2. S c tnh giao hon : S(x,y)= S(y,x) vi mi 0 x , y 1.
3. S khng gim: S(x,y)= S(u,v), vi mi x u, y v.
26
4. S c tnh kt hp: S(x,S(y,z)) = S(S(x,y),z) vi mi 0 x, y,

z1.
nh ngha 6 (php hp hai tp m): Cho hai tp m A, B trn cng
khng gian nn vi hm thuc A(x), B(x) tng ng. Cho S l mt T - i
chun. Php hp ca hai tp m A, B l mt tp m ( k hiu ASB)) trn
vi hm thuc cho bi biu thc:
(ASB)(x)=S(A(x),B(x)), vi mi x
V d:
-
Vi S(x,y) = max(x,y): (ASB)(x)= max(A(x), B(x))
Vi S(x,y) = x + y x.y: (ASB)(x)= A(x) + B(x) A(x)
Ta c th biu din php hp ca hai tp m qua hai hm
.B(x)
S(x,y)=max(x,y) v S(x,y)=x+y x.y theo cc th hnh 2.4 sau y:

-
Hnh a: Hm thuc ca hai tp m A, B
Hnh b: Hp ca hai tp m theo S(x,y) = max(x,y)
Hnh c: Hp ca hai tp m theo S(x,y) = x + y x.y
Hnh 2.4. Php hp ca hai tp m

1.2.4. Lut De Morgan
Cho T l T - chun, S l T - i chun v n l php ph nh mnh.
Khi b ba(T, S,n) l b ba De Morgan nu:
27
n(S(x,y)) = T(n,(x),n(y))
Vi php ph nh n(n-1) = 1- x, chng ta c mt s cp T-chun
v T-i chun tho mn lut DeMorgan trong bng 2.1
STT
T(x,y)
S(x,y)
Min(x,y)
Max(x,y)
x.y
x+ y x.y
Max(x + y -1, 0)
Min(x + y,1)
Min0(x,y)= 0min( x, y)if
Max1(x,y)= 0max( x, y)if
x + y >1
Else
Z(x,y) = 0min( x, y)if
Elsee
Els
Max1(x,y)= 0max( x, y)if
max(x,y)=1
H ( x, y)
Y ( x, y) 1 min 1, (1 x) P
min(x,y)=0
Else
Else
x. y
,y0
(1 )( x y xy)
x + y <1
P , p 0
1
H ( x, y)
x y (2 ) x. y
,y0
1 (1 ) x. y
YP ( x, y ) min(1, P x P y P , p 0
Bng 2.1 : Cc cp T - chun v T - i chun.

1.2.5. Php ko theo
Cho (T, S, n) l mt b ba De Morgan vi n l php ph nh,
php ko theo lS(x,y) hay xy c xc nh trn khong [0,1]2 c nh
ngha bng biu thc sau y:
lS(x,y) = S(T(x,y),n(x))
28
Bng 1.2 di y s lit k mt s php ko theo m hay c s

dng nht.
STT
Biu thc xc nh
Tn
Early Zadeh
xy = max(1-x,min(x,y))
Lukasiewicz
xy = min(1,1- x+y)
Mandani
Larsen
Standard Strict
if
xy = 10
other
Godel
if
xy = 1y other
xy = min(x,y)
xy = x.y
x y
x y
if x y
xy = 1y other
Gaines
8
9
10
Kleene Dienes
xy = max(1 x,y)
Kleene Dienes
xy = 1- x + y
Lukasiwicz
xy = yx
Yager
Bng 2.2. Mt s php ko theo m thng dng
29
2. Cc quan h v suy lun xp x, suy din m

2.1. Quan h m
2.1.1. Khi nim v quan h r
nh ngha 7: Cho X , Y, R X Y l mt quan h ( quan
h nh nguyn r), khi
1 if(x,y) (x,y) R ( xRy)
R(x,y) =
0 if (x,y)R y)( xR
Khi X= Y th R X Y l quan h trn X

Quan h R trn X c gi l:
-
Phn x nu: R(x,x) = 1 vi x X
i xng nu: R(x,y) = R(y,x) vi x, y X
Bc cu nu: (xRy)(yRz) (xRz) vi x,y,z X
nh ngha 8: R l quan h tng ng nu R l quan h nh

nguyn trn X c tnh cht phn x, i xng v bc cu.
2.1.2. Cc quan h m
Cc quan h m l c s dng tnh ton v suy din ( suy lun
xp x) m. y l mt trong nhng vn quan trng trong cc ng dng m
em li hiu qu ln trong thc t, m phng c mt phn suy ngh ca con
ngi. Chnh v vy, m cc phng php m c nghin cu v pht trin
mnh m. Tuy nhin chnh logic m m rng c nghin cu v pht trin
mnh m. Tuy nhin chnh log m m rng t logic a tr, do ny sinh ra
rt nhiu cc quan h m, nhiu cch nh ngha cc ton t T-chun, T-i
chun, cng nh cc phng php m ho, kh m khc nhau,S a dng
ny i hi ngi ng dng phi tm hiu la chn phng php thch hp
nht cho ng dng ca mnh.
30
nh ngha 9: Cho U ; V ; R l mt tp m trn U V gi l

mt quan h m( quan h hai ngi).
0 R (x,y) = R(x,y) 1
Tng qut: RU1U2..Un l quan h n ngi
0 R(u1, u2,un) = R(u1, u2,..un) 1
2.1.3. Cc php ton ca quan h m
nh ngha 10: Cho R l quan h m trn XY, S l quan h m trn
YZ, lp php hp thnh SoR l quan h m trn XZ
C R(x,y) vi (x,y) XY, S(y,z) vi (y,z)YZ. nh ngha php hp
thnh:
Php hp thnh max min xc nh bi:
(S R)(x,z) =
Sup (min(R(x,y),S(y,z))) (x,z)XZ

yY
Php hp thnh max prod xc nh bi:

(S R)(x,z) = Sup (min(R(x,y) S(y,z))) (x,z)XZ
yY
Php hp thnh max T ( vi T l T - chun) xc nh bi:

(S TR)(x,z) = Sup (T(R(x,y) , S(y,z))) (x,z)XZ
yY
2.2. Suy lun xp x v suy din m

Suy lun xp x hay cn gi l suy lun m - l qu trnh suy ra
nhng kt lun di dng cc mnh trong iu kin cc quy tc , cc lut,
cc d liu u vo cho trc cng khng hon ton xc nh.
Trong gii tch ton hc chng ta s dng m hnh sau lp lun:
nh l: Nu mt hm s l kh vi th n lin tc
S kin: Hm kh vi
31
Kt lun: Hm l lin tc
y l dng suy lun da vo lut logic c in Modus Ponens.
Cn c vo m hnh ny chng ta s din t cch suy lun trn di dng sao
cho n c th suy rng cho logic m.
Gi l khng gian tt c cc hm s, v d ={g:RR}. A l cc tp
cc hm kh vi, B l tp cc hm lin tc. Xt hai mnh sau: P=gA v Q
=gB. Khi ta c:
Lut (tri thc):
PQ
S kin:
P ng (True)
Kt lun:
Q ng (True)
Xt bi ton suy lun trong h m

