Professional Documents
Culture Documents
Arima
Arima
HCM
TRNG I HC BCH KHOA
KHOA KHOA HC & K THUT MY TNH
Mc Lc
Chng 1 Gii thiu........................................................................................4
Chng 2 Chui thi gian v cc thnh phn ca chui thi gian.................5
2.1. Chui thi gian.....................................................................................5
2.2. Cc thnh phn ca chui thi gian......................................................8
2.3. Chui thi gian tnh............................................................................11
Chng 3 M hnh ARIMA..........................................................................14
3.1 M hnh trung bnh di ng bc q, MA(q)..........................................14
3.2 M hnh t hi quy bc p, AR(p).........................................................16
3.3 M hnh kt hp t hi quy v trung bnh di ng, ARMA(p,q)........20
3.4 M hnh t hi quy kt hp vi trung bnh di ng, ARIMA(p,d,q)...22
3.5 M hnh ARIMA c tnh ma..............................................................23
3.6 Cc bc xy dng m hnh ARIMA..................................................23
3.7 Tm tt.................................................................................................26
Chng 4 Dng m hnh ARIMA d on bng phn mm R................27
4.1 Gii thiu phn mm R........................................................................27
4.2 Cc v d v xy dng m hnh ARIMA bng R.................................27
Chng 5 Kt lun........................................................................................35
Ti liu tham kho.........................................................................................36
Danh mc hnh
Hnh 1 S khch hng t ch hng thng ca hng Pan Am.........................5
Hnh 2 Hm t tng quan..............................................................................6
Hnh 3 tng nhit trung bnh hng nm t 1856 n 2005...................9
Hnh 4 Hm t tng quan ca chui tng nhit trung bnh hng nm t
1856 n 2005...............................................................................................10
Hnh 5 Chui thi gian c tnh ma..............................................................11
Hnh 6 (a) Chui thi gian tnh, (b) chui thi gian khng tnh...................12
Hnh 7 Hnh nh ca m hnh
MA(2)
yt 40 t 0.7 t 1 0.28 t 2 ..............................................................16
Hnh 8 ACF v PACF ca m hnh yt 4 0.4 yt 1 0.5 yt 2 t ................20
Hnh 9 Hm t tng quan v t tng quan ring phn ca m hnh
yt 16 0.6 yt 1 t 0.8 t 1 ......................................................................22
Hnh 10 Cc bc xy dng m hnh ARIMA.............................................24
Hnh 11 th gi c phiu ca tp on ISC..............................................28
Hnh 12 Hm t tng quan v hm t tng quan ring phn ca chui gi
chng khon ca tp on ISC......................................................................29
Hnh 13 Hm t tng quan chui thng d ca m hnh............................30
Hnh 14 th v hm t tng quan ca doanh s bn hng ca tp on
Keytron..........................................................................................................31
Hnh 15 Hm t tng quan v hm t tng quan ring phn ca chui ly
hiu ca doanh s bn hng ca tp on Keytron.......................................32
Hnh 16 Chui thng d ca m hnh arima(0,1,1)x(0,1,1)12 cho chui doanh
s bn hng ca tp on Keytron................................................................33
Con ngi lun quan tm n tng lai. Vic on trc nhng bin c s
din ra gip ch rt nhiu cho cuc sng ca con ngi. T xa xa, cc hc
gi pht trin cc phng php quan st bu tri, gi, mt trng, hot
ng ca ng thc vt d on cc bin ng v thi tit, v thy triu
phc v cho cc hot ng nng nghip, xy dng, chin tranh. Ngy nay
khi m hu ht cc t chc u hot ng trong mi trng khng chc
chn, k hot lp ra hm nay s nh hng n s sng cn ca t chc
trong ngy mai th vic d on trc mt cch chnh xc tr nn rt quan
trng i vi cc nh ra quyt nh [1]. Cc nh u t cn phi d on
c nhu cu th trng, s bin ng ca nn kinh t trong tng lai c
th u t hiu qu. Cc nh hot nh chnh sch quc gia cn d on
c v mi trng kinh doanh quc t, t l lm pht, t l tht nghip
trong nhiu nm ti a ra cc chnh sch ph hp.
