Bai Giang CPPDB (Compatibility Mode)

Chng 1.
M U
1.1 Khi nim v phn loi d bo
1.2 Cc nguyn tc d bo
1.3 Tng quan v tiu chun la chn
phng php d bo
1.4 Cc phng php nh gi d bo
Chng 1
M U
1.1.1 Khi nim d bo
Chng 1
Ting Hy Lp progrosic ngha l bit trc
T c xa d bo c p dng trong cuc
sng hng ngy nhng mang nng mu sc
thn b tn gio.
Chng 1
Cc hin tng t nhin
Cc hin tng x hi
Cc hin tng v i sng x hi
Thi Hy lp c chia chia thnh cc lnh vc:
Chng 1
n th k XVI, XVII khi cc khoa hc t nhin
pht trin c bit l s xut hin cc hc
thuyt ca Marx th d bo t thn b kinh
nghim pht trin thnh b mn khoa hc c
lp.
Chng 1
Ngy nay vai tr ca d bo ngy cng c
khng nh v tng ln ng k trong mi lnh
vc ca i sng x hi.
Chng 1
D bo l s tin on c cn c khoa hc,
mang tnh cht xc sut v mc , ni dung,
cc mi quan h, trng thi, xu hng pht
trin ca i tng nghin cu hoc v cch
thc v thi hn t c cc mc tiu nht
nh ra trong tng lai
Chng 1
D bo bao gi cng c thi gian xc nh hay
tm xa ca d bo. Tm xa d bo l khong
cch ti a t hin ti n thi im pht biu
d bo
1.1.2 Phn loi d bo
Chng 1
- D bo kinh t
- D bo tin b khoa hc cng ngh
- D bo dn s v ngun nhn lc
- D bo x hi
- Do mi trng sinh thi
a. Theo i tng
Chng 1
- D bo ngn hn: c tm xa d bo t 1 3
nm, lm cn c cho vic xy dng v iu
chnh cc k hoch ngn hn. Sai s cho php
nn < 5%
b. Theo tm xa
- D bo tc nghip: c tm xa ngn, c th l
gi, ngy, tun, thng n di nm. Sai s
thng < 3%
Chng 1
- D bo trung hn: c tm xa t 5 - 7 nm, lm
cn c cho vic lp cc k hoch trung hn, k
hoch 5 nm. L d bo c vai tr rt quan
trng trong nn kinh t quc dn
Chng 1
- D bo di hn: c tm xa d bo t 10 20
nm, nhm cung cp thng tin v d liu cho
vic hoch nh cc chin lc pht trin kinh
t x hi di hn hay hnh thnh mt tm nhn
c tnh nh hng trong s pht trin lu di
ca t nc
- Ngoi ra cn c cc d bo siu di hn
Chng 1
- D bo vi m: l cc d bo cp n v nh
hay cc doanh nghip
c. Theo quy m, cp ca i tng
- D bo v m: l cc d bo v cc ch tiu
ln mang tnh tng hp bao hm ton b nn
kinh t, cc vng kinh t, cc ngnh
1.2.1 Nguyn tc lin h bin chng
Chng 1
Yu cu xem xt mi vn trong mt iu
kin v hon cnh c th, tnh n s ph
thuc ln nhau gia cc mt ca vn nghin
cu. ng thi phi tnh n c mi quan h
vi cc lnh vc khc...
1.2.2 Nguyn tc k tha lch s
Chng 1
S nghin cu su sc trng thi ca i
tng d bo trong qu kh v hin ti s l
c s tt, vng chc d bo cc xu hng
vn ng v pht trin ca i tng d bo
trong tng lai
1.2.3 Nguyn tc tnh c th v bn cht
ca i tng d bo
Chng 1
Phi tnh n c im, c th v bn cht
ca i tng d bo, tnh c th v nhng
quy lut pht trin ca n, gi tr tuyt i v gi
tr tnh ton ca gii hn pht trin trong tng
lai
1.2.4 Nguyn tc m t ti u i tng
d bo
Chng 1
i hi m t i tng d bo nh th no
nhm m bo s xc thc v chnh xc cho
trc ca d bo vi chi ph d bo thp nht
1.2.5 Nguyn tc v tnh tng t ca
i tng d bo
Chng 1
i hi khi phn tch phi thng xuyn so
snh nhng tnh cht ca i tng d bo vi
nhng i tng tng t bit v vi cc
m hnh ca cc i tng nhm tm ra i
tng tng t hoc mt s yu t ca m
hnh... ng dng vo d bo cho cc i
tng mi nhm tit kim chi ph v thi gian...
1.3.1 Tng quan v phng php d bo
Chng 1
1.3 Tng quan v tiu chun
la chn phng php d bo
L cc phng php da trn mi lin h
xy dng m hnh d bo
Vic xy dng m hnh ch yu da trn 2
phng php c bn l phn tch hi quy v
chui thi gian
a. Nhm cc phng php m hnh ha
Chng 1
c s dng trong trng hp cc s liu
thc nghim khng p ng c yu cu
nghin cu hoc i tng d bo khng th
nh lng hoc c th nh lng nhng rt
tn km
b. Nhm cc phng php chuyn gia
Chng 1
c thc hin trn c s thu thp x l cc
kin nh gi d bo ca cc chuyn gia ri
a ra kt qu d bo. Trong c s dng
cc cng c ton hc v logic m bo s
thng nht khch quan
Chng 1
c tin hnh theo 1 quy trnh lp nhm thc
hin vic xch li gn nhau gia cc phng n
nhn c t vic m phng theo m hnh trn
my tnh vi cc kin ca cc chuyn gia cho
ti khi t c s thng nht chp nhn c
c. Nhm cc phng php kt hp
1.3.2 Tiu chun la chn pp d bo
Chng 1
chnh xc ca d bo
Chi ph ca d bo
Tnh tng hp v kh nng ng dng ca pp
Thi gian d bo
C s d liu d bo
1.4.1 nh gi trc d bo
Chng 1
1.4 Cc phng php nh gi
d bo
Kim tra thng tin v tnh y , chnh xc,
ph hp vi mc tiu d bo, di chui
quan st, cu trc chui quan st
1.4.1 nh gi trc d bo
Chng 1
Kim tra cc bin tham s i din cho cc mi
quan h ca chng ti i tng d bo
Kim tra dng hm hoc m hnh d bo s
dng
1.4.2 nh gi sau d bo
Chng 1
: l gi tr thc t thi im t.
K hiu
: l gi tr d bo thi im t.
: l sai s d bo thi im t.
t
Y
t
Y
t
e
t t t
Y Y e

=
a. Sai s trung bnh
Chng 1
( )
n
Y Y
n
e
ME
n
t
t t
n
t
t
= =

= =
1 1
b. Sai s tuyt i trung bnh

Chng 1
n
Y Y
n
e
MAE
n
t
t t
n
t
t
= =

= =
1 1
c. Sai s bnh phng trung bnh

Chng 1
( )
n
Y Y
n
e
MSE
n
t
t t
n
t
t
= =

= =
1
2
1
2
d. Sai s phn trm tuyt i trung bnh

Chng 1
n
Y
Y Y
n
Y
e
MAPE
n
t
t
t
n
t
t
t
=
=
= =
1
1
e. Cn bc hai ca sai s bnh phng trung bnh

