Chng 10

PHN TCH CHUI TUN T THEO THI GIAN V D

BO
( Time seties Analysis and Forecoasting)
8.1 Chui tun t theo thi gian ( Time series)
8.1.1 nh ngha:
-

Chui tun t theo thi gian l mt chui cc ga tr ca mt i lng no

c ghi nhn tun t theo thi gian.
V d:
S lng hng bn c trong 12 thng ca mt cng ty.
- Cc ga tr ca chui tun t theo thi gian ca i lng X c k hiu X1,
X2, , Xt, . Xn, vi Xt, l ga tr quan st ca X thi im t.

8.1.2 Cc thnh phn ca chui tun t theo thi gian: (Components of

time series)
Cc nh thng k thng chia chui tun t theo thi gian ra lm 4 thnh phn:
- Thnh phn xu hng di hn (long-term trend component)
- Thnh phn ma (Seasonal component)
- Thnh phn chu k (Cyclical component)
- Thnh phn bt thng (irregular component)

8.1.2.1 Thnh phn xu hng di hn:

Thnh phn ny dng ch xu hng tng gim ca i lng X trong khong
thi gian di. V mt th thnh phn ny c th din t bng mt ng thng hay
bng mt ng cong trn (Smooth curve)
X

Xu hng gim theo thi gian

Xt

8.1.2.2 Thnh phn ma:

Thnh phn ny ch s thay i ca i lng X theo cc ma trong nm (c th
theo cc thng trong nm)

Cao Ho Thi

V d:
-

Lng tiu th cht t s tng vo ma ng v s gim vo ma h. Ngc

li lng tiu th xng s tng vo ma h v gim vo ma ng
- Lng tiu th dng hc tp s tng vo ma khai trng
Cht
t
Thay i theo ma

12

Xu hng tng theo thi gian

12

12

8.1.2.3 Thnh phn chu k:

Thnh phn ny ch thay i ca i lng X theo chu k. S khc bit ca thnh
phn ny so vi thnh phn ma l chu k ca n di hn mt nm. nh ga thnh
phn chu k cc ga tr ca chui tun t theo thi gian s c quan st hng nm

V d:
Lng dng chy n h cha Tr An t nm 1959 n 1985
Q
(m3/s)

1959 1960

1985

t (nm)

8.1.2.4 Thnh phn bt thng:

Thnh phn ny dng ch nhng s thay i bt thng ca cc ga tr trong
chui tun t theo thi gian. S thay i ny khng th d on bng cc s liu kinh
nghim trong qa kh, v mt bn cht ny khng c tnh chu k.

Cao Ho Thi

8.1.3 M hnh ha vic d bo ga tr ca i lng X

8.1.3.1 M hnh nhn: ( Multiplicative model)
Xt = Tt * St * Ct * It

Xt: Ga t ca i lng X thi im t

Tt: Ga tr ca thnh phn xu hng thi im t. Tt c cng n v vi Xt
St, Ct, It: l cc h s nh ga nh hng ca cc thnh phn ma, thnh phn
chu k v thnh phn bt k n ga tr ca X thi im t.
Trong thc t vic xc nh It rt kh khn nn thng c b qua, khi :
Xt = Tt * St *Ct

8.1.3.2 M hnh cng: (Additive model)

Xt = Tt + St + Ct + It

Xt: ga tr ca i lng X thi im t

Tt, St, Ct, It: Ga tr ca thnh phn xu hng, ma, chu k v bt thng thi
im t.
Trong thc t, d bo ga tr ca i lng X ta c th phi hp c 2 loi m
hnh trn.

8.2. Cc phng php lm trn: (Smoothing methods)

Trong mt s chui tun t theo thi gian thnh phn ma v thnh phn bt
thng thay i qu ln lm cho vic xc nh thnh phn xu hng v thnh phn chu
k gp nhiu kh khn. S thay i ln ny c th c gim nh bng cc phng php
lm trn. Cc phng php lm trn c cp trong chng ny gm phng php
trung bnh dch chuyn v phng php lm trn bng hm s m. (Moving average and
exponential smoothing methods)

8.2.1 Phng php trung bnh dch chuyn: (Trung bnh trt Moving
average)
Ni dung ca phng php ny l thay th ga tr quan st Xt bng ga tr trung
bnh ca chnh n vi m ga tr trc n v m ga tr sau n. Ngha l thay Xt bng X*t,
vi:

Xt* =

Xt* =

Cao Ho Thi

m
1
X t+ j
2m + 1 j = m

X t m + X t m +1 + ... + X t + ... + X t + m 1 + X t + m
2m + 1

X*t : l ga tr trung bnh dch chuyn ca (2m+1) im

V d:
Nu m =2, ta c ga tr trung bnh trt ca 5 im c tnh theo cng thc:

