Topic Date.

NAME- DIA KHATTER

CoURSE - B6cCHONS) STATISTICS
ROLL NO. - 2022/ol4/18
SUBMITTD To - MR. ATUL SIR,
 Date
Topic

Meuim Avenage Poee

|Buppoce that Z us a pney amdena
Clss with mean 2eteA vaiamce

ate constats
2
Va cXt)

meethe ae nesendut

62Bifik
Yl-k)
ince
Cor Z, Zt) S=t
Topic
Date. 2

AYCk) es ot duend on t, amd the

Od tationay fo all valus o the

pi. Fwtheme, ik the z's ae morMally
ae tthe Xe& e
hane a stnitly tatienay monmal poce
The A.CE Q4 the MA ta)ecesi

pipifBi
PC-R)

MAU) wi th has
ACE

k O

otheniue
 Lous
d...) ? C1+
2
ZeB+...
) d? + BCld+
Le
dB>X (l- that
MA &AR b<wNduolity the e Te
Z-2 Xt
X
t
Then
Vasiancepuney
dem 126i that Buppese
aa isie
tokegues4ne
Pre kegues Aukr
Preceses
Topic
Date
Topic Date. 3

the Zs, The

Vos LX- s'x 'z /u- )

k <0 AR þrocess
Juoiced that ldle 4
A CE s

Gemenal Grucee Precess

AR
MA phecess
wmimite gdea.
 Date
Topic

(1 dpB°) X Zt
X
where

(l+ piB
havingepresd X as an MA pretss,
that eCx) 0. The vaiance
4inite pnotded that

lsing
ind
f()dllk-D+.

a et
af aityeemte iquabin has he
gnesal dolution tkt
A n App'er
Topic Date

called aailany lquadim.

Stationanty Conditind

it a micessay buttitilnt
cenaition the ARCþ) þoess te
ae statimasy
be
P
C6) - -diB....
henOotA lquation
ie owtle the wnit citele

ae the
JUoot

hee

2
 Date.
Toplc

it d t 4 d27 0 m
The oeota au neal
devuasls
which wae the acit
with k ut the eotA or
ponentially 2
in whih
Case ths ack twn put to be
dame sinsoidal wane

hen the seots a heal fCk) = A

Aan,kJ
ne hne
Bince Plo:
A+ A21

POdi(l-de)
Aj + (l- A) 2
hence he
Aa:A

uk the ets
2 vmagimasg
ae imaginag
then t PLcor +cine)
Pcorot
Caine)
+
Topic Date 5

we fimd that
A' (-2) Aco4; A 4
titin

I+p?

win

inee damping facte 2 heme

The
 Date
Topic

Rlting a AR CID Preceu

(

utimation o Paraeters
e knw

fCR)dplk-1)

let
be Ratimato
be etimad y 4
hene

)
Co

henee
 alse
m
etimate
the
the let
let
ll2) dint
de Co) f
Jet
myenet of
method
AR(2) aramtso tstimatino
Date.
Topia
 Dato
Toplc

ARMA MODOL

St is fomed by combining MA 2 AR
AR tRUne a MA teme
cemtaiming
is aid to be an ARMA pocess ot

furly honoem
Varianee
2
6 2

.
whe

The cOniien
paaeteu mak the þeL4
statiemay inmetilte
that AR þue MA
oce thatthe value of di wthch
make the ecess dtatienay as
aueh hat oot
Topic Date

|ie cutlide the uit cinde, uhile he

values f bi tieh make t e
pec mmible, are eh that tae

e outsio the wnit cinele

Gemenal ARMAþeceei
Xt-Pt Zt+

Multtply ly Xt-k

Hemee the eahected alue

Zka X e all o
Folewim the Yule. alkes equation
e qeesal ARMA (4) pheue
 Date.
Topic

Cemaid the ARMA D ees,

shert |dl< lBL< To deine
the yule
A CE, the yle walkes equatins
e
Plk) dp Ck-)
cnean be comuted
a Cd X t
Ztt Zt-)

2
l+ 2 d

1+ 2dp+
 Date

ARIMA Model
ARIMA medle ae maimly wwsid de
nsoibing
d 0, , 2...

dhe genoal autongrscne ming

an

ARMA Ck. 4) proes.

(8)Zt
e

Thus wwe hone an ARMA Cþ,q) medel

|koe wt, whie the model vin )
dth
ducibing the
X is sai to be an ARIMA
 Date.
Topic

SARIMA Madel

Beaona Autaneqeie ntegtaed.

Mwtng AveragepeLL
We oan eonwett non tatnay se
inte takionay seie y tang
ARIMA.
Bcenaly me can eininate
ALasomality y taking the dlasnal
di7terenees

backwand openater for Aeasonalty

B backwerd eþerate
D

We model the slasmal

hen
lenetuet the moei uthich in eopat
oth mlkiliatiey
Topic Date

- rlB)
Aamal
dee p'
auutorgussine opesate ot
2
+.

sianal
de'
mmoing ohesat
hnee D

SARIMA ARIMA Cþ, d,q) x CP, D, )