I HC QUC GIA TP.

HCM
TRNG I HC BCH KHOA
KHOA KHOA HC & K THUT MY TNH

BO CO THC TP CNG NGH PHN MM

TM HIU M HNH ARIMA D ON CHO

CHUI THI GIAN

GVHD: PGS.TS. Dng Tun Anh

---oOo--SVTH 1: Ng Duy Khnh Vy (50802706)
SVTH 2: inh Kim Ngn (50801336)

TP. H CH MINH, 12/ 2011

Mc Lc
Chng 1 Gii thiu........................................................................................4
Chng 2 Chui thi gian v cc thnh phn ca chui thi gian.................5
2.1. Chui thi gian.....................................................................................5
2.2. Cc thnh phn ca chui thi gian......................................................8
2.3. Chui thi gian tnh............................................................................11
Chng 3 M hnh ARIMA..........................................................................14
3.1 M hnh trung bnh di ng bc q, MA(q)..........................................14
3.2 M hnh t hi quy bc p, AR(p).........................................................16
3.3 M hnh kt hp t hi quy v trung bnh di ng, ARMA(p,q)........20
3.4 M hnh t hi quy kt hp vi trung bnh di ng, ARIMA(p,d,q)...22
3.5 M hnh ARIMA c tnh ma..............................................................23
3.6 Cc bc xy dng m hnh ARIMA..................................................23
3.7 Tm tt.................................................................................................26
Chng 4 Dng m hnh ARIMA d on bng phn mm R................27
4.1 Gii thiu phn mm R........................................................................27
4.2 Cc v d v xy dng m hnh ARIMA bng R.................................27
Chng 5 Kt lun........................................................................................35
Ti liu tham kho.........................................................................................36

Danh mc hnh
Hnh 1 S khch hng t ch hng thng ca hng Pan Am.........................5
Hnh 2 Hm t tng quan..............................................................................6
Hnh 3 tng nhit trung bnh hng nm t 1856 n 2005...................9
Hnh 4 Hm t tng quan ca chui tng nhit trung bnh hng nm t
1856 n 2005...............................................................................................10
Hnh 5 Chui thi gian c tnh ma..............................................................11
Hnh 6 (a) Chui thi gian tnh, (b) chui thi gian khng tnh...................12
Hnh 7 Hnh nh ca m hnh
MA(2)
yt 40 t 0.7 t 1 0.28 t 2 ..............................................................16
Hnh 8 ACF v PACF ca m hnh yt 4 0.4 yt 1 0.5 yt 2 t ................20
Hnh 9 Hm t tng quan v t tng quan ring phn ca m hnh
yt 16 0.6 yt 1 t 0.8 t 1 ......................................................................22
Hnh 10 Cc bc xy dng m hnh ARIMA.............................................24
Hnh 11 th gi c phiu ca tp on ISC..............................................28
Hnh 12 Hm t tng quan v hm t tng quan ring phn ca chui gi
chng khon ca tp on ISC......................................................................29
Hnh 13 Hm t tng quan chui thng d ca m hnh............................30
Hnh 14 th v hm t tng quan ca doanh s bn hng ca tp on
Keytron..........................................................................................................31
Hnh 15 Hm t tng quan v hm t tng quan ring phn ca chui ly
hiu ca doanh s bn hng ca tp on Keytron.......................................32
Hnh 16 Chui thng d ca m hnh arima(0,1,1)x(0,1,1)12 cho chui doanh
s bn hng ca tp on Keytron................................................................33

Chng 1 Gii thiu

Con ngi lun quan tm n tng lai. Vic on trc nhng bin c s
din ra gip ch rt nhiu cho cuc sng ca con ngi. T xa xa, cc hc
gi pht trin cc phng php quan st bu tri, gi, mt trng, hot
ng ca ng thc vt d on cc bin ng v thi tit, v thy triu
phc v cho cc hot ng nng nghip, xy dng, chin tranh. Ngy nay
khi m hu ht cc t chc u hot ng trong mi trng khng chc
chn, k hot lp ra hm nay s nh hng n s sng cn ca t chc
trong ngy mai th vic d on trc mt cch chnh xc tr nn rt quan
trng i vi cc nh ra quyt nh [1]. Cc nh u t cn phi d on
c nhu cu th trng, s bin ng ca nn kinh t trong tng lai c
th u t hiu qu. Cc nh hot nh chnh sch quc gia cn d on
c v mi trng kinh doanh quc t, t l lm pht, t l tht nghip
trong nhiu nm ti a ra cc chnh sch ph hp.
C rt nhiu phng php v m hnh d bo c pht minh ra gip
cho cc nh ra quyt nh trong c mt lp cc m hnh da trn s phn
tch thng k cc d liu trong qu kh a ra d bo. S pht trin ca
cng ngh thng tin gip cho vic thu nhp, lu tr v tnh ton thng k
trn mt lng ln d liu d dng hn, lm cho cc m hnh thng k tr
nn ph bin. Cng vic ch yu ca cc nh d bo l la chn mt m
hnh ph hp vi bi ton ca mnh. Bi bo co ny s gii thiu v cch
xy dng v kim tra m hnh ARIMA, mt m hnh d bo da trn thng
k ni ting. Chng ti cng gii thiu cch dng phn mm thng k R
c lng cc thng s ca m hnh ny.

