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D bo bng m hnh ARIMA

(AutoRegressive Integrated Moving Average)


1. Tnh dng v tnh ma v
a. Tnh dng
Nu mi chui thi gian gi l dng th trung nh! "h#$ng sai! %&ng "h#$ng sai (t'i c(c
%) tr* +h(c nhau) s, gi- ngu./n +h0ng %1i d2 cho ch3ng %#4c 5(c %6nh vo thi %i7m
no %i n-a8
9rung nh: ;(<t)=const
>h#$ng sai: ?ar(<t)=const
@&ng "h#$ng sai: Aovar(<t!<tB+)=g+
@7 5em m)t chui thi gian cC dng ha. +h0ng! ta cC th7 sD dEng @& th6 cFa <t theo thi
gian! @& th6 tG t#$ng Huan mIu (Jam"le Auto Aorrelation)! ha. +i7m %6nh #Kc ngIu
nhi/n (+i7m %6nh Lic+e.BMuller)
Nu chui <t +h0ng dng! ta cC th7 lN. sai "hOn Pc Q8 Rhi %C chui sai "hOn Pc Q (St)
s, cC th7 dng8 Jai "hOn Pc Q: St=<tB<tBQ
Nu chui sai "hOn Pc Q (St) +h0ng dng! ta cC th7 lN. sai "hOn Pc T8 Rhi %C chui sai
"hOn Pc T cC th7 dng8 Jai "hOn Pc T: ?t=StBStBQ
b. Tnh ma v
Nu sai "hOn Pc T m ch#a dng! cC th7 chui <t cC .u tU m2a vE8 (Nu cC .u tU m2a
vE! tVc l chui vIn ch#a dng)8
Nu cV sau m thi %o'n! JAA l'i cC gi( tr6 cao8 Rhi %C <t cC tWnh m2a vE vKi chu +X m
thi %o'n8 >h#$ng "h(" %$n giYn nhNt %7 +hD tWnh m2a vE l lN. sai "hOn thV m
Zt=<tB<tBm
2. Nhn d!ng m hnh
M0 hnh ARIMA (ha. c[n gi l "h#$ng "h(" \o5B]en+in)
NhPn d'ng m0 hnh tVc l 5(c %6nh "! d! H trong ARIMA("!d!H)
": dGa vo J>AA
H: dGa vo JAA
d: dGa vo sU l^n lN. sai "hOn %7 lm cho chui dng
". #$%m t&a 'h()n *on m hnh
M0 hnh ARIMA tUt cC RMJ; nh_ v sai sU l nhi*u tr`ng: Jai sU cC "hOn "hUi chuan! v
%& th6 JAA giYm nhanh vb c
9m +im m0 hnh ARIMA "h2 h4" l m)t Hu( trnh thD v sai8
Q
+ d d bo g$ g!o
1. D, -$.(
dnh Q
2. /0m 'h(1$ R$'0 '2 dng 3hng4
T
dnh T
dnh e
e
dnh f
dnh g
f
dnh h
Nh# vP. chui RIA;t ch#a dng8 9a cC th7 lN. sai "hOn Pc Q cFa chui n.8
9hD 5em %& th6 Aorrelogram cFa chui sai "hOn Pc Q
dnh i
g
dnh j
Nh# vP. sau +hi lN. sai "hOn Pc Q chui %k dng: d=Q! AA t`t nhanh vb c sau Q %) tr*
H=Q! >AA giYm nhanh vb c sau Q %) tr*: "=Q
AC th7 sD dEng m0 hnh ARIMA (Q!Q!Q)
". 56' -78ng v 3$%m *9nh v6$ m hnh ARIMA
h
dnh l
dnh Qc
i
dnh QQ
dnh QT
j
dnh Qe
Nh# vP.! sai sU cFa m0 hnh ARIMA(Q!Q!Q) l m)t chui dng v nC cC "hOn "hUi chuan8
Jai sU n. l nhi*u tr`ng8
:. Th' h$.n d bo
9'i cDa s1 ;Huation cFa "h#$ng trnh! Nm n3t morecast
dnh Qf
l
dnh Qg
dnh Qh
Qc
dnh Qi
dnh Qj
QQ
;. M< &=ng 3$%m *9nh tnh dng v6$ 3$%m ngh$.m *>n v9
dnh Ql
dnh Tc
dnh TQ
QT

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