Chng 1
( )
n
Y Y
n
e
MSE RMSE
n
t
t t
n
t
t
= =

= = =
1
2
1
2
Chng 1
f. H s khng ngang bng Theils U
( )
( )
= =
2
1
2
t t
t t
NAIVE
NEW
Y Y
Y Y
RMSE
RMSE
U
: RMSE ca m hnh d bo
: RMSE ca m hnh d bo th
NAIVE
NEW
RMSE
RMSE
Chng 1
( )
( )
= =
2
1
2
t t
t t
NAIVE
NEW
Y Y
Y Y
RMSE
RMSE
U
: Tt hn MH d bo th
: Ngang vi MH d bo th
: Km MH d bo th
1
1
1
>
=
<
U
U
U
n Yt Yt^ et |et| et^2 |et/Yt|
1 30
2 39 30 9 9 81 0.230769
3 36 39 -3 3 9 0.083333
4 42 36 6 6 36 0.142857
5 38 42 -4 4 16 0.105263
6 57 38 19 19 361 0.333333
7 63 57 6 6 36 0.095238
8 59 63 -4 4 16 0.067797
9 70 59 11 11 121 0.157143
Tng 434 364 40 62 676 1.215734
Chng 1
1.5 Cc bc tin hnh d bo
Bc 1: Xc nh mc tiu d bo (i tng
d bo, khu vc d bo v khong thi gian
cn d bo)
Bc 2: Phn tch cc yu t nh hng n
i lng cn d bo
Chng 1
Bc 3: Thu thp v phn loi d liu
Bc 4: Phn tch xu hng tin trin ca i
lng cn d bo
Bc 5: Xc nh k thut (phng php) d
bo s s dng v tnh ton cc gi tr d bo
Chng 1
Bc 6: Kim tra tnh ph hp ca m hnh
Bc 7: Xc inh cc gi tr d bo
Chng 2
D BO BNG
PHN TCH HI QUY
2.1 Cc khi nim c bn
2.2 M hnh hi quy nhiu bin
2.3 c lng v kim nh gi thit
2.4 Phn tch hi quy v d bo
2.5 D bo bng MHHQ vi bin gi
Chng 2
D BO BNG PHN TCH HI QUY
2.1.1 Phn tch hi quy
Chng 2
2.1 Cc khi nim c bn
Nghin cu mi lin h ph thuc gia gi tr
ca mt bin Y - gi l bin ph thuc hay bin
c gii thch vi gi tr ca mt hoc nhiu
bin khc X
j
(j=1,..,m) cc bin ny gi l cc
bin c lp hay bin gii thch
Ta thng gi thit
Chng 2
2.1 Cc khi nim c bn
Bin ph thuc Y l bin ngu nhin, c quy
lut phn phi xc sut xc nh
Cc bin c lp X
j
khng phi l bin ngu
nhin, gi tr ca chng l xc nh
Phn tch hi quy gip ta:
Chng 2
2.1 Cc khi nim c bn
-c lng gi tr ca bin ph thuc Y khi
bit gi tr ca (cc) bin c lp X
j
- Kim nh gi thit v s ph thuc
- D bo gi tr trung bnh hoc c bit ca bin
ph thuc khi bit gi tr ca (cc) bin c
lp
2.1.2 M hnh hi quy tng th v m hnh
hi quy mu
Chng 2
2.1 Cc khi nim c bn
( 2.1 )
M hnh hi quy tng th (hm tng th - PRF)
l hm c dng tng qut
) ( ) / (
j i j i
X f X Y E =
Nu (2.1) biu din mi quan h gia bin ph
thuc Y v mt bin gii thch X th (2.1) c
gi l m hnh hi quy n hay m hnh hi quy
2 bin
Chng 2
2.1 Cc khi nim c bn
Nu s bin gii thch nhiu hn 1 th (2.1)
c gi l m hnh hi quy bi (hi quy nhiu
bin)
Chng 2
2.1 Cc khi nim c bn
( 2.2 )
l c lng ca E(Y / X
ji
)
l c lng ca f
M hnh hi quy mu (hm hi quy mu - SRF)
c th c biu din nh sau
) (
ji i
X f Y =
i
Y
2.1.3 Sai s ngu nhin

Chng 2
2.1 Cc khi nim c bn ca kinh t
lng
U
i
= Y
i
E(Y / X
ji
), j=1,..,m; i=1,..,n
U
i
c gi l sai s ngu nhin (nhiu ngu
nhin), biu th nh hng ca cc yu t khc
ngoi cc bin gii thch X
j
ti gi tr ca bin Y
2.1.3 Sai s ngu nhin
Chng 2
2.1 Cc khi nim c bn ca kinh t
lng
Khi hm hi quy tng th (2.1) c th biu
din di dng
i j i i
U X f Y + = ) (
2.2.1 M hnh hi quy nhiu bin
Chng 2
2.2 M hnh hi quy nhiu bin v
phng php bnh phng nh nht
i ki k i i i
U X X X Y + + + + + = | | | | ...
3 3 2 2 1
Trong :
Y
i
: gi tr ca bin ph thuc Y ( )
h s chn (h s t do)
h s gc (h s hi quy ring) ca bin
gii thch X
j
( j = )
U
i
: sai s ngu nhin
n i , 1 =
1
|
j
|
2, k
M hnh hi quy mu xy dng da trn mu
ngu nhin kch thc n
Chng 2
Trong :
c lng ca Y
i
( )
c lng ca h s hi quy tng th
n i , 1 =
ki k i i i
X X X Y | | | |

...

3 3 2 2 1
+ + + + =
{ } n i X X X Y
ki i i i
, 1 ), ,..., , , (
3 2
=
i
Y
j
|
) , 1 ( k j
j
= |
Ta k hiu
Chng 2
Th m hnh hi quy tng th c th biu din
di dng ma trn:
|
|
|
|
|
.
|
\
|
=
n
Y
Y
Y
Y
...
2
1
|
|
|
|
|
.
|
\
|
=
k
|
|
|
|
...
2
1
|
|
|
|
|
.
|
\
|
=
n
U
U
U
U
...
2
1
|
|
|
|
|
.
|
\
|
=
kn n n
k
k
X X X
X X X
X X X
X
... 1
... ... ... ... ...
... 1
... 1
3 2
2 32 22
1 31 21
U + = | X Y
Tng t, nu ta k hiu
Chng 2
Th m hnh hi mu cng c th biu din
di dng ma trn nh sau:
|
|
|
|
|
.
|
\
|
=
n
Y
Y
Y
Y
...
2
1
|
|
|
|
|
.
|
\
|
=
k
|
|
|
|
...
2
1
|
X Y
=
Cc gi thit c bn ca MHHQ nhiu bin
Chng 2
Gi thit 1. Cc bin gii thch X
j
(j = ) khng
phi bin ngu nhin, gi tr ca chng l xc
nh
2, k
Chng 2
Gi thit 2. K vng ton ca cc sai s ngu
nghin U
i
bng khng
Gi thit 3.
=
= o
=
) ( 0
) (
) . (
2
j i
j i
U U E
j i
) ( 0 ) / ( ) ( i X U E U E
i i
= =
Chng 2
Gi thit 4. Hng ma trn X bng k
rg(X) = k
Gi thit ny c ngha gia cc bin X
j
khng c
hin tng cng tuyn hay cc ct ca ma trn
X c lp tuyn tnh
Gi thit 5.
) ( ) , 0 ( ~
2
i N U
i
o
2.2.2 Phng php bnh phng nh nht
Xt hm hi quy tng th v hm hi quy mu
hoc dng ma trn
Chng 2
i ki k i i i
U X X X Y + + + + + = | | | | ...
3 3 2 2 1
ki k i i i
X X X Y | | | |

...

3 3 2 2 1
+ + + + =
U + = | X Y
|
X Y
=
Ta k hiu cc phn d e
i
:
Cc phn d ny cng c th biu din di
dng ma trn nh sau:
Chng 2
i i i
Y Y e

=
| = =
|
|
|
|
|
.
|
\
|
|
|
|
|
|
.
|
\
|
=
|
|
|
|
|
.
|
\
|
=

X Y Y
...
... ...
e
2
1
2
1
2
1
n
n n
Y
Y
Y
Y
Y
Y
e
e
e
Theo phng php bnh phng nh nht, khi
xy dng hm hi quy mu, cc h s hi quy
mu phi c xc nh sao cho tng bnh
phng cc phn d t gi tr nh nht, tc l:
Chng 2
mi n
2
i
e
j
|
Ta c
Gii phng trnh trn ta c:
Chng 2
e e e
T
i
=
2
0
) (
min
2
=
c
c

|
e e
e
T
i
( ) ) 3 . 2 ( .
1
Y X X X
T T

= |
Cng thc (2.3) l cng thc xc nh h s hi
quy mu theo phng php bnh phng nh
nht v cc c lng c xc nh theo
cng thc (2.3) c gi l cc c lng bnh
phng nh nht.
Chng 2
( ) ) 3 . 2 ( .
1
Y X X X
T T

= |
j
|
j
|
Ma trn X
T
X c xc nh nh sau:
Chng 2
|
|
|
|
|
.
|
\
|
|
|
|
|
|
.
|
\
|
=
kn n
k
k
kn k k
n
X X
X X
X X
X X X
X X X
... 1
... ... ... ...
... 1
... 1
...
... ... ... ...
...
1 ... 1 1
X X
2
2 22
1 21
2 1
2 22 21 T
|
|
|
|
|
.
|
\
|
=