Chng 2 Chui thi gian v cc thnh phn ca chui

thi gian

2.1. Chui thi gian

Trong bi ton d bo, mt kiu d liu thng gp l d liu chui
thi gian, tc l d liu c thu nhp, lu tr v quan st theo s tng dn
ca thi gian. V d, s lng th sinh d thi i hc vo Trng i Hc
Bch Khoa thnh ph H Ch Minh c lu tr theo tng nm, hay s
lng hng ha bn c ca mt siu th c lu tr theo tng qu l
cc d liu chui thi gian.
Ta k kiu chui thi gian l {Xt} vi t l cc s t nhin. Xt l cc
bin ngu nhin rt ra t mt phn b xc sut no . Cc chui thi gian
thng c biu din bng mt th vi trc honh l bin thi gian.
Hnh 1 l mt v d v chui thi gian, s hnh khch t ch hng thng
ca hng Pan Am

Hnh 1 S khch hng t ch hng thng ca hng Pan Am

Trong chui thi gian thng cc gi tr nhng thi im khc nhau

c mi tng quan vi nhau. S tng quan ny c nh gi bng h s
t tng quan.
nh ngha: T tng quan l s tng quan gia mt bin vi chnh n
theo nhng tr thi gian khc nhau [1].
Ta tnh h s t tng quan ca bin Xt vi tr k theo cng thc

E[( X t )( X t k )]
k
Var ( X t )Var ( X t k )

(2.1.1)

Vi
* k l h s t tng quan ca X tr k
* l trung bnh ca Xt
Nu k khc khng th gia Xt v Xt+k c s tng quan vi nhau.
biu din s t tng quan ca mt bin theo nhiu tr khc nhau
mt cch trc quan, ta dng hm t tng quan.
nh ngha: Hm t tng quan l mt th biu din cc h s t tng
quan theo cc tr khc nhau [1].
Hnh 2 l mt v d v hm t tng quan.

Hnh 2 Hm t tng quan

Trong thc t ta ch c th tnh c h s t tng quan ly mu v

dng thng k c lng cc h s t tng quan ca m ng
(population ).
Cng thc tnh h s t tng quan ly mu:

rk

T k
t 1

( X t X )( X t k X )

(2.1.2)

2
(
X

X
)
t
t 1

Vi
*

rk

l h s t tng quan ly mu tr k

* X l trung bnh mu ca X t
* T l s phn t ca mu.
kim tra xem h s t tng quan tr k ca mt chui thi
gian c khc khng hay khng, ta dng php th t.

rk
k 1

1 2 ri 2

(2.1.3)

i 1

n
Vi :
* ri l h s t tng quan mu tr i
* k l tr
* n l kch c mu

Nu

k = 0 th t s c phn phi student vi n -1 bc t do. i vi mu c

kch thc ln, vi mc ngha 5%, nu h s t tng quan mu nm

trong khong 2 / n th ta c th kt lun h s t tng quan ca m ng
bng khng vi mc ngha 5%.
Vic nh gi cc h s t tng quan c ngha quan trng trong
vic phn tch chui thi gian. Hm t tng quan ca d liu gip ta xc
nh c cc thnh phn ca chui thi gian t c th la chn m hnh
d bo hp l cng nh vic nh gi tnh y ca m hnh.