H m n bin vo x1, ..xn v mt bin ra y
Cho Un, i= n..n l cc khng gian nn ca cc bin vo , V l khng
gian nn ca bin ra.
H c xc nh bi m lut m
R1: Nu x1 l A11v x2 v .xn l A1n th y l B1
R2: Nu x1 l A21 v x2 l A22 vxn l A2n th y l B2
.........................................................................................
Rm: Nu x1 l Am1 v x2 l Am2 v xn l Amn th y l Bm
Thng tin u vo:
X1 l A01 v x2 l A02 v.x0n l A0n
Tnh: y l B0
Trong bin m ji, i 1, n, j 1, m xc nh trn khng gian nn U, bin
m Bj, ( ( j 1, n) xc nh trn khng gian nn V.
gii bi ton ny chng ta phi thc hin qua cc bc sau:
32
1. Xc nh cc tp m ca cc bin u vo.
2. Xc nh lin thuc ti cc tp m tng ng.
3. Xc nh cc quan h m R(A.B)(u,v).
4. Xc nh php hp thnh.
Tnh B theo cng thc: B = AR(A,B)(u,v).
3. H m
Kin trc c bn ca mt h m gm 4 thnh phn chnh: B m
ho, h lut m, ng c suy din m v b gii m nh hnh 2.5 di y
H lut m
(Fuzzy Rule Base)
u vo r
Cc tp
Cc tp
B m ho
u vo
ng c suy din m
(Fuzzy Interence Engine)
B gii ho
(Dauzzifier)
u ra r
u vo
Hnh 2.5 Cu hnh c bn ca h m

Khng lm mt tnh tng qut, y ta ch xt h m nhiu u vo,
mt u ra nh x tp compact S Rn vo R. Cc thnh phn ca h m c
miu t nh sau.
3.1. B m ho
Thc hin vic nh x t khng gian u vo S vo cc tp m xc nh
trong S c cho bi hm thuc : S [0,1]. B phn ny c chc nng chnh
dng chuyn mt gi tr r x X thnh mt gi tr m trong S U (U l
khng gian nn). C hai phng php m ho nh sau:
33
Singleton fuzzifiter: Tp m A vi x1 v hm lin
thuc c nh ngha nh sau

1 if x = xi
A(x) =
0 if x xi
No Singleton fuzziffier: Vi cc hm lin thuc
nhn gi tr ln nht l 1 to x = xi v gim dn t 1 n 0 vi cc

gi tr dch chuyn x x1.
3.2. H lut m
Gm nhiu mnh dng:
IF<tp cc iu kin c tho mn>THEN<tp cc h
qu>
Gi s h lut gm M lut Rj (j= 1, M ) dng
Rj: IF x1 is Ai and x2 is A2 and .....xn is Anj THEN y is Bj
Trong xi (i = 1, n ) l cc bin u vo h m, y l bin u ra ca h
m - cc bin ngn ng, A ij l cc tp m trong cc tp u vo X v B j l
cc tp m trong cc tp u ra Y cc gi tr ca bin ngn ng (v d: Rt
nh, nh, Trung bnh, Ln, Rt ln,)c trng bi cc hm thuc
j v j . Khi R j l mt quan h m t cc tp m u vo X = X1
A
B
i
X2 ...... Xn ti cc tp m u ra Y.
34
3.3. ng c suy din

y l mt b phn logic a ra quyt nh s dng h m
thc hin nh x t cc tp m trong khng gian u vo X thnh tp m trong
khng gian u ra Y.
Khi Rj l mt quan h m, th Rj c th l mt tp con ca tch
Decart X Y = ( x , y) : x X , y Y , vi
x (x , x
1
2,
......, x n ) T . V vy, quan h
Rj l mt hm nh x t tp m trong X ti tp m trong
Y, A1j xA2j ....Anj B j c gi l mt dng suy din m( cho gn, ta k hiu
Aj = A1j xA2j ...Anj )
Gi s A l mt tp m trong X v l u vo ca b suy din.
Khi mi lut Rj to ra mt tp m Bj trong Y nh sau:
Bj = A Rj = sup (A*Rj)
Vi * l mt ton t T - chun c nh ngha trong bng 2.1. Do tnh
kt hp, ta c th nh ngha:
T2(x,y) = T(x,y)
T3(x,y,z) = T(x,T2(y,z)) vi 0 x, y, z1
........
Dng quy np ta nh ngha:
Tn(x1,x2,..., .xn) = T(x1, T n-1(x2,....xn)) vi 0 xi 1
Quan h Rj c nh ngha thng qua hm ph thuc sau:
j ( x , y)
(
x
,
y
)
T
(
(
x ), j ( y)))
R
A B j
Aj
B
T (T n ( j ( x ),..., i ( xn )), ( xn ))
An
An
A 1
1
V hm lin thuc ca tp A l
35
A ( x ) T n ( ( x1 ), A ( x2 ),... A ( xn ))
2
Do , hm lin thuc ca tp mg u ra c tnh nh sau:

B ( y) sup
j
x U
A ( x ) *
( x , y)
3.4. B gii m
y l mt nh x t cc t cc tp m trong R thnh cc gi tr
r rng trong R. C nhiu php gii m, vi mi ng dng s c mt phng
thc gii m khc nhau tu thuc yu cu ng dng. Di y s lit k mt s
phng thc gii m thng dng.
Phng php cao:
M j
y j ( y j )
i
B'
y ( x ) 1
h
M
j
j (y )
i1 B'
Vi j l ch s lut , y-j l im c lin thuc ln nht trong
tp m u ra Bj , th j v
(y
B, j
) c tnh theo cng thc
A ( x ) T n ( ( x1 ), A ( x2 ),... A ( xn )) nh sau:
2
j ( y j ) j ( y j ) * A ( x'1 ) * A ( x2' ) * ....* A ( xn' )

n
B'
B
1
2
Phng php cao bin i:
M j
j
j2
y
(
y
)
/
B' j
y ( x ) i1
mh
M
j
j2
j (y ) /
i1 B'
vi j h s bin i ca lut j
36
Phng php trng tm
N
yi B ( yi )
i
1
yc ( x )
N
(y )
i1 B i
Phng php tm ca cc tp (Center of Sets):
phng php ny mi lut c thay th bi tp singleton tm cj

M j n
c Ti1 j ( xi )
A
i1
i
ycos ( x )
M n
T (x )
i1 i1 Aij i
3.5. V d minh ho
Xt h m vi hai lut m v cc hm lin thuc ca cc tp m u
vo, u ra nh biu din ti hnh 1.6. Mi lut m c hai u vo hnh a1, a2,
b1,b2 v mt u ra hnh a3, b3. Gi s chng ta th nghim vi hai gi tr u
vo l x1 = 0.15 v x2 = 0.5, s dng dng T-chun MIN(T(x,y) = x.y)tnh c
tng hp ca cc tp m pha IF v pha THEN hnh (d). S dng T- i chun
cho tt c cc u ra nh hnh (e).
- Phng php cao:
y
h
0.8 0.5 0.11

0.5556
0.8 0.1
- Phng php cao bin i: gi s 1 = 0.4 v 2 =0.2. Ta c :

(0.8 0.5) 0.1 1
2
0
.
4
0.2 2 0.6667
y
h
0. 8
0.1
0.4 2 0.2 2
- Phng php trng tm:

y
h
0.8 0.6 0.1 0.9

0.6333
0.8 0.1
37
Hnh 2.6. Minh ho cc phng php gii m
38
CHNG 3
MT S THUT TON C BN TRONG CHUI THI GIAN
M V MT S THUT TON CI TIN
1. Mt s khi nim
1.1. nh ngha tp m v chui thi gian m
Gi s U l khng gian nn. khng gian nn ny xc nh mt tp hp
cc i tng cn nghin cu. Nu A l mt tp con r ca U th ta c th xc
nh chnh xc mt hm c trng:
0 nu x nm ngoi A
A(x) =
1 nu x nm trong A
Nhng vi mt tp m B trong khng gian nn U th phn t x khng
xc nh chnh xc c. Khi ta c nh ngha:
A : U [0.1]
A c gi l hm thuc (Membership function). Cn vi bt k mt
phn t u no ca A th hm A (u) c gi l thuc ca u vo tp m A.