C rt nhiu phng php v m hnh d bo c pht minh ra gip
cho cc nh ra quyt nh trong c mt lp cc m hnh da trn s phn
tch thng k cc d liu trong qu kh a ra d bo. S pht trin ca
cng ngh thng tin gip cho vic thu nhp, lu tr v tnh ton thng k
trn mt lng ln d liu d dng hn, lm cho cc m hnh thng k tr
nn ph bin. Cng vic ch yu ca cc nh d bo l la chn mt m
hnh ph hp vi bi ton ca mnh. Bi bo co ny s gii thiu v cch
xy dng v kim tra m hnh ARIMA, mt m hnh d bo da trn thng
k ni ting. Chng ti cng gii thiu cch dng phn mm thng k R
c lng cc thng s ca m hnh ny.
E[( X t )( X t k )]
k
Var ( X t )Var ( X t k )
(2.1.1)
Vi
* k l h s t tng quan ca X tr k
* l trung bnh ca Xt
Nu k khc khng th gia Xt v Xt+k c s tng quan vi nhau.
biu din s t tng quan ca mt bin theo nhiu tr khc nhau
mt cch trc quan, ta dng hm t tng quan.
nh ngha: Hm t tng quan l mt th biu din cc h s t tng
quan theo cc tr khc nhau [1].
Hnh 2 l mt v d v hm t tng quan.
rk
T k
t 1
( X t X )( X t k X )
(2.1.2)
2
(
X
X
)
t
t 1
Vi
*
rk
l h s t tng quan ly mu tr k
* X l trung bnh mu ca X t
* T l s phn t ca mu.
kim tra xem h s t tng quan tr k ca mt chui thi
gian c khc khng hay khng, ta dng php th t.
rk
k 1
1 2 ri 2
(2.1.3)
i 1
n
Vi :
* ri l h s t tng quan mu tr i
* k l tr
* n l kch c mu
Nu
10
11
thi gian. Nhng chui thi gian nh vy gi l chui thi gian c tnh cht
tnh (stationary) hay gi l chui thi gian tnh.
nh Ngha : Mt chui thi gian {Xt} c tnh cht tnh hay gi l chui
thi gian tnh nu n tha mn hai tnh cht sau
(1) E ( X t ) , t
(2)
Cov( X t , X t k ) k , t
Mt chui thi gian khng tha hai tnh cht (1) v (2) gi l chui thi
gian khng tnh (nonstationary). Vic biu din mt chui thi gian khng
tnh bng mt m hnh i s n gin l khng d nhng trong thc t ta rt
thng gp cc chui thi gian khng tnh, do ta cn bin i mt chui
thi gian khng tnh v thnh chui tnh. Mt phng php thng dng
nht l phng php ly hiu (differencing).
Xt = Xt Xt-1
Nu Xt l chui tnh th ta xy dng m hnh m t Xt ri t suy ra Xt.
Nu Xt vn l chui khng tnh, ta tip tc p dng ton t cho chui Xt
13
yt t 1 t 1 ... q t q
(3.1.1)
Vi :
l trung bnh ca chui thi gian tnh {yt}.
i l sai s, biu din thnh phn khng th d on c t m hnh
thi im i.
yt 1 1 B ... q B q t
q
1 i B i t
i 1
t
q
i
y B t t q v ( B ) 1 i B
i 1
2,
(h)
0,
h0
h0
Nn
14
E ( yt ) E ( t 1 t 1 ... q t q ) .
k Cov( yt , yt k )
2 ( k 1 k 1 ... q k q ), k 1, 2,..., q
0,
k q
k 1 k 1 ... q k q
,
k )
1 12 ... q2
k )
0
0, k q
k 1, 2,..., q
yt 40 t 0.7 t 1 0.28 t 2
y, , 1 0.7, 2 0.28
> set.seed(1)
> y <- e <- rnorm(1000)
> for(t in 3:1000){
y[t] <- 40 + y[t] + 0.7*e[t-1] - 0.28*e[t-2]
}
> plot(y,ylim=c(35,45),type ="l")
> acf(y)
Hnh 7 l kt qu m phng. y ta thy cc h s t tng quan
tr ln hn 2 u bng khng mc ngha 5%.