2.2. Cc thnh phn ca chui thi gian

Trong thc t, khi quan st chui thi gian ta nhn thy bn thnh
phn nh hng ln mi gi tr ca chui thi gian l xu hng (trend),
chu k (cyclical), ma (seasonal), bt quy tc(irregular).
Thnh phn xu hng(trend)
L thnh phn th hin s tng hay gim gi tr ca chui thi gian
trong mt giai on di hn no [1]. Ta c th xc nh mt chui thi
gian c cha thnh phn xu hng hay khng bng vic kim tra hm t
tng quan ca n. Nu mt chui thi gian c thnh phn xu hng s c
h s t tng quan rt ln nhng tr u tin v gim dn v 0 khi
tr tng ln. Hnh 3 v 4 l mt minh ha v chui thi gian c thnh phn
xu hng. y d mc tng nhit ton cu c bin i theo tng nm
nhng nhn chung mc tng nhit trung bnh c xung hng tng theo
thi gian. H s t tng quan rt ln nhng tr u tin v gim dn
theo s tng ca tr.

Hnh 3 tng nhit trung bnh hng nm t 1856 n 2005

Hnh 4 Hm t tng quan ca chui tng nhit trung bnh

hng nm t 1856 n 2005.
Thnh phn chu k (cyclical)
L chui bin i dng sng quanh xu hng [1]. Trong thc t thnh
phn ny rt kh xc nh v ngi ta thng xem n nh l mt phn ca
thnh phn xu hng.
Thnh phn bt quy tc (irregular)
L thnh phn th hin s bin i ngu nhin khng th on c
ca chui thi gian [1].
Thnh phn ma (Seasonal)
L thnh phn th hin s bin i lp i lp li ti tng thi im c
nh theo tng nm ca chui thi gian [1]. i vi chui thi gian c thnh
phn ma th gi tr ti nhng thi im c nh theo tng nm s c s
tng quan ln vi nhau. V d mt chui thi gian c ghi nhn theo tng

10

qu c tnh cht ma th h s t tng quan tr l 4 s khc khng mt

cch c ngha. Hnh 5 l th ca mt chui thi gian c tnh ma

Hnh 5 Chui thi gian c tnh ma.

Vic xc nh mt chui thi gian c thnh phn xu hng hay thnh
phn ma khng rt quan trong trong bi ton d on chui thi gian. N
gip ta la chn c m hnh d on ph hp hay gip ci tin m hnh
c chnh xc hn.
2.3. Chui thi gian tnh
Trong qu trnh qua st cc chui thi gian, ta hn thy c nhng
chui thi gian m trung bnh v phng sai ca n khng ph thuc vo

11

thi gian. Nhng chui thi gian nh vy gi l chui thi gian c tnh cht
tnh (stationary) hay gi l chui thi gian tnh.
nh Ngha : Mt chui thi gian {Xt} c tnh cht tnh hay gi l chui
thi gian tnh nu n tha mn hai tnh cht sau
(1) E ( X t ) , t
(2)

Cov( X t , X t k ) k , t

Mt chui thi gian khng tha hai tnh cht (1) v (2) gi l chui thi
gian khng tnh (nonstationary). Vic biu din mt chui thi gian khng
tnh bng mt m hnh i s n gin l khng d nhng trong thc t ta rt
thng gp cc chui thi gian khng tnh, do ta cn bin i mt chui
thi gian khng tnh v thnh chui tnh. Mt phng php thng dng
nht l phng php ly hiu (differencing).

(a) chui thi gian tnh

(b) chui thi gian khng tnh

Hnh 6 (a) Chui thi gian tnh, (b) chui thi gian khng tnh.
i vi mt chui thi gian khng tnh {Xt}, ta p dng ton t ly hiu
ln Xt c mt chui thi gian mi Xt vi :
12

Xt = Xt Xt-1
Nu Xt l chui tnh th ta xy dng m hnh m t Xt ri t suy ra Xt.
Nu Xt vn l chui khng tnh, ta tip tc p dng ton t cho chui Xt

13

Chng 3 M hnh ARIMA

M hnh t hi quy tch hp vi trung bnh di ng(ARIMA) l mt lp
m hnh tuyn tnh c kh nng biu din c chui thi gian tnh ln khng
tnh. M hnh ARIMA da vo cc mu t tng quan trong bn thn ca
chui thi gian sinh ra d on. H thng cc phng php dng xc
nh, kim tra v ci tin m hnh ARIMA c s ng gp rt ln ca hai
nh thng k, G.E.P.Box v G.M.Jenkins. Do vic m hnh v d on
da trn m hnh ARIMA cn c gi l phng php lun Box-Jenkins
[1].
3.1 M hnh trung bnh di ng bc q, MA(q)
M hnh MA(q) l m hnh c dng

yt t 1 t 1 ... q t q

(3.1.1)

Vi :
l trung bnh ca chui thi gian tnh {yt}.
i l sai s, biu din thnh phn khng th d on c t m hnh
thi im i.

l cc h s c lng mc nh hng ca t i ln yt.

