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PHNG PHP D BO N GIN

Nguyn Vn Phong UFM - 2013


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Ni dung

PHNG PHP LM MN D LIU PHNG PHP D BO N GIN PHN TCH CHUI THI GIAN

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


1. Trung bnh trt MA(k)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


1. Trung bnh trt MA(k)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


1. Trung bnh trt MA(k) MA (k) = 1 (Yt + Yt1 + ... + Ytk+1 ) k (1)

trong , k c gi l h s trt.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


1. Trung bnh trt MA(k) MA (k) = 1 (Yt + Yt1 + ... + Ytk+1 ) k (1)

trong , k c gi l h s trt. 2. Trung bnh trt trung tm CMA(k)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


1. Trung bnh trt MA(k) MA (k) = 1 (Yt + Yt1 + ... + Ytk+1 ) k (1)

trong , k c gi l h s trt. 2. Trung bnh trt trung tm CMA(k) Trng hp k l

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


1. Trung bnh trt MA(k) MA (k) = 1 (Yt + Yt1 + ... + Ytk+1 ) k (1)

trong , k c gi l h s trt. 2. Trung bnh trt trung tm CMA(k) Trng hp k l 1 CMA (k) = k
(k1)/2

Yt+j
j=(k1)/2

(2)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


2. Trung bnh trt trung tm CMA(k)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


2. Trung bnh trt trung tm CMA(k) Trng hp k chn

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


2. Trung bnh trt trung tm CMA(k) Trng hp k chn CMA (k) = MAt1 (k) + MAt2 (k) 2 (3)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


2. Trung bnh trt trung tm CMA(k) Trng hp k chn CMA (k) = MAt1 (k) + MAt2 (k) 2 (3)

Chng hn vi k = 4 p dng (3) ta tnh CMA(4) nh sau:

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php lm mn d liu


2. Trung bnh trt trung tm CMA(k) Trng hp k chn CMA (k) = MAt1 (k) + MAt2 (k) 2 (3)

Chng hn vi k = 4 p dng (3) ta tnh CMA(4) nh sau: CMA (4) = 1 2 Y1 + 2Y2 + 2Y3 + 2Y4 + Y5 4 (4)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


1. Trung bnh trt MA

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA Bc 1. Tnh MA(k )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA Bc 1. Tnh MA(k )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA Bc 1. Tnh MA(k ) MA(k)t = 1 k (Yt + Yt1 + + Ytk+1 )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA Bc 1. Tnh MA(k ) MA(k)t = 1 k (Yt + Yt1 + + Ytk+1 ) Bc 2. Tnh MA (k )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA Bc 1. Tnh MA(k ) MA(k)t = 1 k (Yt + Yt1 + + Ytk+1 ) Bc 2. Tnh MA (k )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

4 / 14

Phng php d bo n gin


1. Trung bnh trt MA p dng (1), ta c cng thc d bo sau Ft+1 = MA (k) = 1 k (Yt + Yt1 + + Ytk+1 ) 2. Trung bnh trt kp DMA Bc 1. Tnh MA(k ) MA(k)t = 1 k (Yt + Yt1 + + Ytk+1 ) Bc 2. Tnh MA (k ) MA (k)t =
Nguyn Vn Phong (BMT - TK)

1 k

MA(k)t + + MA(k)tk+1
Forecasting UFM - 2013 4 / 14

Phng php d bo n gin

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


2. Trung bnh trt kp DMA

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

5 / 14

Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong ,

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong ,

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

5 / 14

Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong , at = MA(k)t + [MA(k)t MA (k)t ]

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

5 / 14

Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong , at = MA(k)t + [MA(k)t MA (k)t ] v

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

5 / 14

Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong , at = MA(k)t + [MA(k)t MA (k)t ] v

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

5 / 14

Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong , at = MA(k)t + [MA(k)t MA (k)t ] v bt =
2 k 1

[MA(k)t MA(k) t ]

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

5 / 14

Phng php d bo n gin


2. Trung bnh trt kp DMA Bc 3. Tnh gi tr d bo k tip Ft+m = at + bt m trong , at = MA(k)t + [MA(k)t MA (k)t ] v bt =
2 k 1

[MA(k)t MA(k) t ]

Vi m l giai on d bo.
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 5 / 14

Phng php d bo n gin

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


3. San m n gin (ES)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


3. San m n gin (ES)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft trong , (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft trong , Ft +1 l gi tr d bo ti thi im t + 1, (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft trong , Ft +1 l gi tr d bo ti thi im t + 1, Yt l gi tr thc t ti thi im t , (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft trong , Ft +1 l gi tr d bo ti thi im t + 1, Yt l gi tr thc t ti thi im t , Ft l gi tr d bo ti thi im t , (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft trong , Ft +1 l gi tr d bo ti thi im t + 1, Yt l gi tr thc t ti thi im t , Ft l gi tr d bo ti thi im t , trng s (hng s trn), (0 1) (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin


3. San m n gin (ES) Ft+1 = Yt + (1 ) Ft trong , Ft +1 l gi tr d bo ti thi im t + 1, Yt l gi tr thc t ti thi im t , Ft l gi tr d bo ti thi im t , trng s (hng s trn), (0 1) Lu . Ta thng chn gi tr F1 = Y1 trong (5). (5)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

6 / 14

Phng php d bo n gin

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , t+1 = At , Mt (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , t+1 = (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , Mt = |Et | + (1 ) Mt1 , t+1 = (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , Mt = |Et | + (1 ) Mt1 , Et = Yt Ft . t+1 = (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , Mt = |Et | + (1 ) Mt1 , Et = Yt Ft . Cc gi tr khi to: t+1 = (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , Mt = |Et | + (1 ) Mt1 , Et = Yt Ft . Cc gi tr khi to: F2 = Y1 , A1 = M1 t+1 = (6)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

7 / 14

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , Mt = |Et | + (1 ) Mt1 , Et = Yt Ft . Cc gi tr khi to: F2 = Y1 , A1 = M1 2 = 3 = 4 = (0.1, 0.3) t+1 =
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 7 / 14

(6)

Phng php d bo n gin


4. San m n gin hiu chnh (AES) Ft+1 = Yt + (1 ) Ft trong , At , Mt At = Et + (1 ) At1 , Mt = |Et | + (1 ) Mt1 , Et = Yt Ft . Cc gi tr khi to: F2 = Y1 , A1 = M1 2 = 3 = 4 = (0.1, 0.3) trong (6). t+1 =
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 7 / 14

(6)

Phng php d bo n gin

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

8 / 14

Phng php d bo n gin


5. Phng php ng xu th (trend)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

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Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn Bng phng php OLS, ta tm c mt ng thng c dng

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

8 / 14

Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn Bng phng php OLS, ta tm c mt ng thng c dng

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

8 / 14

Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn Bng phng php OLS, ta tm c mt ng thng c dng Tt = b0 + b1 t (7)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

8 / 14

Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn Bng phng php OLS, ta tm c mt ng thng c dng Tt = b0 + b1 t trong (7)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

8 / 14

Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn Bng phng php OLS, ta tm c mt ng thng c dng Tt = b0 + b1 t trong b1 = tYt ( t2 ( t t)
2

(7)

Yt )/n n
Forecasting

;
UFM - 2013 8 / 14

Nguyn Vn Phong (BMT - TK)

Phng php d bo n gin


5. Phng php ng xu th (trend) Vi mt chui thi gian t t1 t2 tn Yt Y1 Y2 Yn Bng phng php OLS, ta tm c mt ng thng c dng Tt = b0 + b1 t trong b1 = tYt ( t2 ( t t)
2

(7)

Yt )/n n
Forecasting

; b0 = Y b1 t
UFM - 2013 8 / 14

Nguyn Vn Phong (BMT - TK)

Phn tch chui thi gian

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau:

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng Yt = Tt + St + It (8)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng Yt = Tt + St + It (8)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau:

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt ) Tt = CMA (k)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt ) Tt = CMA (k) k = 4 cho chui qu, k = 12 cho chui thng

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt ) Tt = CMA (k) k = 4 cho chui qu, k = 12 cho chui thng B2: Loi b thnh phn xu th.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt ) Tt = CMA (k) k = 4 cho chui qu, k = 12 cho chui thng B2: Loi b thnh phn xu th. Yt Tt = St + It cho m hnh (8)
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt ) Tt = CMA (k) k = 4 cho chui qu, k = 12 cho chui thng B2: Loi b thnh phn xu th. Yt Tt = St + It cho m hnh (8) Yt /Tt = St It cho m hnh (9)
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 9 / 14

Phn tch chui thi gian


Ta thng dng hai m hnh phn tch sau: M hnh cng M hnh nhn Yt = Tt + St + It Yt = Tt St It (8) (9)

V thc hin phn tch theo cc bc sau: B1: c lng thnh phn xu th (Tt ) Tt = CMA (k) k = 4 cho chui qu, k = 12 cho chui thng B2: Loi b thnh phn xu th. Yt Tt = St + It cho m hnh (8) Yt /Tt = St It cho m hnh (9)
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 9 / 14

Phn tch chui thi gian

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma 1 Li + Si = (St + Et ), cho m hnh (8) Li t=1

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma 1 Li + Si = (St + Et ), cho m hnh (8) Li t=1 1 Li (St Et ), cho m hnh (9) + Si = Li t=1

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma 1 Li + Si = (St + Et ), cho m hnh (8) Li t=1 1 Li (St Et ), cho m hnh (9) + Si = Li t=1 - Tnh ch s ma cho tng nm