2
3 2
2 3 2
2
2 2
3 2
...
... ... ... ... ...
...
...
ki i ki i ki ki
ki i i i i i
ki i i
X X X X X X
X X X X X X
X X X n
Ma trn X
T
Y cng c xc nh tng t:
Chng 2
|
|
|
|
|
.
|
\
|
=
|
|
|
|
|
.
|
\
|
|
|
|
|
|
.
|
\
|
=
ki i
i i
i
n kn k k
n
X Y
X Y
Y
Y
Y
Y
X X X
X X X
... ...
...
... ... ... ...
...
1 ... 1 1
Y X
2 2
1
2 1
2 22 21 T
Nghin cu mi quan h ph thuc gia doanh
s bn ra vi chi ph dnh cho qung co v
gi bn, ngi ta thu thp c cc s liu sau
y ti 10 ca hng cng kinh doanh mt loi
mt hng:
V D 2.1
Y
i
84 90 92 96 100 108 120 126 130 136
X
i
8 9 10 9 10 12 13 14 14 15
Z
i
9 8 8 7 7 8 7 7 6 6
Trong :
Y
i
: doanh s bn ra trong mt thng ca ca
hng th i (triu ng)
X
i
: chi ph dnh cho qung co trong mt thng
ca ca hng th i (triu ng)
Z
i
: gi bn ca ca hng th i (ngn
ng/1sn phm)
Bng phng php bnh phng nh nht v da
vo s liu trn, hy xy dng hm hi quy mu
di dng sau:
1 2 3
=| +| +|
i i i

Y X Z
p s:
1082
12746
7766
| |
| |
|
|
= =
|
|
|
|
\ .
\ .
i
T
i i
i i
Y
X Y YX
YZ
2
2
10 114 73
114 1356 816
73 816 541
i i
T
i i i i
i i i i
n X Z
X X X X XZ
Z ZX Z
| |
| |
|
|
= =
|
|
|
|
\ .
\ .

1 9 4 4
T
X X =
67740 2106 5964

2106 81 162
5964 162 564
T
A A A
X X A A A
A A A

| | | |
| |
= =
| |
| |
\ . \ .
11 21 31
12 22 32
13 23 33
( )

1
67740 2106 5964
1 1
2106 81 162
1944
5964 162 564
T T
T
X X X X
X X

| |
|
= =
|
|
\ .
( )
1
67740 2106 5964 1082 69 53704
1
2106 81 162 12746 6 08333
1944
5964 162 564 7766 4 20370
T T
,
X X .X Y ,
,

| || | | |
| | |
|= = =
| | |
| | |

\ .\ . \ .
69 53704 6 08333 4 20370
i i i
Y , , X , Z = +
: Khi gi bn khng i, chi ph
dnh cho qung co tng ln 1 triu ng, th
doanh s bn ra trung bnh ca ca hng tng
ln 6.08333 triu ng.
: Khi chi ph dnh cho qung co
khng i, gi bn tng ln 1ngn ng/ 1 v
sn phm, th doanh s bn ra trung bnh ca
ca hng gim xung 4.2037 triu ng.
ngha ca cc h s hi quy
2
608333 . | =
3
42037 . | =
Cc tnh cht ca c lng BPNN
1. ng hi quy mu i qua im trung bnh
mu , tc l:
trong :
Chng 2
k
k
X X Y | | |

...

2
2 1
+ + + =
) ,... , ( 2 k X X Y
=
i
Y
n
Y
1
) , 2 (
1
k j X
n
X
ji
j = =

2. Gi tr trung bnh ca cc gi tr c xc nh
theo hm hi quy mu bng gi tr trung bnh ca
bin ph thuc, tc l:
3. Tng cc phn d ca hm hi quy mu bng 0:
Chng 2
Y Y
n
Y
i
= =

1
0 =
i
e
i
Y
4. Cc phn d e
i
khng tng quan vi :
5. Cc phn d e
i
khng tng quan vi :
Chng 2
i
Y
j i
X
0
=
i i
Y e
) , 2 ( 0 k j X e
ji i
= =
6. (nh l Gauss Markov): Vi cc gi thit

ca m hnh hi quy tuyn tnh c in th cc
c lng bnh phng nh nht l cc c
lng tuyn tnh, khng chch v c phng sai
nh nht trong lp cc c lng tuyn tnh,
khng chch ca .
Chng 2
j
|
) , 1 ( k j
j
= |
Xt hm hi quy tng th v hm hi quy
mu
Chng 2
2.3 Khong tin cy v kim nh gi
thit v cc h s hi quy
i ki k i i i
U X X X Y + + + + + = | | | | ...
3 3 2 2 1
ki k i i i
X X X Y | | | |

...

3 3 2 2 1
+ + + + =
Chng 2
C th chng minh c rng:
trong A
jj
l phn t th j trn ng cho
chnh ca ma trn
jj
T
j
A
X X
Var
2
)
(
o
| =
*
) ( X X
T
Chng 2
Trong thc hnh khi s dng cng thc ny, do
phng sai cha bit, nn ngi ta thng
thay bng c lng khng chch ca n l:
k n
e
i
=

2
2
o
2
o
Chng 2
c xc nh bng cng thc :
Nu khai trin cng thc trn, ta c:
Y X Y Y e e e
T T T T
i
|
2
= =
( )

+ + + =
ki i k i i i i i
X Y X Y Y Y e | | |

...

2 2 1
2 2
2
i
e
2.3.1 Khong tin cy ca cc h s hi quy
Chng 2
Do ta cha bit m phi thay bng c lng
khng chch ca n l , nn
) , 1 ( ) ( ~
)
k j k n T
se
T
j
j j
=
=
|
| |
2
o
2
o
Chng 2
) , 1 ( ) ( ~
)
k j k n T
se
T
j
j j
=
=
|
| |
o
|
| |
o
=
|
|
.
|
\
|
<
1 ) (
)
2
k n t
se
P
j
j j
o | | | | |
o o
= =
|
|
.
|
\
|
+ < < 1 )
( ). (
( ). (
2 2
j j j j j
se k n t se k n t P
|
|
.
|
\
|
+ )
( ). (
; )
( ). (
2 2
j j j j
se k n t se k n t | | | |
o o
2.3.2 Kim nh gi thit v cc h s hi quy
Chng 2
Gi s vi mc ngha o cho trc ta cn kim
nh gi thit:
> < =
=
) , ( :
:
* * *
1
*
0
j j j j j j
j j
H
H
| | | | | |
| |
2.3.2 Kim nh gi thit v cc h s hi quy
Chng 2
Ta xy dng tiu chun kim nh
)
*
j
j j
se
T
|
| |
=
Nu H
0
ng th T~T(n-k)
Chng 2
Loi gt H0 H1 W
Hai pha
Tri
Phi
*
j j
| | =
*
j j
| | =
*
j j
| | =
*
j j
| | =
*
j j
| | <
*
j j
| | >
{ } ) ( :
2 /
k n t t t W
tn tn
> =
o o
{ } ) ( : k n t t t W
tn tn
< =
o o
{ } ) ( : k n t t t W
tn tn
> =
o o
2.4.1 H s xc nh bi
Chng 2
2.4 Phn tch phng sai v kim nh
gi thit ng thi
Xt hm hi quy tng th v hm hi quy mu:
i ki k i i i
U X X X Y + + + + + = | | | | ...
3 3 2 2 1
ki k i i i
X X X Y | | | |

...

3 3 2 2 1
+ + + + =
Tng t trng hp hi quy 2 bin ta c h
thc sau:
Chng 2
gi thit ng thi
=
2
) ( . 1 Y Y TSS
i

= =
2 2
)
( )

( . 2 Y Y Y Y ESS
i i
=
2
)
( . 3
i i
Y Y RSS
TSS ESS RSS = +
nh ngha: H s xc nh bi R
2
c nh ngha nh sau:
R
2
=
Chng 2
gi thit ng thi
1
E SS RSS
T SS T SS
=
Trong thc hnh ta c th s dng cng thc:
Chng 3
gi thit ng thi
2
T
2
T T
2
Y n Y Y
Y n Y X
|
=
2
2
2
2 2 1
2
...

Y n Y
Y n X Y X Y Y
R
i
ki i k i i i
+ + +
=

| | |
Nu khai trin ta c
1. 0 s R
2
s 1
- Nu R
2
= 1, hm hi quy c th coi l hon ho
- Nu R
2
= 0, hm hi quy a ra l khng ph hp
V th R
2
c dng lm thc o mc ph hp
ca hm hi quy
2. R
2
l hm khng gim, ph thuc vo s bin
gii thch c trong m hnh
Chng 3
gi thit ng thi
2.4.2 Kim nh gi thit ng thi
Xt gi thit
hay gi thit tng ng l
Chng 2
gi thit ng thi
= = -
= = = =
) , ( :
... :
k j s h mt nht t H
H
j
k
2 0
0
1
3 2 0
|
| | |
>
=
0 :
0 :
2
1
2
0
R H
R H
Ta xy dng tiu chun kim nh:
Chng 2
gi thit ng thi
1
.
1
2
2
=
k
k n
R
R
F
Nu H
0
ng th F~F(k-1, n-k)
{ } ) , 1 ( : k n k f f f W
tn tn
> =
o o
o
o
= > )) , 1 ( ( k n k f F P
Xt hm hi quy tng th v hm hi quy mu
hoc dng ma trn
Chng 2
i ki k i i i
U X X X Y + + + + + = | | | | ...
3 3 2 2 1
ki k i i i
X X X Y | | | |

...

