Chng 3: M Hnh ARIMA

Gii thiu tng quan MH ARIMA

Tnh tng quan trong s liu time series
Tnh dng & Kim nh: chui dng, chui khng
dng, chui dng sai phn. Kim nh bng gin
t tng quan v nghim n v.
Cc MH t hi qui, M Hnh bnh qun di ng:
AR(1); AR(p); MA(1); MA(p)
M Hnh ARIMA: Qui trnh la chn m hnh.
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I. Gii thiu tng quan v cc m

hnh ARIMA
Box v Jenkins (1976) l nhng ngi
u tin gii thiu cc m hnh ARIMA,
trong :
AR = Autogressive ( t hi qui)
I = Intergrated ( Chui dng sau khi
chuyn sai phn)
MA= Moving average( bnh qun di ng)

I. Tnh dng v kim nh tnh

dng
1. Tnh dng: Chui thi gian dng
Mt chui thi gian dng c cc c im sau y:
D liu dao ng xung quanh mt gi tr trung
bnh di hn E(Yt) =
D liu c gi tr phng sai xc inh khng
i theo thi gian Var(Yt) =E(Yt-) =
D liu c mt gin t tng quan vi cc
h s TTQ s gim dn khi tr tng ln.

1. Tnh dng: Chui thi gian dng

Tm li: Mt chui thi gian l dng nu
gi tr trung bnh, phng sai, v hip
phng sai ( cc tr khc nhau)
s khng thay i theo thi gian.
Tnh dng ca chui thi gian rt quan
trng ??

1. Tnh dng: Chui thi gian

khng dng
Chui thi gian c yu t xu th c gi l
chui khng dng.
Trong chui khng dng cc gi tr lin tip ca
n c mi quan h vi nhau kh c ngha.
Cc h s t tng quan ca cc tr u
tin rt ln v s gim dn v khng khi s
tr tng ln.
Q: Tnh dng ca chui thi gian l quan
trng?

1. Tnh dng: chui dng sai phn

Khi gp mt chui d liu khng dng
cn loi b tnh khng dng trc khi
tin hnh cc phn tch.
C th d dng lm dng mt chui
bng phng php sai phn
Sai phn:
Bc 1: Yt = Yt - Yt-1
Bc 2: Yt =Yt- Yt-1
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2. Bc ngu nhin

 Do , E(Yt) =

2. Kim nh tnh dng : Bng gin

TTQ:
Da vo biu TTQ xc nh xem
mt chui thi gian l dng hay
khng vi tng chnh nh sau:
Nu h s TTQ u tin khng khc
khng nhng cc h s TTQ tip theo
bng khng c ngha thng k, th
l mt chui dng.

2. Kim nh tnh dng : Bng gin

TTQ
Nu mt s h s TTQ khc khng
mt cch c ngha thng k th
l mt chui khng dng.

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2. Kim nh nghim n v( Unit

root test)
Gi s c m hnh t hi qui:
Yt = Yt-1+Ut (*)
Ta c cc gi thit:
H0: = 1 ( Yt l chui khng dng)
H1: < 1 ( Yt l chui dng)
T (*) ta c:Yt Yt-1 = Yt-1 Yt-1+Ut
yt = (-1) Yt-1 +Ut = Yt-1 + Ut (**)
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2. Kim nh nghim n v
Nh vy gi thit trn c th vit li
thnh:
H0: = 0 ( Yt l chui khng dng)
H1: < 0 ( Yt l chui dng)
C hai trng hp ko th dng t- test
ngay ca khi mu ln.
Dickey Fuller ( DF) a ra tiu
chun kim nh nh sau:
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2. Kim nh nghim n v
S dng thng k
c lng (*) or (**)

Tnh thng k:

SE ( )

Nu gi tr ca ln hn gi tr ca

tra bng) th bc b H0

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2. Kim nh nghim n v
Tiu chun DF c p dng cho cc
m hnh sau y:

yt = Yt-1 + Ut
yt = 1 + Yt-1 + Ut
yt = 1 + *t + Yt-1 + Ut

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IV. M hnh AR, MA, ARIMA

1. M hnh AR.
M hnh t hi qui bc p, k hiu AR(p):

Y Y
t

t 1

t 2

t 1

ut

Y Y
t

i 1

iu kin rng buc

...

Y
p

i 1

t p

ut

1
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IV. M hnh AR, MA, ARIMA

Trong :
Yt-1, Yt-2Yt-p: bin tr bc 1, 2...p
ut: tc ng ca cc yu t khc n Yt ngoi
bin tr (ut l nhiu trng)
; ;... : l cc tham s ca m hnh t hi
1
2
p
qui
: l hng s, th hin mc trung bnh ca
0
chui Yt. Nu d liu dao ng xung quanh
gi tr 0 hoc dng sai phn th khng cn
h s ny trong m hnh.

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IV. M hnh AR, MA, ARIMA

Cch xc nh p:
Da vo gin tng quan: ACF c xu
hng bng khng ngay lp tc,
trong khi PACF s c xu hng
khc khng c ngha thng k cho
n tr p v s bng khng ngay
sau tr p .

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IV. M hnh AR, MA, ARIMA

2. M hnh MA
M hnh trung bnh trt bc q, k hiu
MA(q):

0 1 u t 1 2 u t 2 ... q u t q u t
q

0
j 1

t j

ut

iu kin rng buc:

i 1

1
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IV. M hnh AR, MA, ARIMA

Cch xc nh q:
Da vo gin tng quan: ACF c xu
hng khc khng c ngha thng
k n tr q v s bng khng
ngay sau tr q . Trong khi ,
PACF s c xu hng bng khng
ngay lp tc.

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IV. M hnh AR, MA, ARIMA

3. M hnh ARMA
M hnh ARMA (p,q) c dng:

t 1

t 2

...

t p

1 u t 1 2 u t 2 ... q u t q u t

Cng nh M hnh AR, MA, ARMA ch thch hp

cho cc chui dng.

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IV. M hnh AR, MA, ARIMA

4. M hnh ARIMA(p,d,q)
I(d): chui dng sau khi chuyn sai phn bc d.
V d c ARIMA(p,1,q) nh sau:

C Y t 1 Y t 2 ... Y t p 1 u t 1 2 u t 2 ... q u t q u t
1

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