Gi s Y(t) l chui thi gian (t = 0, 1, 2,)
U l tp nn cha cc khong gi tr ca chui thi gian t nh nht n
ln nht.
Xc nh hm thuc A : U [0.1] ca tp m A, cn tp A trn khng
gian nn U c vit nh sau:
A = {( A (u1 / u1, A (u2 / u2, A (un / un),: ui U; I = 1, 2, , n}
A (ui) l thuc ca ui vo tp A hay cch vit khc:
39
A=
A (u1 )
A (u 2 )
A (u n )
...
u1
u2
un
1.2. Mt s nh ngha lin quan n chui thi gian m

nh ngha 1:
Y(t) (t = 0, 1, 2, ) l mt tp con ca R1. Y(t) l tp nn trn xc
nh cc tp m fi(t). F(t) l tp cha cc tp fi(t) (I = 1, 2,) khi ta gi F(t)
l chui thi gian m xc nh trn tp nn Y(t).
nh ngha 2:
Ti cc thi im t v t-1 c tn ti mt mi quan h m gia F(t) v
F(t-1) sao cho F(t) = F(t-1) * R(t-1, t) trong * l k hiu ca mt ton t xc
nh trn tp m. R(t-1, t) l mi quan h m. Ta cng c th k hiu mi quan
h m gia F(t) v F(t-1) bng F(t-1) F(t).
Nu t F(t-1) = Ai v F(t) = Aj th ta k hiu mi quan h logic m gia
chng nh sau: Ai Aj.
nh ngha 3: Nhm cc mi quan h m
Cc mi quan h logic c th gp li thnh mt nhm nu trong k hiu
trn, cng mt v tri s c nhiu mi quan h ti v phi. v d nu ta c cc
mi quan h:
Ai Ak
Ai Am
Th ta c th gp chng thnh nhm cc mi quan h logic m sau:
Ai Ak, Am
nh ngha 4:
Gi s F(t) suy ra t F(t-1) v F(t) = F(t-1) * R(t-1, t) cho mi t. Nu
R(t-1, t) khng ph thuc vo t th F(t) c gi l chui thi gian m dng,
cn ngc li ta c chui thi gian m khng dng.
40
nh ngha 5:
Gi s F(t) suy ng thi t F(t-1), F(t-2),, F(t-m) m>0 v l chui
thi gian m dng. Khi ta c phng trnh quan h m sau:
F(t) = F(t-1) * Rw(t-1, t)
Trong w>1 l thng s thi gian m theo d bo F(t) b nh
hng.Nh vy, d bo gi tr F(t), ta cn tnh c mi quan h m Rw(t-1, t).
Qu trnh d bo chui thi gian m cng da trn cc bc ca phng
php lp lun xp x m nh sau:
1. Gii ngha cc mnh m iu kin
2. Kt nhp cc quan h m
3. Tnh kt qu t php hp thnh
4. Kh m
2. M hnh mt s thut ton d bo trong m hnh chui thi gian m
2.1. M hnh thut ton ca Song v Chissom
Trong phn ny, s dng khi nim v phng php d bo ca chui
thi gian m c Song et. al. v Chissom a ra xy dng thut ton d
bo cho chui thi gian.
Gi s U l khng gian nn: U = u1,u2,....,un . Tp A l m trn khng
gian nn U nu A c xc nh bi hm:
A : U [0.1]
A c gi l hm thuc (Membership function). Cn vi bt k mt
phn t u no ca A th hm A (u) c gi l thuc ca u vo tp m A.
Tp m A trn khng gian nn U c vit nh sau:
A
A (u1 ) A (u 2 )
u1
u2
...
A (u n )
un
41
M hnh thut ton gm mt s bc sau:

Bc1: Xc nh tp nn U trn cc tp m c xc nh.
Bc 2: Chia cc tp nn U thnh mt s cc on bng nhau
Bc 3: Xc nh cc bin ngn ng din t cc tp m trn cc
khong chia ca tp nn.
Bc 4: M ho cc gi tr lch s ca chui thi gian
Bc 5: Chn tham s w >1 thch hp v tnh R w (t,t-1) v d bo theo
cng thc sau:
F(t) = F(t - 1)Rw(t, t - 1),
Trong F(t) l gi tr d bo m ti thi im t cn F(t-1) l gi tr d
bo m ti thi im t -1. Mi quan h m c tnh nh sau:
Rw(t, t - 1) = FT(t 2) F(t - 1)FT(t - 3) F(t - 2)FT(t - w)
F(t w + 1)
Trong T l ton t chuyn v, du x l ton t tch Cartesian cn w
c gi l m hnh c s m t s lng thi gian trc thi im t.
Bc 6: Gii m gi tr d bo m.
2.2. M hnh thut ton ca Chen
Thut ton ca Chen bao gm mt s bc sau:
Bc 1: Xc nh tp nn U trn cc gi tr lch s ca chui thi gian
Bc 2: Chia tp U thnh cc khong u nhau
Bc 3: Xc nh cc tp m Aj
Bc 4: M ho cc gi tr lch s ca chui thi gian
Bc 5: Xc nh mi quan h m Aj Ai
42
Bc 6: Xc nh nhm quan h m trn nguyn tc cng mt v tri

(xem nh ngha nhm quan h m) v sau tinh mi quan h m R i cho mi
tp m Aj
Bc 7: D bo v gii m cc kt qu
2.3. Thut ton ca Singh
Singh ra thut ton n gin da vo thng s thi gian w=3.
Thut ton bao gm cc bc sau:
Bc 1: Xc nh tp nn. Tp nn U c xc nh nh sau: ly gi tr
ln nht fmax v nh nht fmin ca chui thi gian v U =[fmin-f1, fmax+f2] trong
f1,f2 l nhng gi tr dng no .
Bc 2: Chia on U thnh m khong con bng nhau u1, u2,...um.
Bc 3: Xy dng cc tp m Ai tng ng vi cc khong con nh
trong trong bc 2 v s dng cc hm thuc tam gic cho mi khong con
ca php chia.
Bc 4: M ho cc gi tr ca chui thi gian v thit lp mi quan h
m theo quy tc: nu Ai l gi tr m ho ti thi im t v Aj l gi tr m ho
ti thi im tip theo t+1 th ta c mi quan h m Ai Aj nh ti nh
ngha 2. Ai l trng thi hin thi cn Aj l trng thi tip theo.
Bc 5: Cc quy tc d bo
Mt vi k hiu sau s c s dng:
[*Aj ]
l khong tng ng uj m hm thuc trong Aj t gi tr
Supremum
L[*Aj ]
l gii hn di ca khong uj
U[*Aj ] l gii hn trn ca khong uj

l[*Aj ]
l di khong uj trong hm thuc ca Aj t
Supremum
43
M[*Aj ] l gi tr trung bnh ca khong uj trong hm thuc ca