3 3 2 2 1
+ + + + =
U + = | X Y
|
X Y
=
Bi ton t ra: vi cc gi tr cho trc ca bin
gii thch X
2
=X
20
, X
3
=X
30
, ..., X
k
=X
k0
hoc c th
k hiu
cn d bo gi tr trung bnh E(Y/X
0
) hoc gi tr
c bit Y=Y
0
khi X=X
0
Chng 2
|
|
|
|
|
|
.
|
\
|
=
0
30
20
0
1
k
X
X
X
X
...
2.5.1 D bo gi tr trung bnh
Chng 2
0 30 3 20 2 1 0 0
...

.
k k
T
X X X X Y | | | | | + + + + = =
Vi tin cy = 1 o cn d bo E(Y/X
0
)
c lng im ca E(Y/X
0
) l:
Do cha bit nn thng k
Chng 2
2
o
) ( ~
)
(
) / (
0
0 0
k n T
Y se
X Y E Y
T
=
) (
2 /
k n t
o
ta tm gi tr phn v sao cho:
( ) o
o
= = < 1 ) (
2 /
k n t T P
Chng 2
o
o
= =
|
|
.
|
\
|
<
1 ) (
)
(
) / (
2 /
0
0 0
k n t
Y se
X Y E Y
P
( ) o
o o
= = + < < 1 )
( ). (
) / ( )
( ). (
0 2 / 0 0 0 2 / 0
Y se k n t Y X Y E Y se k n t Y P
( ) )
( ). (
; )
( ). (
0 2 / 0 0 2 / 0
Y se k n t Y Y se k n t Y +
o o
( ) o
o
= = < 1 ) (
2 /
k n t T P
Chng 2
0
1
0
2
0 0 0
) .( . ).
cov( . )
( X X X X X X Y Var
T T T
= = o |
0
1
0 0 0
) .( )
( )
( X X X X Y Var Y se
T T
= = o
Trong
2.5.2 D bo gi tr c bit
Chng 2
0 30 3 20 2 1 0 0
...

.
k k
T
X X X X Y | | | | | + + + + = =
Vi tin cy cn d bo gi tr Y=Y
0
khi X=X
0
c lng im ca Y
0
vn l:
Hon ton tng t ta xy dng thng k
Chng 2
) ( ~
)
0 0
0 0
k n T
Y Y se
Y Y
T
=
( ) )
( ). (
; )
( ). (
0 0 2 / 0 0 0 2 / 0
Y Y se k n t Y Y Y se k n t Y +
o o
Bng php bin i tng ng ta cng suy
ra c khong tin cy ca Y
0
l
Chng 2
2
0 0 0
)
( )
( o + = Y Var Y Y Var
)
( )
(
0 0 0 0
Y Y Var Y Y se =
Trong
Chng 2
V d: Xt tip v d 2. Vi tin cy = 0,98
hy d bo doanh s bn ra trung bnh trong
mt thng ca cc ca hng c chi ph dnh
cho qung co l 10 triu ng/ thng v gi
bn l 8 ngn ng/ .v.
Chng 2
Xt tip v d 2. Vi tin cy = 0,98 hy d
bo doanh s bn ra trong mt thng ca ca
hng c chi ph dnh cho qung co l 10 triu
ng/ thng v gi bn l 8 ngn ng/ .v.
2.6.1 Khi nim v bin gi
Chng 2
2.6 M hnh hi quy vi bin gi
Bin cht lng: Biu th nhng thuc tnh
no (v d: gii tnh, ngh nghip)
Bin s lng: Gi tr ca cc bin c
biu th bng s (v d: thu nhp, doanh s)
Chng 2
biu th mc nh hng ca cc bin
cht lng ti bin ph thuc, ta cn lng ha
cc tiu thc, thuc tnh ny bng cch s
dng bin gi
Chng 2
VD: biu th gii tnh, ta s dng bin gi Z
v quy c:
- Z = 0 Nam
- Z = 1 N
Vy bin gi l g? L bin cht lng c
lng ha, cc gi tr c th c ca bin gi ch
l 2 gi tr 0 v 1. N ch ra c hay khng c
mt thuc tnh no .
2.6.2 MHHQ vi bin cht lng c 2 phm tr
Chng 2
Gi s mt x nghip sn xut c th p dng 2
cng ngh sn xut A v B, nng sut ca mi
cng ngh l LNN phn phi theo quy lut
chun c phng sai bng nhau, nhng k
vng ton c th khc nhau
Chng 2
) 1 . 4 (
2 1 i i i
U Z Y + + = | |
Trong :
Y
i
: nng sut ca x nghip
U
i
: sai s ngu nhin
Z
i
: bin gi biu th cng ngh sn xut c
p dng v c th quy c:
- Z
i
= 0 cng ngh sn xut A
- Z
i
= 1 cng ngh sn xut B
Chng 2
c lng MHHQ (4.1) ta cng s tin hnh
tng t i vi MHHQ 2 bin thng thng
Y
i
22 19 18 21 18.5 21 20.5 17 17.5 21.5
Z
i
1 0 0 1 0 1 1 0 0 1
Chng 2
c lng MHHQ (4.1) ta cng s tin hnh
tng t i vi MHHQ 2 bin thng thng
2 , 3
5 , 2
8
2
2
= = =
i
i i
z
z y
|
18 5 , 0 2 , 3 6 , 19

2 1
= = = x Z Y | |
i i
Z Y 2 , 3 18
+ =
Chng 2
Vi gi thit E(U
i
) = 0 c tha mn th
) 3 . 4 ( ) 1 / (
) 2 . 4 ( ) 0 / (
2 1
1
| |
|
+ = =
= =
i i
i i
Z Y E
Z Y E
-(4.3) cho bit khi p dng cng ngh sn xut
B, nng sut trung bnh ca x nghip l |
1 +
|
2
-(4.2) cho bit khi p dng cng ngh sn xut
A, nng sut trung bnh ca x nghip l |
1
Chng 2
Vi gi thit E(U
i
) = 0 c tha mn th
) 3 . 4 ( ) 1 / (
) 2 . 4 ( ) 0 / (
2 1
1
| |
|
+ = =
= =
i i
i i
Z Y E
Z Y E
- Nh vy |
2
l s chnh lch (khc nhau) v
nng sut khi chuyn t cng ngh sn xut A
sang cng ngh sn xut B
Chng 2
Tr li v d va ri:
i i
Z Y 2 , 3 18
+ =
Nng sut trung bnh khi p dng cng ngh
sn xut B l 18 + 3,2 = 21,2 (vsp)
Nng sut trung bnh khi p dng cng ngh
sn xut A l 18 (vsp)
2.6.3 MHHQ vi bin cht lng c nhiu hn
2 phm tr
Chng 2
Nu k hiu s phm tr l m th s bin gi cn
a vo m hnh ( lng ha bin cht
lng) s l m 1
Chng 2
Gi s x nghip n ngoi cng ngh sn xut
A v B cn c th p dng cng ngh sn xut
C, khi ta cn s dng 2 bin gi l Z
1i
v Z
2i
v m hnh hi quy tng th s c dng sau:
) 4 . 4 (
2 3 1 2 1 i i i i
U Z Z Y + + + = | | |
Chng 2
Y
i
: bin ph thuc (nng sut)
U
i
: sai s ngu nhin
Z
1i
, Z
2i
: bin gi biu th cc cng
ngh sn xut c p dng
) 4 . 4 (
2 3 1 2 1 i i i i
U Z Z Y + + + = | | |
Z
1i
Z
2i
A 0 0
B 1 0
C 0 1
Chng 2
Vi gi thit E(U
i
) = 0 c tha mn th
3 1 2 1
2 1 2 1
1 2 1
) 1 , 0 / (
) 0 , 1 / (
) 0 / (
| |
| |
|
+ = = =
+ = = =
= = =
i i i
i i i
i i i
Z Z Y E
Z Z Y E
Z Z Y E
Chng 2
- Nng sut trung bnh ca x nghip khi p
dng cng ngh sn xut B l |
1 +
|
2
-Nng sut trung bnh ca x nghip khi p
dng cng ngh sn xut A l |
1
- Nng sut trung bnh ca x nghip khi p
dng cng ngh sn xut C l |
1 +
|
3
Chng 2
-
2
: chnh lch (khc nhau) v nng sut khi
chuyn t CNSX A sang CNSX B
-
3
: chnh lch (khc nhau) v nng sut khi
chuyn t CNSX A sang CNSX C
3 1 2 1
2 1 2 1
1 2 1
) 1 , 0 / (
) 0 , 1 / (
) 0 / (
| |
| |
|
+ = = =
+ = = =
= = =
i i i
i i i
i i i
Z Z Y E
Z Z Y E
Z Z Y E
Chng 2
H
0
: |
2
= |
3
= 0
) 4 . 4 (
2 3 1 2 1 i i i i
U Z Z Y + + + = | | |
Nu mc ngha o no ta khng bc b
c H
0
th iu ny c ngha ( mc ngha o
) cc cng ngh sn xut khc nhau cho nng
sut nh nhau
Chng 2
Ch
Phm tr c s hiu theo ngha l vic so snh
c tin hnh vi phm tr ny
Phm tr ng vi cc gi tr bng 0 ca cc bin
gi c gi l phm tr c s.
2.6.4 MHHQ vi nhiu bin cht lng
Chng 2
Gi s MHHQ c k bin gii thch l bin cht
lng, s phm tr ca X
j
l m
j
Tng s bin gi cn thit biu th cc bin
cht lng cn a vo m hnh s l:
) ( 1
j
m
Chng 2
Xt m hnh hi quy biu th nhu cu v may
mc ca nam, n thanh nin thuc cc ngh
nghip khc nhau: cng nhn, nng dn, tiu
thng, sinh vin.
S bin gi cn a vo m hnh s l:
(2 1) + (4 1) = 4
Chng 2
Z
1i
Z
2i
Z
3i
Z
4i
Nam SV 0 0 0 0
N SV 1 0 0 0
Nam CN 0 1 0 0
N CN 1 1 0 0
Nam ND 0 0 1 0
N ND 1 0 1 0
Nam TT 0 0 0 1
N TT 1 0 0 1
2.6.5 MHHQ hn hp
Chng 2
L m hnh hi quy m trong c c bin s
lng ln bin cht lng, bin cht lng s
c biu th bng bin gi theo quy tc nh
ni trn.
2.6.5 MHHQ hn hp
Chng 2
Vic phn tch hi quy mi quan h gia bin
ph thuc vi cc bin gii thch (bao gm c
bin s lng v bin gi), c tin hnh
tng t nh i vi m hnh hi quy nhiu
bin
iu tra v mc chi tiu cho may mc ca
nam, n cng nhn mt nh my, ngi ta
thu c s liu sau:
V D 3
3.0 4.0 3.5 4.5 4.0 4.5 4.0 5.5
2.5 2.5 3.0 3.0 3.5 3.5 4.0 4.0
0 1 0 1 0 1 0 1
i
Y
i
X
i
Z
Trong :
Y
i
: mc chi tiu cho may mc trong mt nm
(triu ng)
X
i
: mc thu nhp trong mt thng (triu ng)
Z
i
: l bin gi biu th gii tnh, trong :
Z
i
= 0: nam Z
i
= 1: n
Bng phng php bnh phng nh nht v da
vo s liu trn, hy xy dng hm hi quy mu
di dng sau:
1 2 3
=| +| +|
i i i

