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76
ARMA
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ARMA .
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AR MA
ARMA
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MA ARMA
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ARMA .
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20 1386 11 1387
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) ( .(email: m_sadabadi@aut.ac.ir)
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.(email: mshafiee@aut.ac.ir)
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.(email: karrari@aut.ac.ir)
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5
4
MDL AIC
MEV6 . AIC MDL
. AIC
MDL
.
] .[21 MEV
MDL .
].[21
)
2. Information Theoretic Criterion Methods
3. Linear Algebraic Methods
4. Akaike Information Criterion
5. Minimum Description Length
6. Minimum Eigenvalue
: ARMA
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ARMA .
AR
MA ARMA
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MA ARMA
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(QP)1 .
ARMA .
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)(1
j1 =0 j2 =0
*p2
*p1
0 0
i1 , i2
= i1 = i2
*
2
*
1
*
1
) (l1 i1 , l2 i2
i1 ,i2 l1 i1 , l2 i2
)(2
) h( j1 l1 , j2 l2
p2
q2
j1 , j2
p1
0 0
q1
0 0
= i1 = i2
2
u
= j1 = j2
h j , j .
j1 < 0 j2 < 0 rl ,l .
} { yt ,t ) (3
)(3
] rl ,l = E [ yt ,t yt l ,t l
2
1 2
1 2
1 2
1 2
1 2
]E [.
. ) (2
ARMA . ) (2 l1 > q1
l2 > q2
)(4
=0
p2
p1
0 0
i1 , i2 l1 i1 , l2 i2
= i1 = i2
) = 1T r (l1 , l2
)(5
rl1 ,l2
1 AR ARMA
) r (l1 , l2
r (l1 , l2 ) = [rl1 ,l2 1 rl1 ,l2 p2 rl1 p1 ,l2 rl1 p1 ,l2 p2 ]T
-3
ARMA
.
] .[24
] .[24
] [24 ] .[27
1. Quarter Plane
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ARMA ) (1 N1 N 2
. ) (1 ) (2 .
ARMA ) (1 MYW2
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ch
1 2
*
2
1-3 AR ARMA
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yt ,t ut ,t .
) * ( p1* , p2 ) * (q1* , q2 AR MA
ARMA . :
)a0,0 = 1 :(1
)a p , p 0 , bq , q 0 :(2
N1 N 2 ) t2 = 0,1, 2,, N 2 1 ( t1 = 0,1, 2,, N1 1
- .
ARMA .
1 2
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of
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*q1
77
R0
) (m2 >> n2 > p2 + 1
] R0 = [r00 r0n 1 r10 r1n 1 rn0 1 rnn 11
)(6
2
ri j (m1 m2 ) 1
ri j = [rq + i , q + j rq + i , q + j + m2 1
)(7
rq + i + m1 1, q + j rq + i + m1 1, q + j + m2 1 ]T
i = 0, 1 , , n1 1 , j = 0, 1 , , n2 1
2. Modified Yule-Walker
7 1 1388
78
q > q1 q > q2 . R0
R1
R n1 1
R n1
Rm1 + n1 2
)(8
R2
R m1
R0
R
R0 = 1
Rm1 1
Rqe +1
1
Rqe + p1
1
Rqe1 p1
Rq p +1
R1e = e1 1
R
qe1
Rqe p1 +1
)(10
Rqe p1 + 2
1
Rqe +1
1
= Rqe p1 + i
rqe p1 + i , qe
1
2
rqe p1 + i , qe +1
1
2
rqe p1 + i , qe + p2
1
2
rq + k , q + n2 1
rq + k , q
= Rk
r
q
+
k
,
q
+
m
1
q
+
k
,
q
+
m
+
n
2
2
2
2
k = 0, 1 , , m1 + n1 2
R1 R0 n2 )
( n1 = n1 1 . R2
R0
SI
] [22
) p1 = rank ( R0 ) rank ( R2
)(9
) p2 = rank ( R0 ) rank ( R1
p2 + 2
rqe p1 + i , qe
+1
rqe p1 + i , qe
1
)(11
: qe > q1 .
. rank ( R1 ) = ( p1 + 1)( p2 + 1) 1
l1 = qe , qe + 1,, qe + p1 l2 = qe , qe + 1,, qe + p2
MYW
)(12
R1 a = 0
1
of
AR ARMA
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R1 R0 R2
1 .
) ( NRm ][22
p2 +1
rqe p1 + i , qe
rqe1 p1 + i , qe2 p2
rqe1 p1 + i , qe2 p2 +1
r
qe1 p1 + i , qe2
i = 0, 1 , , 2 p1
) (i
2
m
, m = 0, 1 , 2
) (i
i =1
n1 n2
= ) NRm (k
0 ( p1 + 1)( p2 + 1) 1 .
MYW ] .[26
R1 .