Biu din (3.1.1) bng ton t ly hiu B ta c

yt 1 1 B ... q B q t
q

1 i B i t
i 1

t
q

i
y B t t q v ( B ) 1 i B

i 1

V chui t l chui nhiu trng(white noise), tc l E ( t ) 0 v

2,
(h)
0,

h0
h0

Nn

14

E ( yt ) E ( t 1 t 1 ... q t q ) .

Var ( yt ) 0 Var ( t 1 t 1 ... q t q )

2 (1 12 ... q2 ) .

k Cov( yt , yt k )
2 ( k 1 k 1 ... q k q ), k 1, 2,..., q

0,

k q

T ta c hm t tng quan ca chui {yt}.

k 1 k 1 ... q k q
,
k )
1 12 ... q2
k )

0
0, k q

k 1, 2,..., q

Du hiu ny ca hm t tng quan gip ta xc nh c bc ca m

hnh trung bnh di ng. Mt m hnh trung bnh di ng c bc q th h s
t tng quan ca n s bng khng vi nhng tr ln hn q. Trong thc
t do sai bit khi ly mu, h s tng quan mu c th khc khng nhng
tr ln hn q. Tuy vy, nu h s tng quan mu nm trong khong
2 / N , N l kch thc mu, th ta c th kt lun n bng khng vi
tin cy 95%.
Ta dng R m phng m hnh MA(2) sau:

yt 40 t 0.7 t 1 0.28 t 2

y, , 1 0.7, 2 0.28
> set.seed(1)
> y <- e <- rnorm(1000)
> for(t in 3:1000){
y[t] <- 40 + y[t] + 0.7*e[t-1] - 0.28*e[t-2]
}
> plot(y,ylim=c(35,45),type ="l")
> acf(y)
Hnh 7 l kt qu m phng. y ta thy cc h s t tng quan
tr ln hn 2 u bng khng mc ngha 5%.

15

Hnh 7 Hnh nh ca m hnh

MA(2) yt 40 t 0.7 t 1 0.28 t 2
3.2 M hnh t hi quy bc p, AR(p)
M hnh t hi quy bc p l m hnh c dng

yt 1 yt 1 ... p yt p t

Vi
l hng s.

16

(3.2.1)

l sai s, biu din thnh phn khng th d on c t m hnh

thi im t.

l cc trng s c c lng th hin s nh hng ca cc gi

tr yt-i ln yt.
T (3.2.1) ta c:

E ( yt )

1 1 2 ... p

k ) Cov ( yt , yt k )
p

i Cov ( yt i , yt k ) Cov( t , yt k )
i 1
p

2,

k 0

i 1

0 ,

k 0

i k i
Suy ra

k ) p
k
i k i ).
0 i 1

k 1, 2,3,...

(3.2.2)

Phng trnh (3.2.2) chnh l phng trnh Yule-Walker cho hm ACF

ca m hnh AR(p).
Theo phng trnh (3.2.2) ta thy hm tng quan ca m hnh AR(p)
khng gim v 0 sau tr p nh m hnh MA(q), do ta cn quan st mt
du hiu khc cung cp nhiu thng tin hn v bc ca m hnh AR, l
hm t tng quan ring phn.
Hm t tng quan ring phn.
Hm t tng quan ring phn tr k l s tng quan gia yt v yt-k
sau khi hiu chnh s nh hng ca cc gi tr yt-1, yt-2, ..., yt-k+1 [1].
Trong m hnh AR(p), hm t tng quan ring phn tr k > p s bng
0.
Xt h phng trnh Yule-Walker cho hm t tng quan ca m hnh
AR(k) vi bc k c nh no
k

j ik j i ) ,

j 1, 2,3,..., k

i 1

Vit li h phng trnh trn vi dng ma trn ta c

17

.
k 1

.
.
.
( k 2)

3)

.
.
.
k 3

k 1)
...
k 2

k 3

.
.
.
.

.
.
...
1

1k

2 k
3k

.
.

.

kk

k )

Hay

Pk k p k

Vi

Pk .
.

.
k 1

1k

2 k
3k

k .
.

.

kk

.
.
.
(k 2)

3)

.
.
.
k 3

k 1)
k 2
k 3

.
. ,
.
.

.
.
...
1

...

pk

k )

Cho mi k, k=1,2,3,... h s kk gi l h s t tng quan ring phn

ca m hnh tr k. i vi m hnh AR(p) th d thy kk = 0 vi k > p.

