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El modelo AR (3)
MEDIA:
Sea el modelo AR (3) sin intercepto:
= 1 1 + 2 2 + 3 3 +
[ ] = [1 1 ] + [2 2 ] + [3 3 ] + [ ]
[ ] = 1 [1 ] + 2 [2 ] + 3 [3 ] + [ ]
[ ] =
= 1 + 2 + 3 + 0
[ ] = = 0
Sea el modelo AR (3) con intercepto:
= + 1 1 + 2 2 + 3 3 +
[ ] = () + [1 1 ] + [2 2 ] + [3 3 ] + [ ]
[ ] = + 1 [1 ] + 2 [2 ] + 3 [3 ] + [ ]
[ ] =
= + 1 + 2 + 3 + 0
1 2 3 = + 1 + 2 + 3 + 0
(1 1 2 3 ) =
=
(1 1 2 3 )
VARIANZA:
( ) = (1 1 + 2 2 + 3 3 + )
( ) = (1 1 ) + (2 2 ) + (3 3 ) + ( )
2 2 2
( ) = 1 (1) + 2 (2) + 3 (3) + ()
2 2 2
( ) = 1 (1) + 2 (2) + 3 (3) + ()
1
2 2 2
0 = 1 0 + 2 0 + 3 0 + 2
2 2 2
0 1 0 2 0 3 0 = 2
1
0 = 2 ( 2 2 2
)
1 1 2 3
( ) = () + (1 1 ) + (2 2 ) + (3 3 ) + ( )
2 2 2
( ) = 0 + 1 (1) + 2 (2) + 3 (3) + ()
2 2 2
0 = 1 0 + 2 0 + 3 0 + 2
2 2 2
0 1 0 2 0 3 0 = 2
1
0 = 2 ( 2 2 2
)
1 1 2 3
COVARIANZA:
Si
=0
0 = [ . ] = [( 1 1 + 2 2 + 3 3 + )]
[ . ] = [1 1 ] + [2 2 ] + [3 3 ] + [ ]
[ . ] = 0 = 1 1 + 2 2 +3 3 + 2
=1
1 = [ . 1 ] = [( 1 1 + 2 2 + 3 3 + )1]
1 = [ . 1 ] = [1 1 1 ] + [2 2 1 ] + [3 3 1 ] + [ 1 ]
1 = [ . 1 ] = 1 0 + 2 1 +3 2
=2
2 = [ . 2 ] = [( 1 1 + 2 2 + 3 3 + )2]
2 = [ . 2 ] = [1 1 2 ] + [2 2 2 ] + [3 3 2 ] + [ 2 ]
2 = [ . 2 ] = 1 1 + 2 0 +3 1
2 = [ . 2 ] = 1 (1 +3 ) + 2 0
2
=3
3 = [ . 3 ] = [( 1 1 + 2 2 + 3 3 + )3]
3 = [ . 3 ] = [1 1 3 ] + [2 2 3 ] + [3 3 3 ] + [ 3 ]
3 = [ . 3 ] = 1 2 + 2 1 +3 0
=4
3 = [ . 4 ] = [( 1 1 + 2 2 + 3 3 + )4]
3 = [ . 4 ] = [1 1 4 ] + [2 2 4 ] + [3 3 4 ] + [ 4 ]
4 = [ . 4 ] = 1 3 + 2 2 +3 1
Funcin de Autocorrelacin:
[ . ]
=
( )
[ . ]
=
( )2
La A.C de Orden cero:
[ . ] 0 1 1 + 2 2 +3 3 + 2
0 = = = =1
( )2 0 1 1 + 2 2 +3 3 + 2
La A.C de Orden uno:
[ . 1 ] 1 1 0 + 2 1 +3 2
1 = = = = 1 + 2 1 + 3 2
( )2 0 0
[ . 2 ] 2 1 (1 +3 ) + 2 0
2 = = = = (1 +3 )1 + 2
( )2 0 0
y t 1 y t 1 2 y t 2 3 y t 3 4 y t 4 et
MEDIA :
E y t E 1 y t 1 2 y t 2 3 y t 3 4 y t 4 et
E y t E 1 y t 1 E 2 y t 2 E 3 y t 3 E 4 y t 4 E et
