LỚP MÔ HÌNH ARIMA

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LP M HNH ARIMA. M hnh trung bnh di ng bc q, MA(q) M hnh t hi quy bc p, AR(p) M hnh kt hp t hi quy v trung bnh di ng ARMA( p,q ) M hnh t hi quy tch hp vi trung bnh di ng ARIMA( p,d,q ) M hnh ARIMA c tnh ma SARIMA( p,q,d )(P,Q,D)s. - PowerPoint PPT Presentation

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LP M HNH ARIMA

LP M HNH ARIMAM hnh trung bnh di ng bc q, MA(q)M hnh t hi quy bc p, AR(p)M hnh kt hp t hi quy v trung bnh di ng ARMA(p,q)M hnh t hi quy tch hp vi trung bnh di ng ARIMA(p,d,q)M hnh ARIMA c tnh ma SARIMA(p,q,d)(P,Q,D)s

Cc m hnh tuyn tnh biu din chui thi gian nh mt t hp tuyn tnh ca cc bin thi gian tr v c th c hoc khng c vic kt hp thm mt i lng khc l t hp tuyn tnh ca cc s hng ca qu trnh nhiu trng. Cc i din tiu biu cho m hnh tuyn tnh chng hn nh AR, MA v ARMA s ln lt c trnh by di y.

1M hnh trung bnh di ng bc q

M hnh t hi quy bc p

M hnh kt hp t hi quy v trung bnh di ng

M hnh t hi quy tch hp vi trung bnh di ng

M hnh ARIMA c tnh ma SARIMA

Xy dng m hnh SARIMAThnh phn nhn dng m hnh Thnh phn kh ma v xu hngThnh phn c lng tham sThnh phn d bo

Thnh phn nhn dng m hnhXc nh cc h s m hnh bng cch phn tch ACF, PACFBao gm 4 giai on chnh:Xc nh bc ly hiu d loi b tnh xu hng Loi b tnh ma: chui d liu c ly hiu D ln vi khong ly hiu l sXc nh m hnh cho thnh phn thngXc nh m hnh cho thnh phn ma

Thnh phn nhn dng m hnhif (high frequencies exist in ACF or PACF) { if (ACF pattern = abrupt cut-off at lag q)thenModel = pure MA(q)else if (PACF pattern = abrupt cut-off at lag p)thenModel = pure AR(p)else if (both ACF and PACF pattern = exponentila decay) thenModel = ARMA(p,q) }else {p = q =0; Model = ARMA(0,0) }9Thnh phn kh ma v xu hng

Thnh phn c lng tham s

Thnh phn d boTnh ton n giai on d on cho chui d liu c chuyn i Khi phc li chui d liu gc: thc hin ngc li qu trnh ly hiu thc hin khi kh i tnh khng tnh v tnh ma ca chui d liu gc.

M hnh kt hp ARIMA V ANNM hnh ARIMA khng gii quyt c chui phi tuynM hnh ANN khng gii quyt c chui phi tuyn, tuyn tnhKh xc nh c mt chui thi gian l phi tuyn hay tuyn tnhMt chui thi gian bao gm c 2 thnh phn phi tuyn, tuyn tnh

HIN THC M HNH KT HP ARIMA V ANNChui thi gianM hnhANNM hnh SARIMAD boD bo dngARIMA14