Aj t Supremum
i vi mi quan h m, em s k hiu:
Ai
l gi tr m ti thi im t
Aj
l gi tr m ti thi im t+1
Ei
l gi tr ca chui thi gian ti thi im t
Ei-1
l gi tr ca chui thi gian ti thi im t-1
Ei-2
l gi tr ca chui thi gian ti thi im t-2
Fj
l gi tr d bo ca chui thi gian ti thi im t+1
M hnh ca Singh s dng 3 gi tr qu kh t-2, t-1, t a ra quy lut

d bo ti thi im t+1.
Quy lut d bo:
d bo thi im t+1 v tip theo ta theo thut ton sau:
For k = 3 to ... K (gi tr cui ca chui thi gian)
Nhn mi quan h m ti cc thi dim t v t+1
Ai Aj
Tnh:
Di = (Ei - Ei-1) - (Ei-1 Ei-2)
Xi =Ei + Di /2
XXi =Ei Di /2
Yi =Ei + Di
YYi =Ei Di
For I=1 to 4
If Xi L[*Aj ] and Xi U[*Aj ]
44
Then P1 = Xi ; n=1
Else P1 = 0 ; n=0
Next I
If XXi L[*Aj ] and XXi U[*Aj ]
Then P2 = XXi ; m=1
Else P2 = 0 ; m=0
Next I
If Yi L[*Aj ] and Yi U[*Aj ]
Then P3 = Yi ; n=1
Else P3 = 0 ; p=0
Next I
If YYi L[*Aj ] and YYi U[*Aj ]
Then P4 = YYi ; q=1
Else P4 = 0 ; q=0
Next I
B=P1 + P2 + P3 + P4
If B = 0Then Fj = M[*Aj ]
Else Fj = (B + M[*Aj ])/ (m+n+p+q)
Next k
2.4. M hnh Heuristic cho chui thi gian m
Huarng s dng m hnh ca Chen v a vo cc thng tin c sn
ca chui thi gian ci tin chnh xc v gim bt cc tnh ton phc tp
ca d bo. Nh s dng nhng thng tin c trong chui thi gian nn m hnh
ca Huarng c gi l m hnh Heuristic.
45
Cc bc thc hin ca m hnh Huarng cng trin khai theo cc bc

trn. iu khc bit l s dng mt hm h xc nh mi quan h logic m.
di y l m t cc bc thc hin ca m hnh Heuristic chui thi gian m.
Bc 1: Xc nh tp nn. Tp nn U c xc nh nh sau: ly gi tr
ln nht fmax v nh nht fmin ca chui thi gian U = [fmax, fmin]. i khi c th
m rng khong ny thm mt gi tr no d tnh ton. Chia on U
thnh m khong con bng nhau u1, u2, , um.
Bc 2: Xc nh tp m Ai v m ho gi tr. Mi tp Ai gn cho mt
bin ngn ng v xc nh trn cc on xc nh u1, u2, , um. Khi cc
tp m A c th biu din nh sau:
Ai
Ai (u1 )
u1
Ai (u 2 )
u2
...
Ai (u m )
um
Bc 3: Thit lp mi quan h m v nhm cc mi quan h m. Nh

nh ngha trn, i vi chui thi gian m ta c th xc nh c mi quan h
m ti mi thi im t v qua ta xc nh c nhm cc mi quan h m.
Bc 4: S dng hm h thit lp cc nhm mi quan h logic m
Heuristic
AI hj (x, Ap1, Ap2,,) = Ap1, Ap2, , Apk
Bc 5: D bo. T cc nhm quan h logic m Heuristic. Cc gi tr
ch yu ly t im gia hay trung bnh cc im gia cc khong cch trong
nhm quan h m heuristic.
* xut mi cho chui thi gian m Heuristic
Mt s khi nim
Trc ht ta cn mt s khai nim. Cc tp m A1, A2, , Ak c th sp
xp c, c ngha l Af Ag khi f g. Nu F(t 1) = Aj v F(t) = Ai th khi
ta c Aj Ai. Ngoi ra cng c th xc nh c nhm quan h m nh
nh ngha 3:
46
Aj Ap1, Ap2, ,Apk

nh ngha 5: Hm hj ph thuc vo mt tham s x c xc nh nh sau:
hj (x, Ap1, Ap2,,) = Ap1, Ap2, , Apk
nu Ap1, Ap2, , Apk j vi x >0
v Ap1, Ap2, , Apk j vi x <0
Ngoi ra, d bo gi tr chui thi gian, ta cn xc nh hiu s bc
nht v bc 2 cho chui thi gian. Gi s cc gi tr ca chui thi gian ti cc
thi im tng ng t, t-1, t-2 l f(t), f(t-1), f(t-2). Khi cc hiu s bc nht
v bc 2 c xc nh:
i = f(t) f(t-1); i2 = (f(t) f(t-1)) (f(t-1) f(t-2))
Tng t kh xt n mt hm s, nu hiu s bc nht l dng th hm
l hm tng, cn hiu bc nht m th hm l hm gim. a c khi
nim hiu s bc hai vo v xt tnh cht m dng ca n thm thng tin
v hm (gim) tng t t v tng (gim) nhanh ph thuc vo hiu s bc 2 m
hay dng.
Ngoi ra cn xt n im ly gi tr trong khong phn chia. Ph thuc
vo tng gim ca chui thi gian, cc im c ly tnh ton trong
khong khng phi l im gia khong na m trong thut ton di y, ta s
ly cc im 0.25 (im di), 0.5 (im gia) v 0.75 (im trn) ca khong.
Thut ton em xut c nhng bc tng t nhng c nhng thay i
ti bc 1 trong chia khong gi tr, bc 3 trong vic xc nh hm h v tnh cc
im d bo trong cc khong trong nhm cc mi quan h m heuristic. Hm hi
tnh ti thi im t v da vo tham s hiu bc nht. im ci tin cui cng l
cc qui tc d bo. Cc gi tr tnh d bo khng phi l ti im gia ca
khong na m da trn cc thng tin c sn v hiu s bc 1 v hiu s bc 2
tnh gi tr ti cc im di, im gia v im trn ca khong xc nh.
47
Nh vy, thng tin v chui thi gian khng ch ly t hiu s bc nht na m