18

Do ta ni rng PACF ca m hnh AR(p) bng khng sau tr p. y l

mt du hiu quan trng nhn bit bc ca m hnh t hi quy.
Trong thc t cc h s t tng quan ring phn ca mu c th khng
bng khng sau tr p do sai bit khi ly mu. Tuy nhin, ta c th kt lun
h s t tng quan ring phn bng khng mc ngha 5% nu n nm
trong khong 2 / N , vi N l kch thc mu.
Ta dng R m phng m hnh AR(2) sau:
yt 4 0.4 yt 1 0.5 yt 2 t
> set.seed(1)
> f <- c(0.4,0.5)
> y <- e <- rnorm(1000)
> for(t in 3:1000){
+ y[t] <- 4 + 0.4*y[t-1] + 0.5*y[t-2]+ e[t]
+}
> layout(1:2)
> acf(y)
> pacf(y)
Hnh 8 th hin hm t tng quan v hm t tng quan ring phn
ca chui thi gian sinh ra bng m hnh trn. y ta thy rng hm t
tng quan ca m hnh AR(2) gim dn v khng, cn h s t tng quan
ring phn th bng khng vi mi tr ln hn hai.

19

Hnh 8 ACF v PACF ca m hnh

yt 4 0.4 yt 1 0.5 yt 2 t
3.3 M hnh kt hp t hi quy v trung bnh di ng, ARMA(p,q)
M hnh ARMA(p,q) l s kt hp hai m hnh AR(p) v MA(q), n
c biu din nh sau
p

i 1

i 1

yt i yt i t i t i
Hay

( B) yt t

ngha ca cc k hiu ging nh trong m hnh AR(p) v MA(q).

M hnh ARMA(p,q) c cha ng m hnh AR(p) v MA(q) nn hm
t tng quan v hm t tng quan ring phn ca n va th hin hnh vi

20

ca m hnh AR(p) v MA(q). Tc l hm t tng quan ring phn v hm

t tng quan gim dn v khng.
Ta dng R m phng m hnh ARMA(1,1) sau

yt 16 0.6 yt 1 t 0.8 t 1

> set.seed(1)
> y <- e <- rnorm(1000)
> for(t in 2:1000){
+ y[t] <- 16 + 0.6*y[t-1]+ e[t] + 0.8*e[t-1]
+}
> layout(1:2)
> acf(y)
> pacf(y)
Hnh 9 l hnh nh ca hm t tng quan v t tng quan ring phn
ca chui thi gian sinh ra bng m hnh trn. Ta thy hm t tng quan v
hm t tng quan ring phn gim dn v khng.

21

Hnh 9 Hm t tng quan v t tng quan ring phn

ca m hnh yt 16 0.6 yt 1 t 0.8 t 1
3.4 M hnh t hi quy kt hp vi trung bnh di ng,
ARIMA(p,d,q)
M hnh ARMA(p,q) lm vic tt vi cc d liu tnh, tc l khng c
thnh phn xu hng (trend). Nhng trong thc t d liu thng c mt xu
hng i ln hay i xung no , c bit vi cc chui thi gian trong
kinh t.
i vi cc chui thi gian c xu hng tuyn tnh ta cn chuyn n
thnh tuyn tnh ri mi p dng m hnh ARMA. Mt trong nhng cch
chuyn mt chui thi gian c xu hng v chui thi gian tnh l phng
php ly hiu nh ni chng 2. Do ngi ta a thm mt h s d
22

vo m hnh ARMA(p,q) to thnh m hnh ARIMA(p,d,q), vi d l s

ln ly hiu chui thi gian tr thnh chui tnh. Khi d bng khng th m
hnh ARIMA(p,d,q) tr thnh m hnh ARMA(p,q). M hnh ARIMA c th
lm vic tt vi d liu tnh ln d liu c xu hng tuyn tnh.
Dng ton hc ca m hnh ARIMA(p,d,q) l

( B)(1 B) d yt t
ngha ca cc k hiu ging nh m hnh AR(p) v MA(q).
3.5 M hnh ARIMA c tnh ma
M hnh ARIMA c th lm vic tt vi d liu c xu hng tuyn tnh
nhng vn cha x l tt cc chui thi gian c tnh ma, tc l chui thi
gian c nhng thnh phn th hin s bin i lp i lp li ti tng thi
im c nh theo tng nm. Do ngi ta a vo bn h s P,D,Q,s vo
m hnh ARIMA(p,d,q) to thnh m hnh ARIMA(p,d,q) x (P,D,Q)s.
y s chnh l thi im m thnh phn ma s lp li, nu d liu c
quan st theo thng th s = 12, nu d liu quan st theo qu th s = 4. M
hnh ARIMA cho d liu c tnh ma i khi cn c gi m hnh
SARIMA.
Dng ton hc ca m hnh ARIMA(p,d,q) x (P,D,Q)s l