15
yt 1 yt 1 ... p yt p t
Vi
l hng s.
16
(3.2.1)
thi im t.
tr yt-i ln yt.
T (3.2.1) ta c:
E ( yt )
1 1 2 ... p
k ) Cov ( yt , yt k )
p
i Cov ( yt i , yt k ) Cov( t , yt k )
i 1
p
2,
k 0
i 1
0 ,
k 0
i k i
Suy ra
k ) p
k
i k i ).
0 i 1
k 1, 2,3,...
(3.2.2)
j ik j i ) ,
j 1, 2,3,..., k
i 1
.
k 1
.
.
.
( k 2)
3)
.
.
.
k 3
k 1)
...
k 2
k 3
.
.
.
.
.
.
...
1
1k
2 k
3k
.
.
.
kk
k )
Hay
Pk k p k
Vi
Pk .
.
.
k 1
1k
2 k
3k
k .
.
.
kk
.
.
.
(k 2)
3)
.
.
.
k 3
k 1)
k 2
k 3
.
. ,
.
.
.
.
...
1
...
pk
k )
18
19
i 1
i 1
yt i yt i t i t i
Hay
( B) yt t
20
yt 16 0.6 yt 1 t 0.8 t 1
> set.seed(1)
> y <- e <- rnorm(1000)
> for(t in 2:1000){
+ y[t] <- 16 + 0.6*y[t-1]+ e[t] + 0.8*e[t-1]
+}
> layout(1:2)
> acf(y)
> pacf(y)
Hnh 9 l hnh nh ca hm t tng quan v t tng quan ring phn
ca chui thi gian sinh ra bng m hnh trn. Ta thy hm t tng quan v
hm t tng quan ring phn gim dn v khng.
21
( B)(1 B) d yt t
ngha ca cc k hiu ging nh m hnh AR(p) v MA(q).
3.5 M hnh ARIMA c tnh ma
M hnh ARIMA c th lm vic tt vi d liu c xu hng tuyn tnh
nhng vn cha x l tt cc chui thi gian c tnh ma, tc l chui thi
gian c nhng thnh phn th hin s bin i lp i lp li ti tng thi
im c nh theo tng nm. Do ngi ta a vo bn h s P,D,Q,s vo
m hnh ARIMA(p,d,q) to thnh m hnh ARIMA(p,d,q) x (P,D,Q)s.
y s chnh l thi im m thnh phn ma s lp li, nu d liu c
quan st theo thng th s = 12, nu d liu quan st theo qu th s = 4. M
hnh ARIMA cho d liu c tnh ma i khi cn c gi m hnh
SARIMA.
Dng ton hc ca m hnh ARIMA(p,d,q) x (P,D,Q)s l
* ( B s ) ( B )(1 B) d (1 B s ) D yt * ( B s )( B ) t
Vi
* ( B s ) 1 1* B s 2* B 2 s ... P* B Ps ,
* ( B s ) 1 1* B s 2* B 2 s ... Q* B Qs
Vic xc nh cc thng s P, D, Q tng t nh vic xc nh cc h s
p, d, q thng thng ch khc ch cc du hiu ca hm t tng quan v
hm t tng quan ring phn khc th hin theo cc tr l bi ca s.