thm thng tin t hiu s bc 2 ca cc gi tr chui thi gian.
3. ng dng trong d bo chng khon
3.1. Bi ton ch s chng khon i Loan
Xt bi ton d bo cho chui d liu ch s th trng chng khon i
Loan TAIFEX. s liu c a ra trong bng di y
Ngy
thng
Gi tr
thc
Ngy
thng
Gi tr
thc
Ngy
thng
Gi tr
thc
03/08/1998
7552
26/08/1998
6790
17/09/1998
6906
04/08/1998
7560
27/08/1998
6835
18/09/1998
6842
05/08/1998
7487
28/08/1998
6695
19/09/1998
7039
06/08/1998
7462
29/08/1998
6728
21/09/1998
6861
07/08/1998
7515
30/08/1998
6566
22/09/1998
6926
10/08/1998
7365
01/09/1998
6409
23/09/1998
6852
11/08/1998
7360
02/09/1998
6430
24/09/1998
6890
12/08/1998
7320
03/09/1998
6200
25/09/1998
6871
13/08/1998
7291
04/09/1998
6403,2
28/09/1998
6840
14/08/1998
7320
05/09/1998
6697,5
29/09/1998
6806
15/08/1998
7300
07/09/1998
6722,3
30/09/1998
6787
17/08/1998
7219
08/09/1998
6859,4
18/08/1998
7220
09/09/1998
6769,6
19/08/1998
7285
10/09/1998
6709,75
20/08/1998
7274
11/09/1998
6726,5
21/08/1998
7225
14/09/1998
6774,55
24/08/1998
6955
15/09/1998
6762
25/08/1998
6949
16/09/1998
6952,75
Bng 1. Gi tr ch s chng khon i Loan

48
Thut ton cho chui thi gian m bao gm cc bc sau y v p

dng cho s liu ti bng trn.
Bc 1: Xy dng tp nn U. xc nh gi tr ln nht v nh nht ca
chui thi gian trn l 6200 v 7560 im. Do vy tp nn U c xc nh l
gi tr trong khong [6200, 7600]. Ta s chia U thnh 14 khong u1, u2, , u14
vi rng l 10459+0, nh vy cc khong s l: u1 = [6200,6300], u2 =
[6300,6400], , [7500,7600].
Bc 2: Xc nh cc tp Ai tng ng vi tng khong ui xc nh ti
bc 1. Ta gn chng vi cc bin ngn ng. Th d A1 = (Thp nht), A2 =
(rt thp nht), A3 = (rt thp), A4 = (thp), A5 = (hi thp), A6 = (di trung
bnh), A7 = (trung bnh), A8 = (trn trung bnh), A9 = (trung bnh cao), A10 =
(hi cao), A11= (rt cao), A13 = (rt rt cao), A14 = (cao nht). Vi mi tp Ai
c xc nh bi mt on ui.
Bc 3: Chia li khong. Tnh phn b ca cc gi tr chui thi gian ri
vo cc khong chia. iu ny thc hin bit cc khong no c nhiu gi tr
ri vo c th phn khong tip lm tng chnh xc khi d bo.
Bng sau y s cho thy s phn b cc gi tr ca chui thi gian ri
vo tng khong:
Khong
S lng
Khong
S lng
6200-6300
6900-7000
6300-6400
7000-7100
6400-6500
7100-7200
6500-6600
7200-7300
6600-6700
7300-7400
6700-6800
7400-7500
9800-6900
7500-7600
Bng 2. Phn b gi tr trong tng khong

49
Xem xt bng trn ta thy s phn b cc gi tr ti cc khong khc

nhau l khng u nhau. C 47 gi tr trong 14 khong nn s lng trung bnh
ri vo mi khong l hn 3. V vy c nhng khong no c 5, 6 gi tr ri
vo ta chia tip lm 2 khong con, cn nhng on no c 8, 9 gi tr ri vo ta
tip tc chia thnh 3 khong sao cho mi khong con c xp x 3 gi tr
ri vo. Kt qu s hnh thnh 21 khong sau:
u1 = [6200-6300]
u8 = [6766-6800]
u15 = [7100-7200]
u2 = [6300-6400]
u9 = [6800-6833]
u16 = [7200-7250]
u3 = [6400-6500]
u10 = [6833-6866]
u17 = [7250-7300]
u4 = [6500-6600]
u11 = [6866-6900]
u18 = [7300-7350]
u5 = [6600-6700]
u12 = [6900-6950]
u19 = [7350-7400]
u6 = [6700-6733]
u13 = [6950-7000]
u20 = [7400-7500]
u7 = [6733-6766]
u14 = [7000-7100]
u21 = [7500-7600]
Bng 3. Phn khong

Trong bc ny ta xc nh li cc tp m Ai tng ng vi tng
khong v c th gn li cc gi tr ngn ng cho tng tp m ny. Cc tp m
Ai i = 1,2,,21 c nh ngha thng qua cc hm thuc n gin c dng
hnh nn nhn 3 gi tr 0, 0.5 v 1 v c vit nh sau:
A1 = 1/u1 + 0.5/u2 + 0/u3 + + 0/u20 + 0/u21
A2 = 0.5/u1 + 1/u2 + 0.5/u3 + + 0/u20 + 0/u21
A3 = 0/u1 + 0.5/u2 + 1/u3 + 0.5/u4 + + 0/u20 + 0/u21
A19 = 0/u1 + 0/u2 + + 0.5/u18 + 1/u19 + 0.5/u20 + 0/u21

A20 = 0/u1 + 0/u2 + + 0.5/u19 + 1/u20 + 0.5/u21
A21 = 0/u1 + 0/u2 + + 0/u19 + 0.5/u20 + 1/u21
50
Bc 4: Xc nh mi quan h m v nhm quan h m

Theo nh ngha phn trn ta lp chui thi gian m tng ng vi cc
tp m trn v xc nh mi quan h m ti thi im t = 1,2,,47. C th
thy ngay c cc mi quan h u tin nh sau: A21 A21 , A21 A20 , A20
A21, , A9 A8.
T y xc nh c nhm cc mi quan h m theo nh ngha phn
trn. Th d ta c th nhn c mt nhm quan h m nh sau: A21 A19,
A20, A21. ton th cc nhm quan h m s c th hin di bng 4.
A1 A3
A7 A13
A12 A8,A10
A18 A10,A17,A18
A3 A1,A3,A5
A8 A6,A7,A10
A13 A12
A19 A18,A19
A4 A3
A9 A8
A14 A11
A20 A20,A21
A5 A6
A10
A16
A5,A8,A9,A11,A14
A11 A10,A11,A12
A6
A4,A6,A8,A10
A21 A19,A20,A21
A13,A16,A17
A17
A16,A17,A18
Bng 4. Nhm mi quan h m
Bc 5: Lp mi quan h m ti mi thi im t
Sau , tnh nhm quan h m heuristic c s dng cc tnh cht ca
hiu s bc 1 v hm h c xc nh theo nh ngha 5, trong vai tr
ca bin x chnh l hiu s bc nht ti thi im t. Nh vy nhm quan h m
ny ph thuc vo thi im t ca chui thi gian m. Th d nh cng mt
nhm quan h A10 A5,A8,A9,A11,A14 nhng ti thi im t1 hiu s bc nht
l m th:
h10(t1, A5,A8,A9,A11,A14 ) = A5,A8,A9
51
Cn ti thi im t2 hiu s bc nht l dng th hm heuristic s cho

