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Ch9 ARIMA-1
Ch9 ARIMA-1
CH IX
Integrating us seasonal
average
-
w
- ↳ trend
AR IMA (P d
, , q) (fas
ut
m
N W
seasonal
mean not constant .
M part
.
I
m
visisd =
stationary -stationary
lag 1 +
d = 1
Nonseasonal
d
lang 2 2
+ =
↓ transform
layn + d= n
⑱ ri
# stationary .
1
Assoc. Prof. Prapaisri Sudasna-na-Ayudthya
Box-Jenkin Models
• a classical Time series models
called “ARIMA” or ARMA models.”
constant mean
I
↳ autoregressive
↓
moving average
5 dow wow t error
, nu
187
AR (1)
=y
I Noise MA(1)
z= 1 +
=
& ,
21 + fur time series Eur .
zf =
a+
-
8, a + 1
-
E + +1 =
& ,
z1 ; a +
=
0 MA(2)
If
=
A+
-
G1 At-1 -
Fzd+-2
AR (2)
z & &24+ a!
=
7 +
+
++ 1 ,
+ -
1
OR If =
&, 7
+ -
1
+
&27+ -
2
Types of Process Variability
~> mean
& variance din
• Stationary and uncorrelated − data vary around a fixed
mean in a stable or predictable manner
im Narwws
• Stationary and autocorrelated − successive observations
are dependent with tendency to move in long runs on
either side of mean shift down
owns .
Mean .
I gap a
stationary stationary Nostationary gap even
:
wine
8
investis
I
↳ enters
/pattern S
wor n .
umwawws
-
Earwrs
auto correlation.
Model Building
.
y +
st
(4+
+
-
1
-
diff -
e
unwomes 158 nonstationary
②
• If data are not “stationary”,
.
Y -
Y
+ -
1 + -
num
stationary .
1 yI
yz yz 71
The first differences of the time series
-
3 y3 y3 yz
-
N yn yn - yn-1
15 mean
10 drift
I
Yt
I lay
nu
5 diff :
d Y 4+
-
=
+
-
1
0
1 12 24 36 48 60
Index
72 84 96 108
3
120
② 2
siterundaries ((6) 0
C6
=
lw stationary -1
-2
-3
-4
1 12 24 36 48 60 72 84 96 108 120
Index
-
• Determine autoregressive (AR)
parameter for stationary data
using “Partial Autocorrelation
Function (PACF) plot”. Specify
significant Spike(s). spike ↓ .
AR12)
x
n
e
is T I die out
I
I -
I
I
DICE
I
↓sig-spines---- ARK ↳ 2
......I
:I
-
ACF
n
-
1 I
· 1
I
I
Or
......
PACF ,
MA(1)
R ,
P
,
Li-5
mirover model ↑Chi-square
-
⑧
• Determine “ARIMA” model and test
by looking at residuals plot of ACF
and PACF.
u
AR(1) If At ze spike un
=
E+ =
1
+
, un
-
R =
die out 11t .
8
Af , At1-2
u
AR(2) Ef
-
=
+
I
Hr
:
P-value > OR
Bauer svar-ner
He :
- . augins doin
: model Or is
1.0
0.8
0.6
sig spile=1
0.4 x
Autocorrelation
0.2
↳
0.0
die out ↑ VIG l
-0.2 ↳
-0.4
-0.6 MA(1)
-0.8
-1.0
2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
Lag
1.0
0.8
0.4
0.2
0.0
-0.2
-0.4
PACA
,
die=1 Ast
-0.8 L
A d MA
-1.0 shell model stationary
- diff insur
Initabest
2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
Lag
Step 1-4 NIAN -
or
Promis in own as
um Grinding d
de We i cost
seasonal most
. 4 S
-> 0 P
IV - ⑧ D
->
0 Q
ARIMA (p ,
d , q7 (P , D G)s
,
MAG + P-values +
memoriainoon
, -
n
moun .
P-value max .
② ② min constant
·
↑
-x
win AR Our .
p-value :
max
a MIN12 2
do :
↳
:
Narmrdaine :
Na
VV Our
um
I
-
Plot In Mr
spike
-> do
....
1.0
0.8
0.6
No Significant spike WII1
Partial Autocorrelation
-> NAMIUNT :
0.4
0.2
I
0.0 MA(1)
-0.2
-0.4
Ino constant term)
-0.6
-0.8
-1.0
2 4 6 8 10 12 14 16 18 20 (with
22 5% 26
0
ACF of Residuals for Yt
24 significance
28 limits for the autocorrelations)
30
Lag
1.0
0.8
NWMIUSI NE =
0.6
0.4
Autocorrelation
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
zt = φ1 zt −1 + at
zt = at − θ1at −1