A m n
A )) r = n dim( ( A )
.( dim( N ( A)) = A
2-3 MA ARMA
ARMA MA ] .[26
AR
ARMA MA
.
.
MA .
( p1 , p2 ) AR .
: p1 p2 qe q1
qe q2 . R 1
1
1. Singular
Ar
k = 1,, n1 n2 NRm (k ) .
) .( = 0/ 995 ,0/ 999
k Rm
m n1n2
(m = 0,1, 2) Rm ].[22
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i =1
ch
2
m
a AR
a = [a p , p a p ,0 a p 1, p a p 1,0 a0,1 1]T
)(13
ive
qe = q1 qe = q2 .
). rank ( R1 ) = ( p1 + 1)( p2 + 1
l1 = qe , qe + 1,, qe + p1 l2 = qe , qe + 1,, qe + p2
. qe = q1 qe = q2
MYM ) (2
R1 a = v
)(14
2
)(15
v = ( e2 b0,0 bq1 , q2 ) 0 0 0
v b0,0 0 .
R1 .
). rank ( R1 ) = ( p1 + 1)( p2 + 1
MA
. ) (q1 , q2
a
: ARMA
79
Q1 = qe > q1 Q2 = qe > q2 .
Q1 Q2 R1
. R1 ( p1 + 1)( p2 + 1) 1
) ( p1 + 1)( p2 + 1 . Q1 = q1 Q2 = q2
. MA .
) ( p1 + 1)( p2 + 1
) (
.
) ( p1 + 1)( p2 + 1 ( p1 + 1)( p2 + 1) 1
R 1 ] .[22
MA
R 2
2
Q1 = qe = p1 + 1 . Q2 = qe = p2 + 1
:3
) ( p1 + 1) + p2 ( pe + 1 .
Q1 = qe > q1
Q2 = qe > q2 .
2
)(16
SI
Rqe p1 + pe +1
1
1
Rqe p1 + t1 + pe 1
1
1
e1
e1
e1
= 2
e1
3-3 ARMA
ARMA .
(1 q > q1 ) q ( q > q2 .
(2 R0 ) (8 .
(3 n1 . R1
.
(4 n2 . R2 )
} {r0n 1 , r1n 1 ,, rnn 11 R0 (
.
(5 ) (9 AR ARMA
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Q1 = qe > q1 (6 Q2 = qe > q2 .
(7 Q1 Q2 . R 2
.
(8 ) ( p1 + 1) + p2 ( pe + 1
q1 = Q1 q2 = Q2 .
7 8
q2 , q1 .
of
rq p + i , q p +1 rqe1 p1 + i , qe2 p2 + 2
Rqe p1 + i = e1 1 e2 2
1
r
r
qe1 p1 + i , qe2 p2 + t2 1 qe1 p1 + i , qe2 p2 + t
rqe p1 + i , qe p2 + pe
1
2
2
rq p + i , q p + t + p 1
e1
e2
e2
1
2
2
e1
) ( Q1 +1, Q2
)p2 ( pe1 +1) + ( p1 +1
Rqe p1 +1
Rqe1 p1
1
Rqe1 p1 +1 Rqe1 p1 + 2
= R2e
Rq p + t 1 Rq p + t
1 1
e1
e1 1 1
pe1 p1 , pe2 = p2 , t1
e1
= 1
ive
2
Ar
1
MA .
Q1 = qe > q1 (1 Q2 = qe > q2 .
(2 Q1 Q2 . R2
.
(3 ) ( p1 + 1) + p2 ( pe + 1
q1 = Q1 q2 = Q2 .
q2 , q1 .
.
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AR . AR
MA .
:2 q2 , q1 qe q1
qe q2 . ) ARMA
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2
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MYW R 2
-4
AR
ARMA ...
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.
ARMA ) (1
)yt ,t = zt ,t , t1 = 0, 1 , , N1 1 , t2 = 0, 1 , , N 2 1 (17
1 2
1 2
7 1 1388
80
ARMA
zt ,t ) (t1 , t2 yt ,t
1 2
tv,t + t ,t
1 2
)(25
tv,t +1 = th,t
1 2
1 2
1 2
tv1 ,t2
1 2
)(18
)(19
1 2
yt ,t
t1 = 0,1, 2,, N1 1 t2 = 0,1, 2,, N2 1
.
)(20
y t ,t = t ,t zt ,t
zt1 ,t2
1 2
1 2
1 2
1 2
1 2
t ,t
) (t1 , t2 .
t ,t
] [35 .
t ,t
) (th,t ) (tv,t th,t
tv,t .
1 2
SI
1 2
1 2
1 2
)(21
1 2
1 2
)(27
t1 , t2 +1
P .
t ,t J t ,t
.
)
( t ,t
.