Y X Z
: Nu cng gii tnh, khi thu nhp
tng thm 1 triu ng/ thng th chi tiu trung
bnh cho may mc s tng thm 0,8 triu ng/
nm.
: Nu cng thu nhp, th n cng
nhn chi tiu cho may mc trung bnh nhiu hn
nam l 1,0 triu ng/ nm.
ngha ca cc h s hi quy
i i i
Z X Y + + = 8 , 0 025 , 1
8 , 0
2
= |
0 , 1
3
= |
2.6.6 ng dng ca MHHQ vi bin gi
Chng 2
So snh 2 hi quy
Phn tch thi v
Hi quy tuyn tnh tng on
Chng 3
CHUI THI GIAN V D BO
TRN CHUI THI GIAN
3.1 Chui thi gian
3.2 D bo trn chui thi gian
Chng 3
CHUI THI GIAN V D BO TRN
CHUI THI GIAN
3.1.1 Khi nim chui thi gian
Chng 3
3.1 Chui thi gian
Chui thi gian l tp hp cc gi tr ca mt
bin ngu nhin (ch tiu thng k) c sp
xp theo th t thi gian: ngy, tun thng, qu
nm,
c k hiu bng cc ch ci Y
t
, X
t
, Z
t
Chng 3
3.1 Chui thi gian
Phn tch chui thi gian l s dng cc
phng php thng k khc nhau lm r
cu trc (cc thnh phn) ca chui thi gian
trong s bin ng ca n
Chng 3
3.1 Chui thi gian
- Thnh phn xu th (Tr T)
Chui thi gian thng cha 4 thnh phn:
- Thnh phn chu k (Cl C)
- Thnh phn ma (Sn S)
- Thnh phn ngu nhin (Ir I)
Chng 3
3.1 Chui thi gian
Chui thi k: l chui s biu hin bin ng
ca ch tiu nghin cu qua tng thi k
Chui thi im: l chui s liu biu hin
bin ng ca ch tiu nghin cu qua cc thi
im nht nh
Chng 3
3.1 Chui thi gian
Cc mc trong chui thi k c th cng li
vi nhau qua thi gian, phn nh mc ca
ch tiu nghin cu trong 1 thi k di hn (vd:
sn lng c ph)
Cc mc trong chui thi im khng th
cng li theo thi gian v con s ny khng
ngha (vd: gi vng)
3.1.2 Cc i lng m t chui thi gian
Chng 3
3.1 Chui thi gian
Vi chui thi k, th:
a. Trung bnh theo thi gian
n
Y
Y
n
i
i
=
=
1
3.1.2 Cc i lng m t chui thi gian
Chng 3
3.1 Chui thi gian
Vi chui thi im, th:
a. Trung bnh theo thi gian
1
2
1
...
2
1
2 1
+ + +
=
n
Y Y Y
Y
n
i
n
i
i i
t
t Y
Y
=
=
1
Chng 3
3.1 Chui thi gian
Lng tng (gim) tuyt i lin hon
b. Lng tng (gim) tuyt i
) , 2 (
1
n i Y Y
i i i
= =

o
Lng tng (gim) tuyt i nh gc
) , 2 (
1
n i Y Y
i i
= = A
Chng 3
3.1 Chui thi gian
) , 2 (
1
n i Y Y
i i i
= =

o
) , 2 (
1
n i Y Y
i i
= = A
n
n
i
i
A =
=2
o
Ta thy
Chng 3
3.1 Chui thi gian
1 1 1
1 2
A
=
=

=
n
Y Y
n n
n n
n
i
i
o
o
Lng tng (gim) tuyt i trung bnh
i lng ny ch c ngha khi cc lng tng
(gim) tuyt i lin hon xp x nhau, ngha l
trong sut thi k nghin cu, hin tng tng
(gim) vi mt lng tng i u
Chng 3
3.1 Chui thi gian
Tc pht trin lin hon
c. Tc pht trin
) , 2 (
1
n i
Y
Y
t
i
i
i
= =
Tc pht trin nh gc
) , 2 (
1
n i
Y
Y
T
i
i
= =
Chng 3
3.1 Chui thi gian
Ta thy
i
i
i
t
T
T
=
1
n
n
i
i
T t =
[
=2
Chng 3
3.1 Chui thi gian
Tc pht trin trung bnh
1
1
1
2
=
= =
[
n
n
n
n
i
i
Y
Y
t t
i lng ny ch c ngha khi cc tc pht
trin lin hon xp x nhau, ngha l trong sut
thi k nghin cu, ch tiu pht trin vi mt
tc tng i u
Chng 3
3.1 Chui thi gian
Tc tng (gim) lin hon
d. Tc tng (gim)
) , 2 ( 1
1 1
1
n i t
Y Y
Y Y
a
i
i
i
i
i i
i
= = =
o
Tc tng (gim) nh gc
) , 2 ( 1
1 1
1
n i T
Y Y
Y Y
A
i
i i
i
= =
A
=
=
Chng 3
3.1 Chui thi gian
Tc tng (gim) trung bnh
1 = t a
Chng 3
3.1 Chui thi gian
e. Tr tuyt i ca 1% tng (gim) lin hon
100
100
(%)
1
1
1
1