3.6 Cc bc xy dng m hnh ARIMA
Trong vic d on chui thi gian da trn m hnh ARIMA, cng
vic ch yu ca ngi d bo l xc nh c bc ca m hnh. Cng vic
ny c thc hin thng qua mt th tc lp. Ban u mt m hnh d
tuyn c xy dng, tip theo kim tra xem m hnh c m t y
chui thi gian khng, nu m hnh khng y th to m hnh mi ci
tin hn m hnh c. Qu trnh ny c lp i lp li cho n khi tm c
mt m hnh y . Hnh 10 minh ha cho qu trnh xy dng m hnh
23
rk (e)
k 1 n k
m
Qm n(n 2)
Vi
rk (e) l h s t tng quan ca thng d tr k.
n l kch thc ca chui thng d.
k l tr
m l tng s tr c kim tra.
Php th thng k Q c phn phi xp x phn phi 2 vi m-r bc t
do, vi r l tng s tham s c lng ca m hnh. Nu p gi tr (p-value)
ca Q nh hn 0.05 th m hnh xem nh khng y [1]. Ta c th quan
st hm t tng quan v hm t tng quan ring phn ca chui thng d
ci tin m hnh.
Bc 4 : Dng m hnh a ra d bo
Sau khi xc nh c m hnh y ta tin hnh d bo. Cng
vic ny cng c thc hin t ng bng my tnh. Trong R ta c th dng
hm predict() sinh ra cc gi tr d on.
Tiu chun la chn m hnh
25
2
AIC ln 2 r
n
ln n
BIC ln 2
r
n
Vi
ln = logarit t nhin
26
27
28
ar1 intercept
-0.4044 258.0567
s.e. 0.1117 4.5728
sigma^2 estimated as 2739: log likelihood = -360.32, aic = 726.64
Vy m hnh d tuyn l Yt 258.1077 0.4044* Yt 1
Thc hin nh gi sai s kim tra tnh y ca m hnh.
> res <- fit$res
> acf(res)
y fit$res s tr v chui thng d ca m hnh. Kt qu trong hnh
13
30
Time Series:
Start = 68
End = 69
Frequency = 1
[1] 52.33360 56.45093
Hm predict() dng d on, vi tham s th nht l m hnh d
on, tham s th hai l s thi on d on. Theo kt qu trn th gi tr
thi on 68 v 69 ln lt l 283.56 104.66 v 247.74 112.9 .
V d 2: D liu s dng l doanh s bn hng trong 115 thng lin tip
ca tp on Keytron, bt u t thng 1 nm 1987. D liu ny c ly
trong ti liu tham kho [1].
u tin ta v th v hm t tng quan mu ca chui d liu.
> plot(s)
> acf(s,lag.max=28)
Vi s l chui doanh s bn hng theo thng ca tp on Keytron. Kt
qu trong hnh 14.
32
Start = 116
End = 117
Frequency = 1
[1] 2457.309 2584.550
$se
Time Series:
Start = 116
End = 117
Frequency = 1
[1] 112.1638 113.7134
Vy kt qu d on thi im 116 v 117 ln lt l
2457.31 224.32 v 2584.55 227.42 .
34
Chng 5 Kt lun
M hnh ARIMA l mt m hnh tng qut c th s dng cho nhiu
loi chui thi gian trong thc t, k c nhng chui c thnh phn xu
hng v thnh phn ma. Tuy nhin m hnh ARIMA cng c mt s hn
ch.
1.
xy dng m hnh ARIMA cn phi c nhiu d liu. Vi
nhng chui khng c tnh ma cn c 40 quan st tr ln, vi
chui d liu c tnh ma cn d liu c thu thp trong
khong 6 n 10 nm [1].
2.
Khng d cp nhp m hnh khi c them d liu mi, thng l
m hnh mi s c xy dng [1].
3.
Vic xy dng mt m hnh ARIMA y cn tn nhiu thi
gian v ti nguyn hn cc phng php truyn thng khc
chng hn nh phng php lm trn (smoothing) [1].
35
36