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma 1 Li + Si = (St + Et ), cho m hnh (8) Li t=1 1 Li (St Et ), cho m hnh (9) + Si = Li t=1 - Tnh ch s ma cho tng nm 1 k + SIndex = Si , cho m hnh (8) k i=1

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma 1 Li + Si = (St + Et ), cho m hnh (8) Li t=1 1 Li (St Et ), cho m hnh (9) + Si = Li t=1 - Tnh ch s ma cho tng nm 1 k + SIndex = Si , cho m hnh (8) k i=1 k + SIndex = k , cho m hnh (9) Si
i=1
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 10 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Tnh ch s ma 1 Li + Si = (St + Et ), cho m hnh (8) Li t=1 1 Li (St Et ), cho m hnh (9) + Si = Li t=1 - Tnh ch s ma cho tng nm 1 k + SIndex = Si , cho m hnh (8) k i=1 k + SIndex = k , cho m hnh (9) Si
i=1
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 10 / 14

Phn tch chui thi gian

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Hiu chnh

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Hiu chnh
k

+ St = Si SIndex tho
t=1

St = 0, cho m

hnh (8)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Hiu chnh
k

+ St = Si SIndex tho
t=1

St = 0, cho m
k

hnh (8) + St = Si SIndex tho


t=1

St = k, cho m

hnh (9)

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Hiu chnh
k

+ St = Si SIndex tho
t=1

St = 0, cho m
k

hnh (8) + St = Si SIndex tho


t=1

St = k, cho m

hnh (9) B4: c lng thnh phn nhiu (It )

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Hiu chnh
k

+ St = Si SIndex tho
t=1

St = 0, cho m
k

hnh (8) + St = Si SIndex tho


t=1

St = k, cho m

hnh (9) B4: c lng thnh phn nhiu (It ) + Et = Yt St Tt , cho m hnh (8)
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 11 / 14

Phn tch chui thi gian


B3: c lng thnh phn ma (St ) - Hiu chnh
k

+ St = Si SIndex tho
t=1

St = 0, cho m
k

hnh (8) + St = Si SIndex tho


t=1

St = k, cho m

hnh (9) B4: c lng thnh phn nhiu (It ) + Et = Yt St Tt , cho m hnh (8) + Et = Yt /St Tt , cho m hnh (9)
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 11 / 14

Phn tch chui thi gian

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

12 / 14

Phn tch chui thi gian


Lu :

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

12 / 14

Phn tch chui thi gian


Lu : Trong m hnh cng khi cc thnh phn khc khng tc ng, khi ta gn cho cc thnh phn tng ng bng 0.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

12 / 14

Phn tch chui thi gian


Lu : Trong m hnh cng khi cc thnh phn khc khng tc ng, khi ta gn cho cc thnh phn tng ng bng 0. Trong m hnh nhn khi cc thnh phn khc khng tc ng, khi ta gn cho cc thnh phn tng ng bng 1.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

12 / 14

Phn tch chui thi gian


Lu : Trong m hnh cng khi cc thnh phn khc khng tc ng, khi ta gn cho cc thnh phn tng ng bng 0. Trong m hnh nhn khi cc thnh phn khc khng tc ng, khi ta gn cho cc thnh phn tng ng bng 1. Cc thnh phn nhiu (Et ), v thnh phn ma (St ) l khng i theo tng nm.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

12 / 14

V d

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

13 / 14

V d
S liu v doanh thu ca mt cng ty.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

13 / 14

V d
S liu v doanh thu ca mt cng ty.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

13 / 14

V d
S liu v doanh thu ca mt cng ty.

a) Dng cc phng php n gin d bo doanh thu ca cng ty trong qu 1 2005.

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

13 / 14

V d
S liu v doanh thu ca mt cng ty.

a) Dng cc phng php n gin d bo doanh thu ca cng ty trong qu 1 2005. b) Vi = 0.8 dng phng php san m n gin d bo doanh thu ca cng ty trong qu 1 2005.
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 13 / 14

V d
S liu v doanh thu ca mt cng ty.

a) Dng cc phng php n gin d bo doanh thu ca cng ty trong qu 1 2005. b) Vi = 0.8 dng phng php san m n gin d bo doanh thu ca cng ty trong qu 1 2005. c) nh gi sai s v la chn m hnh d bo tt nht
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 13 / 14

V d

Nguyn Vn Phong (BMT - TK)

Forecasting

UFM - 2013

14 / 14

V d
Nm Qu Yt 2001 1 18.598 2 17.826 3 16.94 4 18.266 2002 1 25.414 2 24.685 3 21.836 4 22.91 2003 1 31.767 2 30.475 3 27.126 4 29.448
Nguyn Vn Phong (BMT - TK) Forecasting UFM - 2013 14 / 14

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