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BO GI
Cao Ho Thi
Khoa Qun L Cng Nghip
i Hc Bch Khoa Tp.HCM
TM T T
Mc tiu ca nghin cu ny nhm gii thiu vic xy dng m hnh ca cc qu trnh
ngu nhin M Hnh ARIMA, v ng dng m hnh ny trong vic d bo. M hnh ny
gii thch s bin ng ca chui thi gian bng cch quan h vi cc gi tr qu kh v
tng c trng s cc nhiu ngu nhin hin hnh v cc nhiu ngu nhin c tr. M
hnh cng c ng dng mt cch minh ha nhm d bo gi c sng ti Thnh Ph H
Ch Minh.
ABSTRACT
The objective of this reseach is to introduce the construction of the model of stochastic
processes ARIMA model, and their use in forecasting. This model explains the
movement of the time series by relating it to the own past values and to the weighted sum
of current and lagged random disturbances. The model is also illustratively applied to
forecast the price of riverfish in HoChiMinh City.
I.
GI I THIU
Trong lnh vc Kinh T Lng, vic d bo thng da trn hai loi m hnh chnh l m
hnh nhn qu v m hnh chui thi gian. Trong m hnh nhn qu, k thut phn tch hi
qui c s dng thit lp mi quan h gia bin ph thuc v cc bin nguyn nhn.
Gi tr ca bin ph thuc s c d bo theo gi tr ca cc bin nguyn nhn. i vi
cc chui thi gian, m hnh ARIMA c s dng d bo cc gi tr trong tng lai.
Theo m hnh ny, gi tr d bo s ph thuc vo cc gi tr qu kh v tng c trng s
cc nhiu ngu nhin hin hnh v cc nhiu ngu nhin c tr.
Mc tiu ca nghin cu ny nhm gii thiu vic xy dng m hnh ca cc qu trnh
ngu nhin M Hnh ARIMA, v ng dng ca m hnh ny trong vic d bo. M hnh
cng c ng dng mt cch minh ha nhm d bo gi c sng ti Thnh Ph H Ch
Minh.
II.
M HNH ARIMA
Trung bnh:
E(Yt ) = = const
ng phng sai:
Covar (Yt , Yt-k ) = gk
1
Tnh dng ca mt chui thi gian c th c nhn bit da trn th ca chui thi
gian, th ca hm t tng quan mu hay kim nh Dickey-Fuller.
k
= SAC
o
k = E [( Y t Y )( Y t k Y ) =
o = E [( Y t Y ) 2 ] =
(Y
(Y
Y )2
Y ) (Y t k Y )
n
= Cov (Y t , Y t k )
= Var (Y t )
Nu SAC = f(t) ca chui thi gian gim nhanh v tt dn v 0 th chui c tnh dng.
bin i chui khng dng thnh chui dng, thng thng nu ly sai phn mt ln
hoc hai ln th s c mt chui kt qu c tnh dng.
Chui gc: Yt
Yt = + t 1 t 1 2 t 2 ... q t q
Nh n d ng m hnh
Nhn dng m hnh ARIMA(p,d,q) l tm cc gi tr thch hp ca p, d, q. Vi d l bc sai
phn ca chui thi gian c kho st, p l bc t hi qui v q l bc trung bnh trt.
Vic xc nh p v q s ph thuc vo cc th SPAC = f(t) v SAC = f(t). Vi SAC
c gii thiu trn v SPAC l T Tng Quan Ring Phn Mu (Sample Partial AutoCorrelation); ngha l tng quan gia Yt v Yt-p sau khi loi b tc ng ca cc Y
trung gian.
Loi m hnh
AR(p)
MA(q)
ARMA(p, q)
cl
Var ( t ) = 2 = const
+ k = Cov( t , t k ) = 0
Vic kim nh tnh nhiu trng s da trn th SAC ca chui et.
D bo
Da trn phng trnh ca m hnh ARIMA, tin hnh xc nh gi tr d bo im v
khong tin cy ca d bo.
D bo im:
Yt
III. S
BO GI
12000
36000
8000
32000
28000
4000
24000
0
20000
16000
-4000
12000
-8000
8000
4000
-12000
90
91
92
93
94
95
96
97
98
90
91
92
RFISH
93
94
95
96
97
98
DRFISH
th RFISH cho thy chui RFISH khng c tnh dng. th DRFISH cho thy chui
DRFISH cng khng c tnh dng. Qua th trn v d liu ta nhn thy chui c tnh
ma v theo qu. Cc kim nh theo hm t tng quan mu hay kim nh DickeyFuller trong EVIEWS cng cho cho thy chui RFISH v DRFISH khng c tnh dng do
d liu c tnh ma v.