* ( B s ) ( B )(1 B) d (1 B s ) D yt * ( B s )( B ) t
Vi

* ( B s ) 1 1* B s 2* B 2 s ... P* B Ps ,
* ( B s ) 1 1* B s 2* B 2 s ... Q* B Qs
Vic xc nh cc thng s P, D, Q tng t nh vic xc nh cc h s
p, d, q thng thng ch khc ch cc du hiu ca hm t tng quan v
hm t tng quan ring phn khc th hin theo cc tr l bi ca s.
3.6 Cc bc xy dng m hnh ARIMA
Trong vic d on chui thi gian da trn m hnh ARIMA, cng
vic ch yu ca ngi d bo l xc nh c bc ca m hnh. Cng vic
ny c thc hin thng qua mt th tc lp. Ban u mt m hnh d
tuyn c xy dng, tip theo kim tra xem m hnh c m t y
chui thi gian khng, nu m hnh khng y th to m hnh mi ci
tin hn m hnh c. Qu trnh ny c lp i lp li cho n khi tm c
mt m hnh y . Hnh 10 minh ha cho qu trnh xy dng m hnh

23

Hnh 10 Cc bc xy dng m hnh ARIMA

Bc 1: Xc nh m hnh d tuyn
xc nh m hnh ban u ta trc ht cn quan st hnh nh v hm
t tng quan ca chui thi gian xem chui thi gian c phi l chui
tnh hay khng. R c hai hm l plot() v acf() c th gip ta vic ny. Nu
chui thi gian c xu hng hay c tnh ma ta cn thc hin vic ly hiu
a chui thi gian v dng tnh. Xem xt hnh vi ca hm t tng quan
24

v hm t tng quan ring phn ca chui thi gian tnh xc nh cc

thng s p, q (v P, Q nu chui c tnh ma).Trong thc t cc h s ny rt
t khi vt qu 2.
Bc 2: c lng m hnh
Sau khi xc nh c bc ca m hnh, ta tin hnh c lng cc
thng s. Trong thc t cng vic ny c thc hin t ng bng cc gi
phn mm my tnh.Trong R ta c hm arima() nhn thng s l chui thi
gian v bc ca m hnh c lng m hnh.
Bc 3: Kim tra m hnh
Trc khi m hnh c s dng d on, n cn phi c kim tra
tnh y . Mt m hnh y nu thng d (residuals) ca n ngu
nhin. Mt trong nhng cch kim tra tnh ngu nhin ca chui thng d l
quan st hm t tng quan ca n. Nu cc h s t tng quan mu ca
chui thng d u nm trong khong 2 / N (N l kch thc chui thng
d) th chui thng d l ngu nhin.
Mt phng php kim tra ton th xem mt m hnh c y hay
khng l dng php th Ljung-Box Q. Php th ny xem xt kch c ca
chui thng d theo tng nhm.
Php th Q l:

rk (e)
k 1 n k
m

Qm n(n 2)

Vi
rk (e) l h s t tng quan ca thng d tr k.
n l kch thc ca chui thng d.
k l tr
m l tng s tr c kim tra.
Php th thng k Q c phn phi xp x phn phi 2 vi m-r bc t
do, vi r l tng s tham s c lng ca m hnh. Nu p gi tr (p-value)
ca Q nh hn 0.05 th m hnh xem nh khng y [1]. Ta c th quan
st hm t tng quan v hm t tng quan ring phn ca chui thng d
ci tin m hnh.
Bc 4 : Dng m hnh a ra d bo
Sau khi xc nh c m hnh y ta tin hnh d bo. Cng
vic ny cng c thc hin t ng bng my tnh. Trong R ta c th dng
hm predict() sinh ra cc gi tr d on.
Tiu chun la chn m hnh

25

Trong thc t c th c nhiu m hnh cng m t y cho mt chui

d liu. Nu cc m hnh c cng s tham s c lng th ta chn m hnh
c sai s bnh phng b nht. Nhng nu cc m hnh c s tham s c
lng khc nhau ta dng cc tiu chun AIC hay BIC la chn [1]

