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 bnh, phng sai, ng phng sai (ti cc tr khc nhau) s gi nguyn khng i d cho chng c xc nh vo thi im no i na. Trung bnh: E(Yt)=const Phng sai: Var(Yt)=const ng phng sai: Covar(Yt,Yt-k)=gk xem mt chui thi gian c dng hay khng, ta c th s dng th ca Yt theo thi gian, th t tng quan mu (Sample Auto Correlation), hay kim nh bc ngu nhin (kim nh Dickey-Fuller) Nu chui Yt khng dng, ta c th ly sai phn bc 1. Khi chui sai phn bc 1 (Wt) s c th dng. Sai phn bc 1: Wt=Yt-Yt-1 Nu chui sai phn bc 1 (Wt) khng dng, ta c th ly sai phn bc 2. Khi chui sai phn bc 2 c th dng. Sai phn bc 2: Vt=Wt-Wt-1 b. Tnh ma v Nu sai phn bc 2 m cha dng, c th chui Yt c yu t ma v. (Nu c yu t ma v, tc l chui vn cha dng). Nu c sau m thi on, SAC li c gi tr cao. Khi Yt c tnh ma v vi chu k m thi on. Phng php n gin nht kh tnh ma v l ly sai phn th m Zt=Yt-Yt-m 2. Nhn dng m hnh M hnh ARIMA (hay cn gi l phng php Box-Jenkin) Nhn dng m hnh tc l xc nh p, d, q trong ARIMA(p,d,q) p: da vo SPAC q: da vo SAC d: da vo s ln ly sai phn lm cho chui dng 3. Kim tra chun on m hnh M hnh ARIMA tt c RMSE nh v sai s l nhiu trng: Sai s c phn phi chun, v th SAC gim nhanh v 0 Tm kim m hnh ARIMA ph hp l mt qu trnh th v sai.

V d d bo gi go 1. D liu Hnh 1

2. Xem chui Rice c dng khng?

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Nh vy chui RICEt cha dng. Ta c th ly sai phn bc 1 ca chui ny. Th xem th Correlogram ca chui sai phn bc 1 Hnh 7

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Nh vy sau khi ly sai phn bc 1 chui dng: d=1, AC tt nhanh v 0 sau 1 tr q=1, PAC gim nhanh v 0 sau 1 tr: p=1 C th s dng m hnh ARIMA (1,1,1) 3. c lng v kim nh vi m hnh ARIMA

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Nh vy, sai s ca m hnh ARIMA(1,1,1) l mt chui dng v n c phn phi chun. Sai s ny l nhiu trng. 4. Thc hin d bo Ti ca s Equation ca phng trnh, bm nt forecast

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