S dng phn mm EVIEW kh tnh ma v v tin hnh th nghim cho nhiu m
hnh ARIMA, cui cng ta c m hnh ti u c dng ARIMA(2,1,2) vi thi on kh
tnh ma v l m = 12. Kt qu v cc thng s fi v qj c trnh by trong bng sau:
Dependent Variable: D(RFISH)
Method: Least Squares
Date: 2/3/2002 Time: 18:17
Sample(adjusted): 1991:04 1999:03
Included observations: 96 after adjusting endpoints
Convergence achieved after 50 iterations
Backcast: 1990:02 1991:03
Variable
t-Statistic
Prob.
C
AR(2)
SAR(12)
MA(2)
SMA(12)
-283.3601
0.413278
0.963121
-0.846851
-0.781433
1010.997
0.135466
0.044544
0.118603
0.078476
-0.280278
3.050799
21.62164
-7.140218
-9.957634
0.7799
0.0030
0.0000
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.614807
0.597875
2248.588
4.60E+08
-874.5842
1.718345
203.1250
3545.923
18.32467
18.45823
36.31124
0.000000
Sau khi xc nh c phng trnh cho m hnh ARIMA, cn phi tin hnh kim nh
tnh nhiu trng ca et . Kt qu kim nh da trn th SAC ca chui et. cho thy et c
tnh nhiu trng v c trnh by nh sau:
AC
. |*.
.*| .
|
|
. |*.
.*| .
|
|
.|.
.|.
.*| .
.*| .
.|.
.|.
.|.
.|.
1 0.108
2
0.060
3
0.002
4
0.107
5
0.046
6 0.003
.|.
.|.
.*| .
.*| .
.|.
.|.
.|.
.|.
10
.|.
.|.
11
. |*.
. |*.
.|.
.*| .
|
|
|
|
. |*.
.|.
.|.
.*| .
|
|
|
|
12
13
14
15
.*| .
.*| .
16
.|.
.|.
|
|
.|.
.*| .
|
|
17
18
.|.
.|.
|
|
.|.
.*| .
|
|
19
20
.*| .
.*| .
21
.*| .
.*| .
22
.*| .
.*| .
23
.*| .
**| .
24
. |**
. |*.
|
|
. |**
.|.
25
26
0.027
0.069
0.040
0.008
0.035
0.176
0.069
0.010
0.059
0.168
0.021
0.050
0.031
0.017
0.112
0.094
0.083
0.177
0.198
0.133
2.6913
2.9138 0.088
2.9147 0.233
2.9925 0.393
3.5015 0.478
3.6719 0.598
3.6789 0.720
3.8174 0.801
7.2986
7.8428
7.8547
8.2589
0.505
0.550
0.643
0.690
11.559 0.482
11.614 0.560
11.915 0.613
12.036 0.676
12.072 0.739
13.648 0.692
14.771 0.678
15.649 0.681
19.750 0.474
24.964 0.249
27.356 0.198
5
.|.
.*| .
27
.|.
.|.
28
.|.
.*| .
29
.|.
.|.
30
.|.
.*| .
31
.|.
.*| .
32
.|.
.|.
33
.*| .
.*| .
34
.|.
.|.
35
.|.
. |*.
36
0.053
0.039
0.024
0.017
0.005
0.062
0.013
0.070
0.023
27.733 0.226
27.944 0.262
28.023 0.307
28.065 0.355
- 28.069 0.407
0.075
- 28.084 0.460
0.010 0.059
- 0.061 28.084 0.513
0.002
- 28.878 0.524
0.072 0.075
- 29.128 0.563
0.040 0.028
0.045 0.117 29.450 0.596
91
92
93
94
RFISH
95
96
97
98
RFISHF
KT LU N
TI LIU THAM KH O
Bowerman B.L., and OConnell R.T., 1993. Forecasting and Time Series. 3rd ed.,
Wadsworth, Inc.
Cao Ho Thi v Cc Cng S 1998. Bn Dch Kinh T Lng C S (Basic Econometrics
ca Gujarati D.N.). Chng Trnh FulBright v Ging Dy Kinh T ti Vit Nam.
EVIEWS, 2000. Quantitative Micro Software.
Pindyck R.S., and Rubinfeld D.L., 1991. Econometric Models and Economic Forecast. 3rd
ed., McGraw-Hill.
Ramanathan R., 2001. Introductory Econometrics with Applications. 5th ed., Harcourt
College Publishers
Lin h
a ch
Tel
Fax
Email
: Cao Ho Thi
: Khoa Qun L Cng Nghip, i Hc Bch Khoa Tp. HCM
268 L Thng Kit, Q.10, Tp. HCM
: 84 - 8 - 8650460
: 84 -8 - 8635058
: chthi@sim.hcmut.edu.vn