gi tr
h10(t1, A5,A8,A9,A11,A14 ) = A11,A14
S dng hm heuristic ny s xc nh c cc nhm mi quan h m
heuristic cho mi thnh phn ca chui thi gian m.
Bc 6: D bo
S dng hm heuristic ny d bo gi tr cho chui thi gian. Nguyn
tc d bo nh sau:
Gi s ti thi im t, gi tr m ti thi im ny c suy ra t gi tr m
ti thi im t-1 theo cng thc F(t) = F(t-1) * R(t-1, t), hay c th vit Ai Aj.
Nh vy theo cc phng php truyn thng, phi tnh c mi quan
h R(t-1, t). Trong phng php heuristic, mi quan h c s dng l nhm
cc quan h m. Trong phng php em xut d bo gi tr m Aj, em s
dng hm heuristic cho nhm quan h m ca Ai. Nh vy i vi mi thi
im t ta phi tnh hm h (theo nh ngha 5) heuristic ti thi im t-1 tc l
mi quan h m ca Ai. Nhm mi quan h m v nhm mi quan h m
heuristic ti mi thi im t c tnh ton c th theo bng sau:
Actual
index
Gi
Hiu
Hiu
tr
s bc
bc 2
Nhm quan h m
Nhm quan
h heuristic
im tnh
7552
A21
7560
A21
7487
A20
-73
-81
A19,A20,A21
A19,A20
0.5,0.75
7462
A20
-25
48
A20,A21
A20
0.25
7515
A21
53
78
A20,A21
A20,A21
0.5,0.75
7365
A19
150
97
A19,A20,A21 A19,A20,A21 0.25,0.5,0.75
52
7360
A19
-5
-155
A18,A19
A18,A19
0.5,0.75
7330
A18
-30
-25
A18,A19
A18
0.75
7291
A17
-29
A16,A17.A18
A16,A17
0.5,0.75
7320
A18
29
58
A16,A17,A18
A18
0.75
7300
A18
-20
-49
A16,A17,A18 A16,A17,A18 0.25,0.5,0.75
7219
A16
-81
-61
A16,A17,A18
A16
0.75
7220
A16
82
A13,A16,A17
A16,A17
0.5,0.75
7283
A17
63
62
A13,A16,A17
A17
0.75
7274
A17
-9
-72
A16,A17,A18
A16,A17
0.5,0.75
7225
A16
-49
-40
A16,A17,A18
A16
0.75
6955
A13
-270
-221
A13,A16,A17
A13
0.75
6949
A12
-6
264
A12
A12
0.25
6790
A8
-159
-153
A8,A10
A8
0.75
6835
A10
45
204
A6,A7,A10
A10
0.75
6695
A5
-140
-185 A5,A8,A9,A11,A14
A5
0.75
6728
A6
33
173
A6
A6
0.75
6566
A4
-162
-195
A4,A6,A8,A10
A4
0.75
6409
A3
-157
A3
A3
0.25
6430
A3
21
178
A1,A3,A5
A3,A5
0.5,0.75
6200
A1
-230
-251
A1,A3,A5
A1
0.75
6403.2
A3
203.2 433.2
A3
A3
0.75
6697.5
A5
294.3
91.1
A1,A3,A5
A5
0.75
6722.3
A6
24.8 -269.5
A6
A6
0.25
6859.4
A10
137.1 112.3
A4,A6,A8,A10
A10
0.75
6769.6
A8
-226.9 A5,A8,A9,A11,A14
A5,A8
0.5,0.75
-89.8
53
6709.75
A6
-59.85 29.95
A6,A7,A10
A6
0.25
6726.5
A6
16.75
76.6
A4,A6,A8,A10
6774.55
A8
48.05
31.3
A4,A6,A8,A10
A8,A10
0.5,0.75
6762
A7
-12.55
-60.6
A6,A7,A10
A6,A7
0.5,0.75
6952.75 A13 190.75 203.3
A13
A13
0.75
A6,A8,A10 0.25,0.5,0.75
6906
A12
-46.75
-237.5
A12
A12
0.75
6842
A10
-64
-17.25
A8,A10
A8,A10
0.5,0.75
7039
A14
197
261 A5,A8,A9,A11,A14
A14
0.75
6861
A11
-178
-375
A11
A11
0.75
6926
A12
65
243
A10,A11,A12
A12
0.75
6852
A10
-74
-139
A8,A10
A8,A10
0.5,0.75
6890
A11
38
112 A5,A8,A9,A11,A14
A11,A14
0.5,0.75
6871
A11
-19
-57
A10,A11,A12
A10,A11
0.5,0.75
6840
A10
-31
-12
A10,A11,A12
A10
0.75
6806
A9
-34
-3 A5,A8,A9,A11,A14
6787
A8
-19
15
A5,A8,A9 0.25,0.5,0.75
A8
A8
0.25
Bng 5. Nhm quan h m v nhm quan h m heuristic v im tnh

d bo
Cc qui tc d bo
Qui tc 1: Nu quan h m heuristic ca Ai l rng Ai th gi tr d
bo ca F(t) l mi l gi tr im gia ca ui
Qui tc 2: Nu quan h m heuristic ca Ai l mt mt, ngha l Ai
Ak th gi tr d bo ca F(t) l im gia, im trn hoc im di ca on
uk tu thuc theo tnh cht ca hiu s bc 1 v bc 2 ca chui thi gian ti
thi im t (xem bng 6, ly gi tr cui cng bn phi).
54
Qui tc 3: Nu quan h m heuristic ca Ai l mt nhiu th ta xc nh theo

cc gi tr khc nhau ca cc khong ui da vo thng tin chui thi gian sau:
i vi mi thi im t, ta cn cc gi tr chui thi gian f(t-2), f(t-1),
f(t). Ti thi im t, ta cng cn xc nh cc hiu s bc nht = f(t) f(t-1)
v hiu s bc hai 2 = (f(t) f(t-1)) (f(t-1)- f(t-2)) ca gi tr chui thi gian.
da vo cch xc nh hm h(, Ap1, Ap2, , Apm) xc nh mi quan h
m heuristic ti thi im t theo gi tr dng hay m ca . Trong lun vn
ny em s dng c hiu s bc 2 xc nh thm tnh cht ca chui thi
gian. Tu theo tnh cht tng, gim ca chui thi gian ti thi im t xc
nh cc gi tr d bo ti cc khong trong mi quan h m. Mt khong ui ta
xc nh cc gi tr ti gia khong (0.5),
khong (0.75) v
khong
(0.25). Cc gi tr c xc nh tng ng vi cc gi tr m ho A i tng

ng vi khong ui. ta ch quan tm n 3 gi tr m ho gn vi Aj nht. Cc
gi tr khc ly ti im gn nht. Do vy, ta c qui lut ly gi tr ti cc
khong tng ng nh sau:
Tnh cht chui
Hiu bc nht
Hiu bc 2
Cc im ly gi tr
Gim t t
<0
2 > 0
0.75, , 0.75, 0.5, 0.25
Gim nhanh
<0
2 < 0
0.25, , 0.25, 0.5, 0.75
Tng nhanh
>0
2 > 0
0.25, , 0.25, 0.5, 0.75
Tng t t
>0
2 < 0
0.75, , 0.75, 0.5, 0.25
Bng 6. Cc im ly gi tr d bo trong khong