Xt* =

X t 2 + X t 1 + X t + X t +1 + X t + 2
5

Nu t = 3

X *3 =

X1 + X 2 + X 3 + X 4 + X 5
5

8.2.2 Phng php lm trn bng hm s m n gin:

(Simple exponential smoothing method)
Phng php lm trn hm s m tin hnh da trn vic xem xt mt cch lin
tc cc ga tr ca qu kh, da trn trung bnh c trng s ca chui d liu. Trong
phng php ny trng s c ga tr cng nh khi n cng cch xa thi im d bo. Vi
ngha trn ta c:
X t = Xt + (1-) Xt-1 + (1-)2 Xt-2 + (1-)3 Xt-3 ++(1-)t-1 X1
Tng T
Hm 2
2
3
t 2
X
X 1
t 1 = X t 1 + (1 )X t 2 + (1 ) X t 3 + (1 ) X t 4 + ...... + (1 )
Cho (1-)
(1 ) X t 1 = (1 )X t 1 + (1 ) 2 X t 2 + (1 ) 3 X t 3 + .... + (1 ) t 1 X 1
T cc phng trnh trn ta c:
Vi 0 1
X t = X t + (1 ) X t 1
: hng s lm trn (Smoothing Constant)
Trong tm tt ta ly

X = X1

V cc tr s Xt c ly t s liu quan st
X 2 = X 2 + (1 ) X 1
X 3 = X 3 + (1 ) X 2
.............
X t = X t + (1 ) X t 1
..............
X n = X n + (1 ) X n 1

V d:
Bng s liu sau y cho thy s lng my tnh c bn ra ca ca hng trong
24 thng va qua.
a) Tm chui thi gian trung bnh trt 5 thng
b) Tm cc ga tr trung bnh bng phng php lm trn hm m vi h s lm trn

Cao Ho Thi

c)
STT

Thng

S liu quan st
Xt

2 nm trc
Mt
Hai
Ba
T
Nm
Su
By
Tm
Chn
Mi
Mi Mt
Mi Hai
1 nm trc
Mt
Hai
Ba
T
Nm
Su
By
Tm
Chn
Mi
Mi mt
Mi hai

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24

21
20
19
18
14
15
22
28
25
25
25
20
25
25
24
28
36
32
25
23
22
23
22
27

S trung bnh
trt 5 thng X*t

S trung bnh bng PP

lm trn hm m Xt

18,4
17,2
17,6
19,4
20,8
23,0
25,0
24,6
24,0
24,0

21,0
20,0
19,8
18,9
16,5
15,8
18,9
23,5
24,3
24,7
24,9
22,5

23,8
24,4
27,6
29,0
29,0
28,8
27,6
25,0
23,0
23,4

23,8
24,4
24,2
26,1
31,0
31,5
28,3
25,7
23,8
23,4
22,7
24,9

8.3 D bo:
8.3.1 Khi nim chung :
D bo l kh nng nhn thc c s vn ng ca cc i tng nghin cu
trong tng lai da trn s phn tch chui thng tin qu kh v hin ti. Cho n nay,
nhu cu d bo tr nn ht sc cn thit mi lnh vc.

8.3.1.1 Bn cht cc khi nim lin quan n d bo:

8.3.1.1.1 Tin on (Predicting)
on trc s vn ng ca i tng nghin cu trong tng lai. l kt qu
nhn thc ch quan ca con ngi da trn mt s c s nht nh. C th nu mc
tin on 3 kha cnh.

Cao Ho Thi

a) Tin on khng tng:

l nhng tin on khng c c s khoa hc, ch da trn nhng mi lin h
khng tng thiu cn c.

b) Tin on kinh nghim:

l nhng tin on da trn chui thng tin lch s. Mc t nhiu c c s
khch quan, tuy nhin c nhc im l loi tin on ny khng gii thch c xu th
vn ng ca i tng nghin cu v a s dng li bc nh tnh.

c) Tin on khoa hc:

l tin on da trn phn tch mi lin h qua li gia cc i tng nghin
cu v phng php x l thng tin khoa hc nhm pht hin tnh quy lut ca i tng
.

8.3.1.1.2 D bo (Forecasting)
D bo l tin on khoa hc mang tnh xc sut v tnh phng n trong khong
thi gian hu hn v tng lai pht trin ca i tng nghin cu.

a) Tnh xc sut :
Do d bo da trn vic x l chui thng tin bao gm c 2 yu t xu th pht
trin v yu t ngu nhin, v vy kt qu d bo so vi thc t c s chn lch mang tnh
xc sut.

b) Tnh cht phng n:

D bo c th hin bng nhiu dng kt qu c th xy ra trong tng lai (dng
nh tnh, dng nh lng, dng khong, dng im, )

c) Tnh cht thi gian hu hn:

S chnh lch gia thi im d bo v thi im hin ti c gi l khong
cch d bo (tm xa d bo l), khong cch ny khng th ty tin m n ph thuc vo
mc n nh ca i tng nghin cu trong qu trnh pht trin . V vy d bo c
tin hnh vi khong cch d bo thch hp tng ng mt khong thi gian hu hn no
.

