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Statistica14
(- StatSoft Inc., USA) (., , [4]).
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Statistica.
. Multiple Regression. Statistica. , .
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: , 17036, , . , 4, . (095) 232-0023, 126-9969, 126-9065, e-mail: root@softline.msk.su, : StatSoft Inc., 2325 Easr
13th Street, Tulsa, OK 74104, USA, . (918) 583-4149.
15

1.
.
1) Statistica .
Variables , Cases . ,
, . ( prices.sta):
[4].
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= 1972 , _ = ln().
. .

. . Graphics (2D
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( Analysis
Startup Panel). Variables.
(_
). OK. (,

16

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, ,
.
RI ( , ). 92.9 %, .
Regression Summary, .
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.
Residual Analysis . .
(Normal Probability Plot of Residuals). , ,
ai .
4) ( FilePage Output/Setup
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). .

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1) ARIMA- (8).
/. . Open Data
( series_g.sta, :
; 1

17

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() : ln(v), 1 s = 12 ().

144, 1949 1962 ). Variables . .

ARIMA

&

autocorrelation functions. Single Series


ARIMA.
2) , . Plot.
(.3). ,
, . : . : ,
. . , ARIMA, Continue.
3) , ,
. , . Other transformations & plots.
. Plot variables (series) after each transformation.

18

OK(Transform highlighted variables). . -


OK(Transform). .
, Natural log. ( ), . , ,
: Differencing lag = 12
(. .3). Exit ARIMA.
9) Single Series ARIMA ( Continue, Exit). ARIMA-: p
Autoregressive, P Seasonal, q Mouving average, Q Seasonal.15
, .
: p = P = 0, q = Q = 1 ( P Q lag = 12).
, , . , ,
Exact . Variables
.
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, OK
.
4) ARIMA. ,
Parameter estimates.
. , , Normal (
: , ).
Hist, -

19

. (Autocorrelations of residuals).
5) Forecasting
. 24 ,
0.9. Plot series & forecasts. , .
3. ( 2)
.
ARIMA ,
1 120 ( Select cases
). 24
.
4. IBM.
IBM (
ibm1.sta).
.
.


. p(a)
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. N- a (ti ) ti (i = 1,
15

P Q (7) ,

20

, N) L a (ti )
:
L = p N ( a1 , a 2 ,, a N ) = p( a1 )p( a2 )p( a N ).

(.1)

(1) b0 b1 , .. ai = vi b0 b1ti .
, b0 b1 ,
L.
( L b0 = 0 L b1 = 0 ) ( ln L b0 = 0 ln L b1 = 0 ).
.
a (ti )
. (1) ai = vi b0 b1ti
. , a (ti )
:
N

a 2 (ti ) = min .

(.2)

i =1

, , a (ti ) ,
.

v a lag, 1.
21


1. Yule G.U. On a method of investigating periodicities in disturbed series
with

special

reference

to

wolfers

sunspot

numbers,

Phil.Trans.R.Soc.London A, 1927, Vol. 226, P. 267-298.


2. ., . . , .: , 1974, 242 .
3. . . , .:
, 1991, 432 .
4. .., .. Statistica.

Windows,

.:

, 1997, 608 .

1. ? ?
2. ?
3. ?
?
4. ARIMA-? ?
5.
? ?
6. ARIMA ? ( )?

22

, 020773 15.05.98

31.03.2000. 60x84 1/16.


Papirus Slim. Times.
. . . 1,39 (1,5). .-. . 1.1. 100 . 161.


410026, , . , 83.
. (845-2) 523864

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