2
AIC ln 2 r
n
ln n
BIC ln 2
r
n
Vi
ln = logarit t nhin

2 = tng bnh phng sai s chia cho tng s quan st

n = Tng s quan st (ca chui thng d)

r = tng s tham s c c lng ca m hnh ARIMA.
M hnh c la chn l m hnh c AIC, BIC b nht.
3.7 Tm tt
Ngy nay c rt nhiu gi phn mm thng k nh Minitab, R,... c h
tr m hnh ARIMA. Cng vic chnh ca ngi d on l phi xc nh
c bc ca m hnh, tc l cc h s p, d, q, P, D, Q, s. Cc h s ny c
th xc nh c bng cch quan st cc du hiu t hm t tng quan v
hm t tng quan ring phn.
i vi m hnh AR(p) th hm t tng quan gim dn, hm t tng
quan ring phn bng khng ngay cc tr ln hn p.
i vi m hnh MA(q) th hm t tng quan bng khng ngay sau
tr q, hm t tng quan ring phn gim dn.
i vi m hnh ARMA(p,q), hm t tng quan v hm t tng quan
ring phn u gim dn.
Nu chui thi gian c xu hng th ta phi thc hin ly hiu a
chui v dng tnh. Nu chui c tnh ma th ta cn xc nh cc h s cho
tnh ma P, D, Q, s.
Vic xc nh bc ca m hnh ARIMA l mt cng vic kh khn, cn
nhiu kinh nghim. Vic xc nh m hnh ARIMA c thc hin thng
qua mt th tc lp gm cc bc xc nh m hnh, c lng m hnh,
kim tra m hnh. Cc bc ny c lp i lp li cho n khi tm c m
hnh ph hp, sau m hnh ny s c dng d bo.

26

Chng 4 Dng m hnh ARIMA d on bng phn

mm R
4.1 Gii thiu phn mm R
R l mt phn mm min ph dng cho thng k v s l s liu. Thc
ra R c th c s dng nh mt ngn ng lp trnh a nng [3]. Hai ngi
sng to ra R l hai nh thng k Ross Ihaka v Robert Gentleman.
K t khi ra i, R c nhiu nh nghin cu thng k v ton hc
trn th gii ng h v pht trin [3]. Trong chng ny ta s dng R xy
dng m hnh ARIMA cho cc chui d liu thc t.
4.2 Cc v d v xy dng m hnh ARIMA bng R
V d 1: D liu s dng l gi c phiu ca tp on ISC. D liu ny
c ly trong ti liu tham kho [1].
u tin ta v th cho chui d liu ny ta c kt qu hnh 11
> plot(p)

27

Hnh 11 th gi c phiu ca tp on ISC

y ta thy chui thi gian ny tnh, gi c phiu bin i xung
quanh mt mcc nh khong 250. Tip ta v hm t tng quan v t
tng quan ring phn.
> layout(1:2)
> acf(p)
> pacf(p)
y hm layout() dng chia mn hnh Graphics ca R lm hai
phn, hm acf() v pacf() dng v hm t tng quan v hm t tng
quan ring phn. Kt qu hin ra hnh 12

28

Hnh 12 Hm t tng quan v hm t tng quan ring

phn ca chui gi chng khon ca tp on ISC
Ta thy hm t tng quan gim dn, cn hm t tng quan ring
phn bng khng (nm trong khong 2 / N ) ngay sau tr u tin. Nn
m hnh d tuyn c chn l ARIMA(1,0,0). Tip ta c lng cc
thng s ca m hnh bng hm arima(). Kt qu l.
> fit <- arima(p,order=c(1,0,0))
> fit
Call:
arima(x = p, order = c(1, 0, 0))
Coefficients:
29

ar1 intercept
-0.4044 258.0567
s.e. 0.1117 4.5728
sigma^2 estimated as 2739: log likelihood = -360.32, aic = 726.64
Vy m hnh d tuyn l Yt 258.1077 0.4044* Yt 1
Thc hin nh gi sai s kim tra tnh y ca m hnh.
> res <- fit$res
> acf(res)
y fit$res s tr v chui thng d ca m hnh. Kt qu trong hnh
13

Hnh 13 Hm t tng quan chui thng d ca m hnh

Yt 258.1077 0.4044* Yt 1
Ta thy r t hnh 13 chui thng d ny l ngu nhin nn m hnh
Yt 258.1077 0.4044* Yt 1 l y . Ta dng n a ra d on cho
hai thi on tip theo
> predict(fit,n.ahead=2)
$pred
Time Series:
Start = 68
End = 69
Frequency = 1
[1] 283.5568 247.7444
$se

30

Time Series:
Start = 68
End = 69
Frequency = 1
[1] 52.33360 56.45093
Hm predict() dng d on, vi tham s th nht l m hnh d
on, tham s th hai l s thi on d on. Theo kt qu trn th gi tr
thi on 68 v 69 ln lt l 283.56 104.66 v 247.74 112.9 .
V d 2: D liu s dng l doanh s bn hng trong 115 thng lin tip
ca tp on Keytron, bt u t thng 1 nm 1987. D liu ny c ly
trong ti liu tham kho [1].
u tin ta v th v hm t tng quan mu ca chui d liu.
> plot(s)
> acf(s,lag.max=28)
Vi s l chui doanh s bn hng theo thng ca tp on Keytron. Kt
qu trong hnh 14.