8.3.1.2 Phn loi d bo :

a) Da vo thi gian :
Cn c vo khong cch d bo, ngi ta chia d bo thnh 2 loi chnh:
- D bo ngn hn : Khong cch d on ngn hn dng cho cp qun l trung
bnh v thp, cho chin lc tc thi.
- D bo di hn : Khong cch d bo di dng cho qun l cp cao, cho cc
i tng nghin cu mang tm c chin lc.

Cao Ho Thi

b) Da theo kt qu :
-

D bo im : Kt qu d bo c th hin bng mt gi tr duy nht.

F t+l = A

Ft+l : gi tr d bo thi im t+l.

- D bo khong : Kt qu d bo c th hin di dng khong tin cy vi
xc sut xy ra c ch nh.
Ft+l = A

c) Da theo i tng nghin cu:

-

D bo ti nguyn.
D bo khoa hc k thut.
D bo dn s lao ng.
D bo x hi.
D bo th trng

8.3.2 Cc bc d bo:
Cng tc d bo gm 4 bc:

8.3.2.1 Thu thp s liu:

Yu cu phi c s liu
- Chnh xc
- ng mc ch d bo
y l phn kh khn v tn thi gian.

8.3.2.2 X l s b s liu:
- B nhng s liu khng cn thit, khng chnh xc.
- B xung nhng s liu cn thiu.
- Chia tp s liu thnh 2 nhm : nhm u v nhm kim tra.

8.3.2.3 La chn phng php v xy dng m hnh d bo

- Phng php d bo c chn sao cho ph hp vi s kiu thuc nhm u
v vi i tng nghin cu.
- Lp m hnh d bo sao cho sai s d bo l nh nht. Sai s d bo c
kim nh bi nhm s liu kim tra.
8.3.2.4 D bo:
- T m hnh d bo xc nh gi tr d bo
- Phn tch kt qu nhn c.

Cao Ho Thi

8.3.3 Cc phng php d bo thng dng:

Cc phng php d bo thng dng c th chia lm 3 loi:
- Phng php gin n (naive method)
- Phng php trung bnh (average method)
- Phng php lm trn (smoothing method)

8.3.3.1 Phng php d bo gin n:

A. Phng php 1:
Trong phng php ny ngi ta gi thit gi tr gn y nht l gi tr
ng nht cho tng lai.

Ft+1 = Xt
Ft+1 : l gi tr d bo thi im t+1
Xt : l tr quan st c thi im t

Nhn Xt:
y l m hnh n gin nht. M hnh ny khng th hin c cc
thnh phn ca chui thi gian.
nh gi chnh xc ca cng tc d bo ngi ta phi tnh sai s d
bo e.

et+1 = Xt+1 Ft+1

V d:
Lng hng bn ra theo qy ca mt cng ty t nm 1979 n 1985 c cho trong
bng s liu.
Da vo bng s liu lp m hnh d bo lng hng bn ra theo qu trong tng
lai.
Nm
Qu
T
Lng sp
bn c
1979
1
1
500
2
2
350
3
3
250
4
4
400

Cao Ho Thi

1980

1
2
3
4

5
6
7
8

450
350
200
300

1981

1
2

9
10

350
200

3
4

11
12

150
400

1982

1
2
3
4

13
14
15
16

550
350
250
550

1983

1
2
3
4

17
18
19
20

550
400
350
600

1984

1
2
3
4

21
22
23
24

750
500
400
650

1985

1
2
3
4

25
26
27
28

850
600
450
700

Gii:
Nu chng ta s dng s liu t nm 1979 n nm 1984 lm phn u ca nhm
s liu v s dng s liu nm 1985 l phn kim tra
Gi tr d bo cho qu I nm 1985 (thi im 25)

F25 = F24 + 1 = X24 = 650

Sai s d bo thi im 25 l

e25 = X25 F25 = 850 650 = 200

Tng t, gi tr d bo cho qu II nm 1985 (thi im 26) l

F26 = X25 = 850

Sai s d bo thi im 26 l

e26 = X26 F26 = 600 850 = -250

Nhn Xt: Sai s ln cn phi sa i m hnh.
B. Phng php 2:
Trong phng php ny, ngi ta thm vo cc s hng nh gi nh
hng ca thnh phn xu hng trong chui thi gian. M hnh c th c dng:

Cao Ho Thi

a)

Ft+1 = Xt + ( Xt Xt 1)
nh gi nh hng ca thnh phn xu hng
V d:
Gi tr d bo thi im 25

F25 = X24 + ( X24 - X23 )

= 650 + ( 650 400)
F25 = 900
Sai s d bo thi im 25

E25 = X25 - F25

= 850 - 900
e25 = -50
b)

Ft+1 = Xt *

Xt
X t 1

V d:
F25 = X24 *
= 650 *

X 24
X 23

650
400

F25 = 1050
e25 = X25 - F25
= 850 -1056
e25 = -206
C. Phng php 3:
Trong phng php ny, ngi ta c ch n nh hng ca thnh
phn ma trong chui thi gian.