1 2
1 2
1 2
)(28
)(22
t1 +1,0
zth1 ,t2
yt1 ,t2 = h v v
zt1 ,t2
) (20
zth1 ,t2
v
t1 ,t2 v
zt1 ,t2
)(24
= th1 ,t2
y t1 ,t2
th,t tv,t h v
) (t1 , t2 .
) (21
1 2
www.SID.ir
1 2
0 < t , t
1 2
t1 ,t2
)(30
tv,t +1 = th,t
tv,t
1 2
1 2
( ztv1 ,t2 )T
1 2
h
T
t1 , t2
th+1,t
1 2
} {tv,0} , {0h,t
0h,t +1 = 0h,t th P h e0,t z0T,t
) -31(
2
Ar
) (17 ) (h ) (v
. (17)
2
< T
zt1 ,t2 Pzt1 ,t2
)(29
) -31(
1-4
)(23
1 2
ch
J t ,t
1 2
t1 ,t2 = t1 ,t2
t1 ,t2
t ,t
. ] [35
ive
= tv1 ,0 + tv1 ,0
J t1 ,t2
} {tv,0},{0h,t
.
.
][35
2
1 2
1
= etT1 ,t2 Pet1 ,t2
2
of
th+1,t = th,t + th ,t
1 2
1 2
1 2
] [35
.
)(26
et ,t = y t ,t yt ,t
= [a0,1 a0, p a p ,0 a p , p
1
th+1,t
1 2
P h P v th
tv
1
) -32(
2
z P h z0,t2
) -32(
2
P v zt1 ,0
T
0,t2
T
t1 ,0
< 0 < th
2
< 0 < tv
1
-5
ARMA . ut ,t
.
N1 = 100 N 2 = 100.
1 2
: ARMA
81
:1 100
AR ARMA )10.(11
p2
:1 . a
p1 p2
*1
75
*1
18
p1
:2 . 1
Q1
0
27/54
136/7
1
*0
Q2
:3 . 2
SI
:2 . b
*1
-5/6
*232/45
Q1
*1
13/9
*286/22
0
19/36
616/79
1
*0
Q2
of
:4 100
MA ARMA )10.(11
ive
q2
: ARMA
AR MA
) 1 (1 ) 0 (1 .
- .
(
AR ARMA
.
n1 = n2 = 3 , m1 = m2 = 10 q = 4 .
100 1 .
AR MA ARMA
. t1 = 6 pe = 1 pe = 4
Q1 = p1 + 1 = 2 t2 = 6 Q2 = p2 + 1 = 2 .
1 2 Q1 Q2 2 3
.
100 4
.
1
www.SID.ir
98
*1
q1
pe , pe R2 10
. R2 Q1 , Q2 5
.
*
.
2
Ar
yt1 ,t2 = 0/ 9 yt1 1,t2 + 0/ 9 yt1 ,t2 1 0/ 81 yt1 1,t2 1 + ut1 ,t2 0/ 2ut1 1,t2
*0
ch
:3 .
q1 q2
.
a = 0/ 9 , b = 0/ 9 , c = 0/ 81 , d = 1 , e = 0/ 2
P = 0/ 9
1 2 .
a = 0/ 9015 , b = 0/ 8949 , c = 0/ 8076 ,
d = 0 9930 , e = 0 1958
3 .
1388 1 7
82
. Q1 , Q2 R2 :5
e
Q1 = 2
[12]
[13]
[14]
[15]
[16]
[17]
[18]
[19]
[20]
[21]
[22]
[23]
Q2 = 2
Q2 = 1
6/61
1/76
1/78
0/808
0/556
0/42
0/082
-0/0678
0/045
0/0368
15/458
4/286
1/365
0/927
0/866
0/149
0/062
0/058
0/043
0/036
17/39
4/622
1/382
0/853
0/811
0/15
0/07
0/058
0/038
0/037
Q2 = 0
18/98
4/876
1/38
1/033
0/752
0/741
0/273
Q2 = 1
Q2 = 0
17/23
13/25
3/38
1/236
0/822
0/132
0/075
0/058
0/051
0/04
19/48
14/78
3/63
1/236
0/745
0/133
0/09
0/066
0/045
0/041
21/32
16/06
3/81
1/228
1/175
0/77
0/64
0/192
0/057
0/041
0/06
0/044
0/038
Q2 = 2
-6
. ARMA
.
ARMA MA AR
.
ARMA MA AR
.
.
.
. ARMA
ARMA
.
SI
of
[11]
Q2 = 0
6/2
1/7
1/18
0/87
0/58
0/148
0/075
0/051
0/047
0/037
ive
[10]
Q2 = 1
5/7
1/6
1/18
0/93
0/61
0/15
0/066
0/0556
0/045
0/038
ch
[9]
Q2 = 2
Ar
[8]
Q1 = 0
Q1 = 1
[1]
[2]
[3]
[4]
[5]
[6]
[7]
www.SID.ir
1383 1386 ) (
. 1386
.
:
.
: ARMA
83
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SI
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