E y t 1 E y t 1 2 E y t 2 3 E y t 3 4 E y t 4 E et
u 1 * u 2 * u 3 * u 4 * u
u * (1 1 2 3 4 ) 0
u 0 1 1 2 3 4
E yt u
VARIANZA :
Var y t Var1 y t 1 2 y t 2 3 y t 3 4 y t 4 et
Var y t Var1 y t 1 Var 2 y t 2 Var3 y t 3 Var 4 y t 4 Varet
Var y t 1 Var y t 1 2 Var y t 2 3 Var y t 3 4 Var y t 4 Varet
2 2 2 2
0 1 2 0 2 2 0 3 2 0 4 2 0 e2
0 (1 1 2 2 2 3 2 4 2 ) e2
1
0 e2 ( )
1 1 2 3 4
2 2 2 2
Var y t 0 e2 (
1
)
1 1 2 3 4
2 2 2 2
COVARIANZA :
Cov( y t , y t )
Si 0
0 Eyt . yt
0 E (1 y t 1 2 y t 2 3 y t 3 4 y t 4 et ). y t
0 E 1 y t 1 y t 2 y t 2 y t 3 y t 3 y t 4 y t 4 y t et y t
0 E 1 y t 1 y t ] E[ 2 y t 2 y t ] E[3 y t 3 y t ] E[ 4 y t 4 y t ] E[et y t
0 1 1 2 2 3 3 4 4 e2
4
Si 1
1 E y t . y t 1
1 E (1 y t 1 2 y t 2 3 y t 3 4 y t 4 et ). y t 1
1 E 1 y t 1 y t 1 2 y t 2 y t 1 3 y t 3 y t 1 4 y t 4 y t 1 et y t 1
1 E 1 y t 1 y t 1 ] E[ 2 y t 2 y t 1 ] E[3 y t 3 y t 1 ] E[ 4 y t 4 y t 1 ] E[et y t 1
1 1 0 2 1 3 2 4 3
Si 2
2 E yt . yt 2
2 E (1 y t 1 2 y t 2 3 y t 3 4 y t 4 et ). y t 2
2 E 1 y t 1 y t 2 2 y t 2 y t 2 3 y t 3 y t 2 4 y t 4 y t 2 et y t 2
2 E 1 y t 1 y t 2 ] E[ 2 y t 2 y t 2 ] E[3 y t 3 y t 2 ] E[ 4 y t 4 y t 2 ] E[et y t 2
2 1 1 2 0 3 1 4 2
2 1 (1 3 ) 2 0 4 2
Sit 3
3 E y t . y t 3
3 E (1 y t 1 2 y t 2 3 y t 3 4 y t 4 et ). y t 3
3 E 1 y t 1 y t 3 2 y t 2 y t 3 3 y t 3 y t 3 4 y t 4 y t 3 et y t 3
3 E 1 y t 1 y t 3 ] E[ 2 y t 2 y t 3 ] E[3 y t 3 y t 3 ] E[ 4 y t 4 y t 3 ] E[et y t 3
3 1 2 2 1 3 0 4 1
3 1 ( 2 4 ) 1 2 3 0
5
Funcion _ de _ Autocorrelacion
Cov( yt . yt ) E ( yt . yt )
Var ( yt ) E ( yt ) 2
La _ AC _ de _ oreden1
E ( yt . yt 1 ) 1 1 0 2 1 3 2 4 3
1
E ( yt ) 2 0 0
1 1 2 1 3 2 4 3
La _ AC _ de _ oreden 2
E ( yt . yt 2 ) 2 1 (1 3 ) 2 0 4 2
2
E ( yt ) 2 0 0
2 2 (1 3 ) 1 2 2
La _ AC _ de _ oreden3
E ( yt . yt 3 ) 3 1 (2 4 ) 1 2 3 0
3
E ( yt ) 2 0 0
3 3 (2 4 ) 1 1 2
6
Modelo AR (5)
MEDIA
= 1 1 + 2 2 + 3 3 + 4 4 + 5 5 +
[ 5 ] = [1 1 + 2 2 + 3 3 + 4 4 + 5 5 + ]