Ft+1 = Xt-3
Cao Ho Thi

10

Vi cng thc ny lng sn phm bn ra qu d bo bng lng sn

phm bn ra trong qu tng ng nm trc . Nhc im ca phng php ny l
khng ch ti tc ng khc nhau gia cc nm v thnh phn xu hng.

V d:
F25 = X21 = 750
e25 = X25 - F25
= 850 750
e25 = 100
D. Phng php 4:
Trong phng php ny, ngi ta ch n nh hng ca thnh phn ma
v thnh phn xu hng ca chui thi gian.

Ft+1 = Xt-3

T/phn ma

(X t X t 1 ) + ... + (X t 3 X t 4 )
4
Gi tr trung bnh ca s thay i ca 4
T/phn xu hng
qy gn nht

V d:
F25 = X21 +

(X 24 X 23 ) + (X 23 X 22 ) + X 22 X 21 ) + (X 21 X 20 )
4

= 750 +

(650 400) + (400 500) + (500 750) + (750 600)

4

= 750 +12,5
F25 = 762,5
e25 = X25 - F25
= 850 - 762.5
e25 = 87.5

Cao Ho Thi

11

Nhn xt chung:
Phng php Naive c u im n gin v ph hp cho nhng phn tch
ban u nhng sai s ln.

8.3.3.2 Cc phng php trung bnh:

a. Phng php trung bnh gin n:
Trong phng php ny, ngi ta s dng gi tr trung bnh ca ton b
s liu c trc thi im d bo lm gi tr d bo.

Ft+1 =

1
n

X
t =1

V d: gi tr d bo cho qu I/1985 (thi im t = 25)

F25 =
=

1
24

24

X
t =1

1
* (9800)
24

F25 = 408,33
e25 = X25 F25
= 850 408,33
e25 = 441,67
Gi tr d bo cho qu II/1985 (thi im t = 26)
F26 =
=
F26 =

1 25
1 24

=
X
X t + X 25

25 t =1
25 t =1

1
[9800 + 850]
25
1
* 10650 = 426
25

e26 = X26 - F26

= 600 - 426

Cao Ho Thi

12

e26 = 174
Trong v d ny, cc sai s d bo ln d bo khng chnh xc.
Phng php trung bnh n gin thng c s dng khi dy s liu khng
bin i theo ma,khng c hng, khng i xng v vi tp s liu ln.
b. Phng php trung bnh dch chuyn ; (Moving Average)
Trong phng php ny, ngi ta s dng gi tr trung bnh ca n s liu quan st
trc thi im d bo.

Ft+1 =

1
(Xt + Xt-1 + Xt-2 +.+ Xt-n+1)
n

Nhn xt:
- M hnh ny ch n n s liu quan st bit gn thi im d bo nht.
- S n khng thay i khi tnh gi tr trung bnh dch chuyn.
n = 1 Ft+1 = Xt : Phng php naive
1 n
n = 1 Ft+1 = X t :Phng php trung bnh gin n.
n t =1
(ton b s
liu)

- Tng qut, phng php trung bnh dch chuyn tt hn phng php trung bnh
gin n.

V d:
Gi tr d bo cho qu I/1985 vi n = 4

F25 =
=

1
(X24 +X23 + X22 +X21 )
4
1
1
(650 + 400 +500 +750 ) = * 2300
4
4

F25 = 575
e25 = X25 - F25
= 850 575
e25 = 275
c. Phng php lm trn hm m:(Exponential Smoothing Methods)
Ft+1 = Xt + (1-) Ft

Cao Ho Thi

13

Ft+1 :gi tr d bo thi im t+1

Ft :gi tr d bo thi im t
Xt :gi tr quan st thi im t
:hng s lm trn, 0 1

8.3.3.3 Phng php t hi qui:(Autoregressive models)

a) M hnh t hi qui bc 1:(first-order autoregressive models)
Xt= + 1 Xt-1 + at
, 1 : l cc tham s c nh
at

: l

bin ngu nhin c s trung bnh l 0

b) M hnh t hi qui bc 2 (second order autoregressive models )

Xt = +1 Xt-1 + 2 Xt-2 + at
c) M hnh t hi qui bc p: (Autoregressive model of order p)
Xt = + 1 Xt-1 + 2 Xt-2 + + pXt-p +at

Cao Ho Thi

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