Gi tr d bo ca chui thi gian ti thi im t l gi tr trung bnh ca
cc gi tr da vo bng trn.
Da vo bng 6, ta c th d bo chui thi gian ti thi im t. Em a
ra mt trng hp lm th d.
55
Ngy 10/9 v ngy 11/9 c cc gi tr tng ng ti bng 1 l 6709,7 v

6726,5. Cn ti bng 5 l hai hng c bi en. Gi tr m ca chui thi gian
tng ng l 59.85 v 16.75 tc l mt gi tr m cn mt gi tr dng. Mi
quan h ngy 10/9 l A8 A6. Nh vy d bo ta cn nhm quan h A8
A6,A7,A10. tnh quan h m heuristic, ta s dng hm heuristic
h6(,A6,A7,A10) = A6 v m nn ch ly cc ch s 6
Nh vy gi tr d bo s ri vo gi tr m A6 tng ng vi khong u6
= [6700-6730]. Gi tr hiu s bc hai l dng, do vy xem ly im no
trong khong d bo ta li xem bng 6: < 0, 2 > 0 nn theo bng trn gi tr
ny ly im di ca khong (0.25). im ny tng ng vi gi tr xp x
6708. Nh vy ta d bo xong thi im ngy 10/9.
Tnh tip d bo cho ngy 11/9. D bo theo quan h F(10/9) F(11/9)
hay A6 A6. Nhm quan h m ca n l A6 A4,A6,A8,A10. Xc nh nhm
quan h m heuristic s dng hm heuristic vi hiu s bc nht ti thi im
ny c gi tr 16.75 tc l gi tr dng, ta thu c nh sau:
h6(, A4,A6,A8,A10) = A6,A8,A10 v dng nn ch ly cc ch s 6
Nh vy gi tr d bo s ch ly trung bnh trong cc khong u6,u8,u10.
im ly gi tr tng ng trong khong li xt du ca hiu s bc nht v hiu
s bc 2 ti thi im ny. Tnh ton cho thy c hai u dng nn tnh cht
ca chui s liu l tng nhanh nn cc im tnh tng ng s l 0.25, 0.5,
0.75 ca ba khong trn v d bo s l gi tr trung bnh ca 3 gi tr trn.
im 0.25 ca khong u6 l 6708. im 0.5 ca u8 c gi tr l 6785, cn im
0.75 ca khong u10 c gi tr l 6852. Nh vy gi tr d bo f(11/9) s l:
f(11/9) = (6708 +6785+6852)/3 = 6781.7 6782.
Lp c bng 6 ta d dng tnh c cc gi tr d bo.
56
* Kt qu tnh ton
Em s dng thut ton trn tnh ton cc ch s ca th trng
chng khon i Loan TAIFEX theo s liu a ra. Kt qu tnh ton ny
c so snh vi cc kt qu ca thut ton Chen v thut ton heuristic hai
tham s v ba tham s ca Huarng. Kt qu cho trong bng sau:
Ngy
thng
03/08/1998
Actual
index
5552
04/08/1998
Chen
Huarng1
Huarng2
D bo
7450
7450
7450
7550
7560
7450
7450
7450
7550
05/08/1998
7487
7450
7450
7450
7425
06/08/1998
7462
7500
7450
7500
7425
07/08/1998
7515
7500
7500
7500
7512.5
10/08/1998
7365
7450
7450
7450
7464
11/08/1998
7360
7300
7350
7300
7355
12/08/1998
7330
7300
7300
7300
7334
13/08/1998
7291
7300
7350
7300
7255
14/08/1998
7320
7183.33
7100
7188.33
7334
15/08/1998
7300
7300
7350
7300
7275
17/08/1998
7219
7300
7300
7300
7234
18/08/1998
7220
7183.33
7100
7100
7255
19/08/1998
7283
7183.33
7300
7300
7284
20/08/1998
7274
7183.33
7100
7188.33
7255
21/08/1998
7225
7183.33
7100
7100
7234
24/08/1998
6955
7183.33
7100
7100
6984
25/08/1998
6949
6850
6850
6850
6916
26/08/1998
6790
6850
6850
6850
6790
27/08/1998
6835
6775
6650
6775
6850
28/08/1998
6695
6850
6750
6750
6675
57
29/08/1998
6728
6750
6750
6750
6720
30/08/1998
6566
6775
6650
6650
6575
01/09/1998
6409
6450
6450
6450
6425
02/09/1998
6430
6450
6550
6550
6562.5
03/09/1998
6193
6450
6350
6350
6275
04/09/1998
6403.2
6450
6450
6450
6475
05/09/1998
6697.5
6450
6550
6550
6675
07/09/1998
6722.3
6750
6750
6750
6710
08/09/1998
6859.4
6775
6850
6850
6850
09/09/1998
6769.6
6850
6750
6750
6720
10/09/1998
6709.75
6775
6650
6650
6708
11/09/1998
6726.5
6775
6850
6775
6782
14/09/1998
6774.55
6775
6850
6775
6818
15/09/1998
6762
6775
6650
6775
6734
16/09/1998
6952.75
6775
6850
6850
6984
17/09/1998
6906
6850
6950
6850
6934
18/09/1998
6842
6850
6850
6850
6816
19/09/1998
7039
6850
6950
6950
7075
21/09/1998
6861
6850
6850
6850
6886
22/09/1998
6926
6850
6950
6850
6934
23/09/1998
6852
6850
6850
6850
6816
24/09/1998
6890
6850
6950
6850
6978
25/09/1998
6871
6850
6850
6850
6866
28/09/1998
6840
6850
6750
6750
6850
29/09/1998
6806
6850
6750
6850
6743
30/09/1998
6787
6850
6750
6750
6780
9737
7905
5437
1700
MSE
Bng 7. Kt qu tnh ton

58
Ct cui cng l tnh sai s trung bnh bnh phng MSE theo cng thc:
n
MSE
( f
i 1
gi )
n
Trong fi l gi tr thc cn gi l gi tr d bo.

Ta c th thy r chnh xc ca phng pho ny ch bng phng
php tt nht ca Huarng.
* Sau y l mt s cc th so snh cc kt qu vi nhau
Hnh 3.1: th kt qu d bo so snh vi thut ton 3 tham s ca Huarng
Hnh3. 2: So snh vikt qu thut ton 2 tham s ca Huarng

59
Hnh 3.3: So snh kt qu vi thut ton Chen

3.2. Xy dng chng trnh
Chng trnh chui thi gian m d bo t gi chng khon i Loan
Chng trnh c cc tnh nng: cp nht s liu, m file d liu cn tnh
ton, m ha, to nhm, Heuristic, d bo, th.
Hnh 1. Bng gi tr thc
60
Thc hin lnh m ha s cho ta ct kt qu m
Hnh 1. Kt qu m
Thc hin lnh to nhm s to ra cho ta cc nhm gi tr
Hnh 3. To nhm
61
Thc hin lnh Heuristic s cho ta Bng h tr
Hnh 4. Bng h tr
Thc hin lnh d bo s cho ta ct d bo
Hnh 5. D bo
62