Hnh 14 th v hm t tng quan ca doanh s bn hng

ca tp on Keytron.
Nhn vo hnh 14 ta thy r chui thi gian c tnh ma v hi c xu
hng i ln, h s t tng quan tr 12, 24 ln. Thc hin vic ly
hiu theo ma sau l ly hiu mt ln na v v hm t tng quan v t
tng quan ring phn ca chui ly hiu.
> s.d12 <- diff(s,lag=12)
31

>s.d12.d <- diff(s.d12)

> acf(s.d12.d,lag=28)
> pacf(s.d12.d,lag=28)
y s.d12 l chui c ly hiu theo ma v s.d12.d l chui ly
hiu ca s.d12. Kt qu hnh 15

Hnh 15 Hm t tng quan v hm t tng quan ring phn

ca chui ly hiu ca doanh s bn hng ca tp on
Keytron.
Quan st hnh 15 ta thy cc tr nh cc h s t tng quan bng
khng sau tr u tin v hm t tng quan ring phn gim dn (mc
ngha 5%). Vi cc tr l bi ca 12, hm t tng quan bng khng
ngay sau tr 12, cn hm t tng quan ring phn gim dn. Do ta
xc nh m hnh cho chui doanh s bn hng ca tp on Keytron l
ARIMA (0,1,1) x (0,1,1)12. Dng hm arima() c lng cc thng s
ca m hnh ny. Kt qu l
> fit <- arima(s,order=c(0,1,1),list(order=c(0,1,1),period=12))
> fit
Call:

32

arima(x = s, order = c(0, 1, 1), seasonal = list(order = c(0, 1, 1),

period = 12))
Coefficients:
ma1 sma1
-0.8332 -0.6317
s.e. 0.0631 0.0958
sigma^2 estimated as 12579: log likelihood = -629.88, aic = 1265.76
Kim tra chui thng d ca m hnh ny
> plot(fit$res)
> acf(fit$res)
Kt qu trong hnh 16

Hnh 16 Chui thng d ca m hnh arima(0,1,1)x(0,1,1)12

cho chui doanh s bn hng ca tp on Keytron.
Ta thy chui thng d l ngu nhin nn m hnh va chn l y .
Thc hin d on cho hai thi im tip theo
> predict(fit,n.ahead=2)
$pred
Time Series:
33

Start = 116
End = 117
Frequency = 1
[1] 2457.309 2584.550
$se
Time Series:
Start = 116
End = 117
Frequency = 1
[1] 112.1638 113.7134
Vy kt qu d on thi im 116 v 117 ln lt l
2457.31 224.32 v 2584.55 227.42 .

34

Chng 5 Kt lun
M hnh ARIMA l mt m hnh tng qut c th s dng cho nhiu
loi chui thi gian trong thc t, k c nhng chui c thnh phn xu
hng v thnh phn ma. Tuy nhin m hnh ARIMA cng c mt s hn
ch.
1.
xy dng m hnh ARIMA cn phi c nhiu d liu. Vi
nhng chui khng c tnh ma cn c 40 quan st tr ln, vi
chui d liu c tnh ma cn d liu c thu thp trong
khong 6 n 10 nm [1].
2.
Khng d cp nhp m hnh khi c them d liu mi, thng l
m hnh mi s c xy dng [1].
3.
Vic xy dng mt m hnh ARIMA y cn tn nhiu thi
gian v ti nguyn hn cc phng php truyn thng khc
chng hn nh phng php lm trn (smoothing) [1].

35

Ti liu tham kho

[1] John E. Hanke, Dean W. Wichenrn. Business Forcasting, Pearson
Prentice Hall, ISBN 0-13-141290-6.
[2] Douglas C. Montgomery, Cheryl L. Jennings, Murat Kulahci.
Introduction to Time Series Analysis and Forecasting, Wiley-Interscience,
ISBN 978-0-471-65397-4
[3] Nguyn Vn Tun. Phn tch s liu v biu bng R.

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