= =
i
i
i i
i i
i
i
i
Y
Y
Y Y
Y Y
a
g
o
3.2.1 Cc phng php d bo n gin
Chng 3
Vd: Mt quy bo d kin s ly bao nhiu t
bo Tui Tr vo ngy mai c th cn nhc
trong ngy hm nay tiu th ht bao nhiu
a. M hnh d bo th n gin
) 1 . 3 (
1 t t
Y Y =
+
Chng 3
M hnh ny c p dng trong trng hp
thiu d liu qu kh, v n ch da trn cc
thng tin sn c gn nht
Chng 3
: gi tr d on thi im n + L
: gi tr thc t thi im n
: lng tng (gim) tuyt i trung bnh
: tm xa d bo
b. D bo bng lng tng (gim) tuyt i trung bnh
) 2 . 3 (
L Y Y
n L n
o + =
+
L
Y
Y
n
L n
o
+
Chng 3
Phng php ny c s dng khi bin ng
ca hin tng c lng tng (gim) tuyt i
lin hon xp x nhau.
b. D bo bng lng tng (gim) tuyt i trung bnh
) 2 . 3 (
L Y Y
n L n
o + =
+
Chng 3
: gi tr d on thi im n + L
: tc pht trin trung bnh
: tm xa d bo
c. D bo bng tc pht trin trung bnh
( ) ) 3 . 3 (
L
n L n
t Y Y =
+
L
t
Y
Y
n
L n+
Chng 3
Phng php ny c s dng khi bin ng
ca hin tng c tc pht trin lin hon xp
x nhau.
c. D bo bng tc pht trin trung bnh
( ) ) 3 . 3 (
L
n L n
t Y Y =
+
Chng 3
: gi tr d on thi im n + 1
: khong trt, thng chn l 3, 4, 5,
d. D bo bng phng php trung bnh trt
) 4 . 3 (
...
1 1
1
k
Y Y Y
Y
k n n n
n
+
+
+ + +
=
k
Y
Y
n
n 1
+
Chng 3
Xu th l s vn ng tng hay gim ca d liu
trong mt thi gian di. S vn ng ny c th
c m t bng mt ng thng hay ng
cong ton hc
C th m hnh ha xu th bng cch thc hin
mt hm hi quy thch hp gia bin cn d bo
Y v thi gian T
3.2.2 D bo bng cc MH xu th
Chng 3
t t
U T Y + + =
2 1
| |
t t
U T T Y + + + =
2
3 2 1
| | |
t t
U T T T Y + + + + =
3
4
2
3 2 1
| | | |
Mt s dng hm xu th in hnh
Chng 3
t t
U T Y + + = ) ln(
2 1
| |
t t
U
T
Y + + = )
1
(
2 1
| |
t
U T
t
e Y
+ +
=
2 1
| |
t t
U T Y + + =
2 1
) ln( | |
Mt s dng hm xu th in hnh
Chng 3
D bo im vi hm xu th
T Y
t 2 1

| | + =
2
3 2 1

T T Y
t
| | | + + =
3
4
2
3 2 1

T T T Y
t
| | | | + + + =
Chng 3
) ln(

2 1
T Y
t
| | + =
)
1
(

2 1
T
Y
t
| | + =
2
2
2
2
2 1
)
ln(

o o
| | + + +
= =
t
Y T
t
e e Y
T Y
t 2 1

)
ln( | | + =
D bo im vi hm xu th
Chng 3
L ng dng m rng ca phng php trung
bnh trt:
3.2.2 D bo bng pp san m
Trung bnh trt da vo k quan st gn nht
Da vo gi tr trung bnh trt vi trng s gim
dn cho tt c cc quan st trong qu kh
Chng 3
: gi tr d on thi im t + 1
: gi tr d on thi im t
: gi tr quan st thi im t
: h s san m
a. San m n gin
( ) ) 5 . 3 (
1 t t t
Y Y Y o o + =
+
o
t
t
t
Y
Y
Y
1 +
Chng 3
a. San m n gin
Phng php san m n gin cho rng gi tr
d bo mi l mt gi tr trung bnh c trng s
gia gi tr thc t v gi tr d bo thi im t
( ) ) 5 . 3 (
1 t t t
Y Y Y o o + =
+
Chng 3
Nu dy s c nhiu bin i bt thng ta nn
chn gn 0 v ngc li nn chn gn 1 nu
mun kt qu d bo kt hp vi nhng thay i
gn nht trong s liu.
Yu t quan trng nht trong phng php san
m l vic xc nh h s san m .
Chng 3
b. San m Holt
Hu ht cc chui d liu kinh t him khi theo
mt xu th c nh
Khi chui thi gian c yu t xu th (cc b) th ta
cn phi d bo c gi tr trung bnh (gi tr san
m) v dc (xu th) hin ti lm c s cho
d bo tng lai.
Chng 3
Khi chui thi gian c yu t xu th (cc b) th ta
cn phi d bo c gi tr trung bnh (gi tr san
m) v dc (xu th) hin ti lm c s cho
d bo tng lai.
Chng 3
tng c bn ca phng php Holt l s
dng cc h s san m , khc nhau c
lng gi tr trung bnh v dc ca chui thi
gian (theo m hnh san m n gin)
Chng 3
: gi tr san m (mi) thi im t
: h s san m ca gi tr trung bnh (0<o<1)
: gi tr c lng xu th
1 . 6 . 3 ) )( 1 (
1 1
+ + =
t t t t
T L Y L o o
t
t
t
T
Y
L
o
c lng gi tr trung bnh hin ti
Chng 3
: gi tr c lng xu th
: gi tr san m mi
: h s san m ca gi tr xu th (0< | <1) |
t
t
L
T
c lng xu th ( dc)
2 . 6 . 3 ) 1 ( ) (
1 1
+ =
t t t t
T L L T | |
Chng 3
: gi tr d on thi im t+p
: gi tr c lng xu th
: gi tr san m mi
t
t
p t
L
T
Y
+
D bo p giai on trong tng lai

) 3 . 6 . 3 (
t t p t
pT L Y + =
+
Chng 3
c. San m Holt-Winter
L m rng ca san m Holt i vi cc d liu
c cha yu t ma.
Yu t ma trong chui thi gian c th thuc
dng cng tnh hoc nhn tnh.
Chng 3
Dng cng tnh: c ngha l yu t ma cc
nm khc nhau c lp i lp li mt cch u
n.
Dng nhn tnh: c ngha l yu t ma nm
sau c lp i lp li nhng vi mt cng
cao hn hoc thp hn so vi tng ma trong
nm trc.
Chng 3
M hnh san m Holt Winter tng qut nht l
m hnh dng nhn tnh
Chng 3
: gi tr san m (mi) thi im t
: h s san m ca gi tr trung bnh (0 < o < 1)
: gi tr c lng xu th
: gi tr c lng ca ch s ma vi di s
1 . 7 . 3 ) )( 1 (
1 1
+ + =
t t
s t
t
t
T L
S
Y
L o o
s t
t
t
t
S
T
Y
L
o
c lng gi tr trung bnh hin ti
Chng 3
: gi tr c lng xu th
: gi tr san m mi
: h s san m ca gi tr xu th (0< | <1) |
t
t
L
T
c lng xu th ( dc)
2 . 7 . 3 ) 1 ( ) (
1 1
+ =
t t t t
T L L T | |
Chng 3
: gi tr c lng ca ch s ma
: gi tr san m mi
: gi tr quan st ti thi im t
: h s san m ca ch s ma
t
t
t
Y
L
S
c lng gi tr ch s ma
3 . 7 . 3 ) 1 (
s t
t
t
t
S
L
Y
S

+ =
Chng 3
: gi tr d on thi im t+p
: gi tr c lng xu th
: gi tr san m mi
: gi tr c lng ca ch s ma
t
t
t
p t
S
L
T
Y
+
D bo p giai on trong tng lai