Thc hin lnh th s cho ta th so snh gi tr thc v
gi tr d bo
Hnh 7. th
63
KT LUN
Lun vn ny ch yu gii thiu cc khi nim c bn v chui thi gian
v cc m hnh x l chui thi gian. Phng php ch yu d bo chi
thi gian c Box v Jenkins xy dng t nhng nm 70 ca th k trc.
l m hnh ARMA. Tuy nhin m hnh ARMA ch thch ng hu ht cho chui
thi gian dng v tuyn tnh, chnh v vy nhng chui thi gian c bin thin
nhanh hoc chui s liu lch s ngn cho nhng kt qu cha chnh xc.
Chui thi gian trong kinh t do c im pht trin kinh t ph thuc rt
nhiu vo cc yu t khc nhau nn c nhiu bin thin v mang tnh phi
tuyn. Chnh v vy m hnh ARMA khng th x l tt trong lnh vc kinh t.
Do em s dng phng php mi l xy dng m hnh chui thi gian
m c Song v Chilsom pht trin gii quyt vn trn.
Trong lun vn ny em trnh by mt s m hnh c bn hay c s
dng trong chui thi gian m. l cc thut ton ca Chen, Huarng, Singh
v mt s tc gi khc. Mt s ci tin cc thut ton trn cng c a ra
trong Chng III ca Lun vn. Cui cng em xy dng phn mm tnh
ton trn c s s dng mt thut ton ca Chen trong d bo ch s chng
khon i Loan. Kt qu tnh ton cho thy mc ph hp ca d bo so vi
s liu thc t. Chnh v vy, m hnh chui thi gian m ang c nhiu tc
gi nghin cu c nhiu trin vng ng dng trong x l s liu kinh t.
64
TI LIU THAM KHO

[1] Bi Cng Cng, N.D. Phc, H m, Mng Nron v ng dng
(Tuyn tp cc bi ging, NXB Khoa hc v K thut, 2001.
[2] Nguyn Cng iu, Mt thut ton mi cho m hnh chui thi
gian m heuristic trong d bo ch s chng khon, Bo co i hi Ton hc
ton quc, Quy Nhn, 2008.
[3] T. J. Ross, Fuzzy Logic with engineering, MacGraw Hill (1996).
[4] W. Ender, Applied Econometrics Time Series, Wiley & Son, (1995).
[5] R. S. Tsay, Analysis of finacial Time Series, Wiley & Son, (2005).
[6] Q. Song, B.S. Chissom, Fuzzy Time Series and its Model, Fuzzy
set and system, vol. 54, pp. 269-277, 1993.
[7] Q. Song, B.S. Chissom, Forecasting Enrollments with Fuzzy Time
Series Part I, Fuzzy set and system, vol. 54, pp. 1-9, 1993. Part II, Fuzzy
set and system, vol. 62, pp. 1-8, 1994
[8] S.M. Chen, Forecasting Enrollments based on Fuzzy Time Series,
Fuzzy set and system, vol. 81, pp. 311-319, 1996.
[9] S. M. Chen, C.C. Hsu, A New Methods to Forecast Enrollments
Using Fuzzy Time Series, Inter. Journal of Applied Science and Engineering,
V.2,N.3, pp. 234-244, 2004.
[10] K.Huarng, Heuristic models of fuzzy time series forecasting,
Fuzzy sets and Systems, V.123, pp 369-386, 2001.
[11] M. Sah, K.Y. Degtiarev, Forecasting Enrollment Model Based on
First Order Fuzzy Time Series, Transactions on Engineering, Computing and
technology. Enfomatika, v.IV,pp. 375-378, 2004.
[12] S.R. Singh, A computational method of forecasting based on
high-order fuzzy time series, Expert Systems with Applications, 36 (2009)
pp.1055110559.
65

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I HC THI NGUYN

KHOA CNG NGH THNG TIN

NGUYN TH KIM LOAN

M HNH CHUI THI GIAN M

LUN VN THC S CNG NGH THNG TIN

THI NGUYN - 2009

S ha bi Trung tm Hc liu i hc Thi Nguyn

CHNG 3. MT S THUT TON C BN TRONG CHUI THI

S ha bi Trung tm Hc liu i hc Thi Nguyn

S ha bi Trung tm Hc liu i hc Thi Nguyn

Nghin cu d bo chui thi gian lun l mt bi ton gy c s ch

chng. Kt qu thu c rt kh quan. chnh xc ca d bo c nng ln

S ha bi Trung tm Hc liu i hc Thi Nguyn

Trong phn ny, chng ta s tm hiu v mt lp m hnh chui thi

trnh ngu nhin Xt, tT. V v vy, ta c th nh ngha mt qu trnh ngu

nh ngha 1.3 (Qu trnh dng)

S ha bi Trung tm Hc liu i hc Thi Nguyn

Ch : Cng c ti liu gi dng theo ngha trn l dng yu, ng

V v vy, vi mt qu trnh dng th c th nh ngha li hm t hip

Hm s y x (.) c gi l hm t hip phng sai ca Xt, cn x(h)l

V c(h) : c(h), n h 0, trong x n 1 x j l trung bnh mu.

Khi th hm tng t tng quan mu cng nh ngha thng qua

1.4. Ton t tin, ton t li

Ton t lu B l ton t tuyn tnh va kh nghch. Nghch o ca n

S ha bi Trung tm Hc liu i hc Thi Nguyn

ai X t i , t Z cng l qu trnh dng. Ta k hiu

tng ng qu trnh dng Xt, t Z

vi qu trnh dng Yt, t Z . Cc

chui theo B khi s c nhng tnh cht cho php ta x l n tng t nh

WN(0,2), khi n tho mn cc iu kin sau:

nh ngha 1.6 (Qu trnh t hi quy)

y a(z) c gi l a thc hi quy.

H phng trnh gi l h phng trnh Jule Walker, song tuyn i

Ngha l nu cho ta s tnh c a v ngc li cho a ta cng s tnh

i lng pp trn c gi l t tng quan ring cp p ca qu trnh

(i). Khi c cc t tng quan mu ta thay vo h phng trnh Jule

S ha bi Trung tm Hc liu i hc Thi Nguyn

Mt ch na, cng ging nh trng hp AR, nu a thc trung bnh

V c th xc nh i bng cch chia 1(theo lu tha tng) cho

S ha bi Trung tm Hc liu i hc Thi Nguyn

(0) : var X t 2 (1 b 2 ... bq2

2.3. Qu trnh t hi quy trung bnh trt

Trong t l n trng, a(.) v b(.) ln lt l a thc t hi quy v a

Khi ta c th vit qu trnh ARMA dng ton t nh sau

Mt khc ta c th biu din

Ln lt cho h = 0,1,...p trong cc chng trnh trn v ch n tnh

X t a1 X t 1 ... a p X t p t b1 t 1 ... bq t q , a1, a2 ,..., a p , b1, b2 ,..., bq R, a p 0, bq

trong t ng vai tr l sai s.

i vi m hnh ARMA cng c nhiu phng php c lng tham s

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Gii h Gauss-Markov, kt qu thu c dng sau:

4. Nhng hn ch ca m hnh ARMA trong chui thi gian ti chnh

c lng phng sai t theo cng thc

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Xt chui s chui s liu NYSE cha gi tr ca ch s chng khon

Hnh 1.1 Chui gi

Hnh 1.2 Chui tng trng

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