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2

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2

ri j (m1 m2 ) 1
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)(7

rq + i + m1 1, q + j rq + i + m1 1, q + j + m2 1 ]T
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2. Modified Yule-Walker

7 1 1388

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q > q1 q > q2 . R0

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1
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: qe > q1 .
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1

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1

Rqe1 p1 +1 Rqe1 p1 + 2
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2

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p2 ( pe1 + 1) + ( p1 + 1) 1 when qe1 > q1


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MYW R 2

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] [13
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)yt ,t = zt ,t , t1 = 0, 1 , , N1 1 , t2 = 0, 1 , , N 2 1 (17
1 2

1 2

7 1 1388

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ARMA
zt ,t ) (t1 , t2 yt ,t

1 2

tv,t + t ,t

1 2

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tv,t +1 = th,t

1 2

1 2

1 2

tv1 ,t2

1 2

)(18

] b0,0 b0, q2 bq1 ,0 bq1 , q2

zt1 ,t2 = [ yt1 ,t2 1 yt1 ,t2 p2 yt1 p1 ,t2 p2

)(19

ut1 ,t2 ut1 ,t2 1 ut1 ,t2 q2 ut1 q1 ,t2 q2 ]T

1 2

yt ,t
t1 = 0,1, 2,, N1 1 t2 = 0,1, 2,, N2 1
.

)(20
y t ,t = t ,t zt ,t
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1 2

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1 2

1 2

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t ,t
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t ,t
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tv,t .

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t1 , t2 +1

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t1 +1,0

zth1 ,t2
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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

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1 2

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1 2

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tv,t +1 = th,t

tv,t
1 2

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( ztv1 ,t2 )T

1 2

h
T
t1 , t2

th+1,t
1 2

t1 ,t2 Pet1 ,t2 ( z

} {tv,0} , {0h,t
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2

tv+1,0 = tv,0 tv P v et ,0 ztT,0

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0h,t +1 = 0h,t + 0h,t

J t ,t
1 2
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t1 ,t2

t ,t
. ] [35

ive

= tv1 ,0 + tv1 ,0

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.
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2

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2

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] [35
.

)(26
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= [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

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1

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ARMA . ut ,t
.
N1 = 100 N 2 = 100.
1 2

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AR ARMA )10.(11
p2

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p1 p2

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p1

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1
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Q2

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SI

:2 . b

*1
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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

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*1

q1

pe , pe R2 10
. R2 Q1 , Q2 5
.
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.
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

T. Al - Towaim, A. D. Barton, P. L. Lewin, E. Rogers, and D. H.


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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]

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