) 4 . 7 . 3 ( ) (
p s t t t p t
S pT L Y
+ +
+ =
Chng 3
Khng phi khi no d bo bng m hnh xu th
cng c p dng n gin nh trnh by
trong phn trc
3.2.4 D bo bng pp phn tch
Thc t d liu nhiu khi khng ch tng gim
theo thi gian m cn bin i theo ma
Chng 3
- Thnh phn xu th (Tr T)
Chui thi gian thng cha 4 thnh phn:
- Thnh phn chu k (Cl C)
- Thnh phn ma (Sn S)
- Thnh phn ngu nhin (Ir I)
Chng 3
Khi nghin cu cc thnh phn ca mt chui
thi gian, cn xem xt cc thnh phn ny lin
quan nh th no vi chui d liu gc Y
C 2 m hnh th hin mi quan h ny l m
hnh cng tnh v m hnh nhn tnh
Chng 3
M hnh nhn tnh (Multiplicative compoments
models):
Y
t
= Tr
t
. Cl
t
. Sn
t
. Ir
t
M hnh cng tnh (Additive compoment models)
Y
t
= Tr
t
+ Cl
t
+ Sn
t
+ Ir
t
Chng 3
Y
t
= Tr
t
. Cl
t
. Sn
t
. Ir
t
M hnh nhn tnh s ph hp khi s bin thin
ca chui thi gian tng dn theo th t thi
gian. C ngha l cc gi tr ca chui tri rng ra
khi xu th tng dn v tp hp cc quan st c
dng hnh ci loa hay hnh phu.
Chng 3
Y
t
= Tr
t
+ Cl
t
+ Sn
t
+ Ir
t
M hnh cng tnh c hiu qu khi chui d liu
ang c phn tch c s bin thin xp x u
nhau sut di ca chui thi gian. C ngha l
cc gi tr ca chui thi gian v c bn nm
trong mt di gi tr c rng l mt hng s v
trung tm ca di ny l ng xu th.
40
80
120
160
200
240
03Q1 03Q3 04Q1 04Q3 05Q1 05Q3 06Q1 06Q3
Y
4000
5000
6000
7000
8000
9000
1996 1997 1998 1999
Y
m hnh nhn tnh m hnh cng tnh
Chng 3
Vi m hnh nhn tnh, ta s dng t l trung bnh
trt
Vi m hnh cng tnh, ta s dng chnh lch so
vi trung bnh trt
Chng 3
a. D bo bng m hnh nhn tnh
Bc 1. Tnh trung bnh trung tm (CMA)
+ + + +
+ + + +
=
+ +
+
qu
Y Y Y Y Y
thng
Y Y Y
CMA
t t t t t
t t t
t
4
5 . 0 5 . 0
12
5 . 0 ... ... 5 . 0
1 1 1 2
6 6
Chng 3
CMA bao gm xu th v chu k kt hp li
+ + + +
+ + + +
=
+ +
+
qu
Y Y Y Y Y
thng
Y Y Y
CMA
t t t t t
t t t
t
4
5 . 0 5 . 0
12
5 . 0 ... ... 5 . 0
1 1 1 2
6 6
Chng 3
Bc 2. Tnh t l
t t t
CMA Y / = t
Do Y
t
= Tr
t
. Cl
t
. Sn
t
. Ir
t
nn
t t t
Ir Sn = t
Chng 3
Bc 3. Tnh ton cc ch s ma v
Nu chui d liu theo thng, ch s ma i
m
cho
thng m bng trung bnh ca vi cc quan st
ch cho nhng thng m (mi nm c 1 thng m)
Nu chui d liu theo qu, ch s ma i
q
cho qu
q bng trung bnh ca vi cc quan st ch cho
nhng qu q (mi nm c 1 qu q)
t
t
t
t
Chng 3
qu
thng
Bc 4. iu chnh cc ch s ma tch ca
chng bng 1 bng cch tnh cc nhn t ma Sn
nh sau
12
1 2 3 12
...
m
m
i
Sn
i i i i
=
4
1 2 3 4
q
q
i
Sn
i i i i
=
Chng 3
Bc 5. Chui d liu iu chnh yu t ma:
Y
t
/Sn
t
= Tr
t
.Cl
t
.Ir
t
Ta gi nh khng c yu t chu k v yu t
ngu nhin b trit tiu khi tnh trung bnh nhm
tm ra ch s ma bc 3: Cl
t
= Ir
t
= 1
Ta s s dng chui Y
t
/Sn
t
d on thnh
phn xu th trong tng lai
t
t
Chng 3
b. D bo bng m hnh cng tnh
Bc 1. Tnh trung bnh trung tm (CMA)
+ + + +
+ + + +
=
+ +
+
qu
Y Y Y Y Y
thng
Y Y Y
CMA
t t t t t
t t t
t
4
5 . 0 5 . 0
12
5 . 0 ... ... 5 . 0
1 1 1 2
6 6
Chng 3
Bc 2. Tnh s khc bit
t t t
CMA Y d =
Chng 3
Bc 3. Tnh ton cc ch s ma v
Nu chui d liu theo thng, ch s ma i
m
cho
thng m bng trung bnh ca vi cc quan st
cho nhng thng m (mi nm c 1 thng m)
Nu chui d liu theo qu, ch s ma i
q
cho qu
q bng trung bnh ca vi cc quan st ch cho
nhng qu q (mi nm c 1 qu q)
t
d
t
d
Chng 3
Bc 4. iu chnh cc ch s ma tng ca
chng bng 0 bng cch tnh cc nhn t ma Sn
nh sau
l trung bnh ca tt c cc ch s ma.
Sn
t
cho bit thi im t, Y cao hn (hay thp
hn) 1 lng Sn
t
so vi chui d liu iu
chnh yu t ma.
i i Sn
t t
=
i
Chng 3
Bc 5. Chui d liu iu chnh yu t ma:
Y
t
Sn
t
= Tr
t
+ Cl
t
+ Ir
t
Ta gi nh khng c yu t chu k v yu t
ngu nhin b trit tiu khi tnh trung bnh nhm
tm ra ch s ma bc 3: Cl
t
= Ir
t
=0
Ta s s dng chui Y
t
Sn
t
d on thnh
phn xu th trong tng lai
Chng 4
D BO BNG PHNG PHP
BOX-JENKINS
4.1 Tnh tng quan trong d liu
chui thi gian
4.2 Tnh dng ca chui thi gian
4.3. M hnh Box-Jenkins (ARIMA)
4.3. M hnh Box-Jenkins cho chui thi gian
c tnh ma v (SARIMA)
Chng 4
D BO BNG PHNG PHP
BOX-JENKINS
4.1.1 H s t tng quan
Chng 4
chui thi gian
) (
) , (
t
k t t
k
Y Var
Y Y Cov

=
Phng trnh trn c gi l hm t tng
quan, k hiu l ACF
Chng 4
chui thi gian
) (
) , (
t
k t t
k
Y Var
Y Y Cov

=
Tnh cht:
1. -1 s
k
s 1 k
2.
0
= 1
Chng 4
chui thi gian
Do thc t ch c d liu mu, nn ta ch c th
c lng c h s t tng quan mu thay
v h s t tng quan tng th
Chng 4
chui thi gian
+ =

=
n
t
t
k t
n
k t
t
k
Y Y
Y Y Y Y
r
1
2
1
) (
) )( (
: gi tr trung bnh mu ca Y
t
: tr
: s quan st
n
k
Y
H s t tng quan mu:
Chng 4
chui thi gian
+ =

=
n
t
t
k t
n
k t
t
k
Y Y
Y Y Y Y
r
1
2
1
) (
) )( (
Tng t, r
k
cng c tnh cht:
1. -1 s r
k
s 1 k
2. r
0
= 1
Chng 4
chui thi gian
H s t tng quan ring PACF
k
dng o
lng mc quan h gia Y
t
v Y
t-k
khi cc
nh hng ca cc tr t 1 n k-1 c
loi tr
4.1.2 Kim tra tnh tng quan
Chng 4
chui thi gian
C 2 cch kim tra t tng quan:
1. Xem xt tng r
k
= 0 hay khng
2. Xem xt ton b tp cc gi tr r
k
= 0 hay khng
Chng 4
chui thi gian
Ta tha nhn kt lun: Nu chui thi gian m
bo tnh c lp th r
k
~ N (0, 1/n )
T ta c khong tin cy ca r
k
:
|
.
|
\
|
s s
n
u
r
n
u
k
2 / 2 / o o
Cch 1. H
0
: r
k
= 0
Chng 4
chui thi gian
Chui thi gian c th c kt lun khng c
hin tng t tng quan nu tt c cc h s
tng quan mu tnh ton c u nm trong
gii hn ny. Chui khi c tnh nhiu trng
|
.
|
\
|
s s
n
u
r
n
u
k
2 / 2 / o o
Chng 4
chui thi gian
Cch 2: H
0
: r
1
= r
2
= = r
k
= 0
=
(
+ =
h
k
k
r
k n
n n Q
1
2 *
.
1
) 2 (
: s quan st
: tr
: h s tng quan bc k
: tr ln nht c xem xt
h
r
k
n
k
Chng 4
chui thi gian
=
(
+ =
h
k
k
r
k n
n n Q
1
2 *
.
1
) 2 (
Nu H
0
ng th Q
*
~ _
2
(h-m)
{ } ) ( :
2
*
*
m h Q Q W
tn
tn
> =
o o
_
4.2.1 Khi nim chui thi gian dng
Chng 4
Chui thi gian Y
t
, phi tha mn:
const Y E
t
= = ) (
const Y Var
t
= =
2
) ( o
| | const Y Y E Y Y Cov
k k t t k t t
= = =
+ +
) )( ( ) , (
Chng 4
Gi s ta dch Y t Y
t
ti Y
t+m
. Nu Y
t
l chui
dng th gi tr trung bnh, phng sai v hip
phng sai ca Y
t
v Y
t+m
phi bng nhau
= ) (
t
Y E
2
) ( o =
t
Y Var
| |
k k t t k t t
Y Y E Y Y Cov = =
+ +
) )( ( ) , (
Chng 4
Tm li, nu l mt chui dng, th gi tr trung
bnh, phng sai v hip phng sai (c tr
khc nhau) bng nhau, khng cn bit ta o
lng chng ti thi im no
iu ny c ngha cc i lng ny khng i
theo thi gian
Chng 4
Mt chui d liu nh vy s c xu hng tr
v gi tr trung bnh v nhng dao ng xung
quanh gi tr trung bnh s nh nhau
Nu mt chui thi gian khng dng theo cch
nh ngha trn, ta gi l chui khng dng
Chng 4
Vi mt chui thi gian khng dng, ta ch
c th nghin cu hnh vi ca n ch trong
khong thi gian c xem xt.
Do vy ta khng th khi qut ha cho cc giai
on thi gian khc
4.2.2 Kho st tnh dng
Chng 4
Ngoi vic chng minh mt chui dng theo
nh ngha, ta cn c th da vo biu t
tng quan xc nh mt chui thi gian
dng hay khng
Chng 4
Nu h s t tng quan u tin khc 0
nhng cc h s t tng quan tip theo bng
khng c ngha thng k th l mt chui
dng.
Nu mt s h s tng t tng quan khc
khng mt cch c ngha thng k th l
mt chui khng dng.
4.2.3 Loi b tnh khng dng
Chng 4
iu kin c bn nht cho vic d bo mt
chui thi gian l n phi c tnh dng.
Vy khi gp mt chui khng dng ta cn loi
b tnh khng dng trc khi lm cc phn tch
k tip.
Chng 4
Ta c th lm dng mt chui bng phng
php sai phn.
Chng 4
Sai phn bc 1
1
= A
t t t
Y Y Y
Sai phn bc 2.
) (
2 1 1 1
2