[ 5 ] = 1 [1 ] + 2 [2 ] + 3 [3 ] + 4 [4 ]+5 [5 ] + [ ]
[ 5 ] = 0
VARIANZA
0 = [ ] = [ ]
[ ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )( )]
0 = 1 [1 ] + 2 [2 ] + 3 [3 ] + 4 [4 ]+5 [5 ] + [ ]
0 = 1 1 + 2 2 + 3 3 + 4 4 + 5 5 + 2
COVARIANZA
=0
0 = [ ] = [ ]
[ ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )( )]
0 = 1 [1 ] + 2 [2 ] + 3 [3 ] + 4 [4 ]+5 [5 ] + [ ]
0 = 1 1 + 2 2 + 3 3 + 4 4 + 5 5 + 2
=1
[ 1 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(1 )]
1 = 1 [1 1 ] + 2 [2 1 ] + 3 [3 1 ] + 4 [4 1 ]+5 [5 1 ] +
[ 1 ]
1 = 1 0 + 2 1 + 3 2 + 4 3 + 5 4
=2
[ 2 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(2 )]
1 = 1 [1 2 ] + 2 [2 2 ] + 3 [3 2 ] + 4 [4 2 ]+5 [5 2 ] +
[ 2 ]
7
2 = 1 1 + 2 0 + 3 1 + 4 2 + 5 3
=3
[ 3 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(3 )]
1 = 1 [1 3 ] + 2 [2 3 ] + 3 [3 3 ] + 4 [4 3 ]+5 [5 3 ] +
[ 3 ]
3 = 1 2 + 2 1 + 3 0 + 4 1 + 5 2
=4
[ 4 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(4 )]
1 = 1 [1 4 ] + 2 [2 4 ] + 3 [3 4 ] + 4 [4 4 ]+5 [5 4 ] +
[ 4 ]
4 = 1 3 + 2 2 + 3 1 + 4 0 + 5 1
=5
[ 5 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(5 )]
5 = 1 [1 5 ] + 2 [2 5 ] + 3 [3 5 ] + 4 [4 5 ]+5 [5 5 ] +
[ 5 ]
5 = 1 4 + 2 3 + 3 2 + 4 1 + 5 0
=6
[ 6 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(6 )]
6 = 1 [1 6 ] + 2 [2 6 ] + 3 [3 6 ] + 4 [4 6 ]+5 [5 6 ] +
[ 6 ]
6 = 1 5 + 2 4 + 3 3 + 4 2 + 5 1
=7
[ 7 ] = [(1 1 + 2 2 + 3 3 + 4 4 + 5 5 + )(7 )]
7 = 1 [1 7 ] + 2 [2 7 ] + 3 [3 7 ] + 4 [4 7 ]+5 [5 7 ] +
[ 7 ]
7 = 1 6 + 2 5 + 3 4 + 4 3 + 5 2
1 = 1 1 + 2 2 + 3 3 + 4 4 + 5 5
=
0
0
= 0 0 = =1
0
1 1 0 +2 1 +3 2 +4 3 +5 4
= 1 1 = = = 1 + 2 1 + 3 2 + 4 3 + 5 4
0 0
2 1 1 +2 0 +3 1 +4 2 +5 3
= 2 2 = = = 1 1 + 2 + 3 1 + 4 2 + 5 3
0 0
3 1 2 +2 1 +3 0 +4 1 +5 2
= 3 3 = = = 1 2 + 2 1 + 3 + 4 1 + 5 2
0 0
4 1 3 +2 2 +3 1 +4 0 +5 1
= 4 4 = = = 1 3 + 2 2 + 3 1 + 4 + 5 1
0 0
5 1 4 +2 3 +3 2 +4 1 +5 0
= 5 5 = = = 1 4 + 2 3 + 3 2 + 4 1 + 5
0 0
= 1 1 + 2 2 + 3 3 + 4 4 + 5 5