= A A = A
t t t t t t t
Y Y Y Y Y Y Y
2 1
2
2

+ = A
t t t t
Y Y Y Y
Chng 4
Chui sai phn bc 1 s dng nu xu hng
ca chui gc l tuyn tnh v n ch cn (n-1)
quan st.
Nu sau khi ly sai phn bc 1 m cc bin
kim tra vn cho thy d liu cha dng th
phi ly tip sai phn bc 2, , bc n.
Chng 4
Vi mt s xu th phi a thc, ta p dng
phng php sai phn bin dng.
Nh s bin thin ca , phng php tnh sai
phn ny c th p dng cho rt nhiu xu th
khc nhau
) 1 0 (
1
s s = A

t t t
Y Y Y
Chng 4
4.3 M hnh Box-Jenkins
M hnh Box-Jenkins l tn gi chung ca mt
h rt nhiu m hnh khc nhau do s tn ti
ring l hoc kt hp ng thi ca qu trnh t
hi quy (AR) v trung bnh trt (MA) v c th
kt hp c qu trnh ly sai phn nu chui l
khng dng (I).
4.3.1 Qu trnh t hi quy (AR)
Chng 4
M hnh t hi quy bc 1, AR(1), c dng
Trong :
1. u
t
: sai s tha mn tnh nhiu trng
2. - 1 < |
1
< 1
t t t
u Y Y + + =
1 1 0
| |
Chng 4
Cc MH t hi quy ch ph hp vi chui dng,
v h s |
0
th hin mc trung bnh ca chui
t t t
u Y Y + + =
1 1 0
| |
Nu d liu giao ng xung quanh gi tr 0
hoc dng sai phn th khng cn h s |
0
trong m hnh
Chng 4
M hnh t hi quy bc p, AR(p), c dng
iu kin mt chui trong m hnh AR(p) l
dng nu tha mn iu kin
t p t p t t t
u Y Y Y Y + + + + + =

| | | | ...
2 2 1 1 0
1
1
<
=
p
i
i
|
Chng 4
xc nh s tr p, ta s dng gin t
tng quan nh sau:
ACF s c xu hng bng 0 ngay lp tc
H s t tng quan ring PACF c xu hng
khc 0 mt cch c ngha thng k cho n
tr p v bng 0 ngay sau tr p
4.3.2 Qu trnh trung bnh trt (MA)
Chng 4
M hnh trung bnh trt bc 1, MA(1), c dng
Trong :
: l hng s
u
t
: l sai s tha mn nhiu trng
1 1
+ + =
t t t
u u Y u
Chng 4
M hnh trung bnh trt bc q, MA(q), c dng
Qu trnh ny dng nu -1 < u
i
< 1.
q t q t t t t
u u u u Y

+ + + + + = u u u ...
2 2 1 1
Thng thng ta hay gp q < 2.
Chng 4
xc nh s tr q, ta s dng gin t
tng quan nh sau:
PACF s c xu hng bng 0 ngay lp tc
ACF c xu hng khc 0 mt cch c ngha
thng k cho n tr q v bng 0 ngay sau
tr q
4.3.3 Qu trnh phi hp t hi quy trung
bnh trt (ARMA)
Chng 4
Kt hp m hnh AR(1) v m hnh MA(1) ta c
m hnh ARMA(1,1)
1 1 1 1 0
+ + + =
t t t t
u u Y Y u | |
Chng 4
Tng t, nu kt hp m hnh AR(p) v m
hnh MA(q) ta c m hnh ARMA(p,q)
q t q t t t p t p t t t
u u u u Y Y Y Y

+ + + + + + + + + = u u u | | | | ... ...
2 2 1 1 2 2 1 1 0
Chng 4
M hnh ARMA(p,q) ch thch hp vi cc chui
dng, ta cn xc nh tr p v q thch hp
theo cch trnh by trn: ACF bng 0 ngay
lp tc sau tr th q cn PACF bng 0 ngay
sau tr p
4.3.4 M hnh ARIMA
Chng 4
M hnh ARMA ch c th c thc hin khi Y
t
l chui dng.
Chui thi gian trong kinh t v ti chnh
thng l chui khng dng
suy ra chui dng, ta phi kh yu t xu th
trong d liu gc bng phng php sai phn
Chng 4
Chui thi gian nu dng sai phn bc 1,
c k hiu I(1)
M rng ra, nu mt chui dng sai phn bc
d, ta k hiu I(d)
M hnh ARIMA c k hiu chung l
ARIMA(p,d,q)
Chng 4
Bc 1. Kho st d liu gc
Quy trnh la chn m hnh ARIMA
Tnh ACF v PACF ca d liu gc, kim tra
chui c dng hay khng, nu dng, chuyn
sang bc 3
Chng 4
Bc 2. Ly sai phn bc 1 ca Y
t
Trong trng hp d liu gc bin ng nhiu
ta cn ly log ri mi ly sai phn.
Chng 4
Bc 3. Phn tch gin t tng quan
tm p v q, t suy ra cc m hnh c th c
Bc 4. c lng m hnh d kin (c
xc nh trong bc 3)
Chng 4
Bc 5. Phn tch, chun on v la chn MH
Kim tra h s ca tr cao nht nu khng
c ngha thng k, gim bt tr p, q
Nu m hnh ng th ACF v PACF khng c
ngha thng k
So snh cc sai s d bo, ph hp cc MH
Chng 4
Bc 6. Nu c thay i trong m hnh gc,
quay tr li bc 4
Ch . Nn so snh gia cc m hnh vi nhau
ch khng nn phn tch mt cch ring l
4.3.5 M hnh SARIMA
Chng 4
M hnh SARIMA p dng cho chui thi gian
c tnh ma v
Ta s xem xt ring bit thnh phn c tnh
ma v v khng c tnh ma v bng m hnh
ARIMA
Chng 4
Bc 1. Kim tra nu l chui khng dng th
loi b tnh dng
Ta cng s dng sai phn bin mt chui
thi gian khng dng c tnh ma thnh chui
dng
Chng 4
Bc 2. Xem xt thnh phn khng c tnh
ma v
Kho st trn ACF v PACF ti cc tr khng l
bi s ca di ma L kt lun AR hay MA
Chng 4
Bc 3. Xem xt thnh phn c tnh ma v
Kho st trn ACF v PACF ti cc tr l bi s
ca di ma L kt lun AR hay MA
Chng 4
M hnh tng qut
ARIMA(p,d,q)(P,D,Q)
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Chng 1.

b. Sai s tuyt i trung bnh

c. Sai s bnh phng trung bnh

d. Sai s phn trm tuyt i trung bnh

e. Cn bc hai ca sai s bnh phng trung bnh

2.1.3 Sai s ngu nhin

67740 2106 5964

6. (nh l Gauss Markov): Vi cc gi thit

D bo p giai on trong tng lai

D bo p giai on trong tng lai

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