TRNG CAO NG

KINH
K THUT SI GN
KINH
T T
LNG
Chng
7: t
Phn
tch chui
thi
gian
Khoa Kinh
& Qun
tr Kinh
doanh

KINH T LNG
Chng 7: Phn tch chui thi gian

NI DUNG MN HC

Ging vin: PGS. TS. NGUYN THNG

E-mail: nguyenthong@hcmut.edu.vn or nthong56@yahoo.fr
Web: http://www4.hcmut.edu.vn/~nguyenthong/
1

PGS. TS. Nguyn Thng

Tl. (08) 38 640 979 - 098 99 66 719

Chng 1: Thng k m t & Phn phi xc

sut c bn (n).
Chng 2: Kim nh gi thit thng k.
Chng 3: Hi quy tuyn tnh (HQTT) n.
Chng 4: Hi quy tuyn tnh bi.
Chng 5: Hi quy tuyn tnh vi bin gi & gi
tuyn tnh.
Chng 6: nh gi cht lng hi quy.
Chng 7: Phn tch chui thi gian.
Chng 8: Gii thiu phn mm SPSS p dng
cho HQTT & Chui thi gian
2
PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

PHN TCH CHUI THI GIAN

Phng php phn r

PHN TCH CHUI THI GIAN

(PHNG PHP PHN R)

???

Y5

Phng php Box-Renkins

(AR  Auto Regressive
MA  Mobile Average
ARMA, ARIMA, SARIMA)

Y0
t1

t2

t3

t4

t5

t.

tn

PGS. TS. Nguyn Thng

tn+1

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

PHNG PHP PHN R

Chui s liu c nghin cu tch
bit theo 2 yu t:
 Xu th s liu (v m)
 Bin i ma (vi m)

1. PHN TCH XU TH: y l mt phn tch lin quan

n chui nhiu nm, do ta s s dng s liu
hng nm phn tch. Mt cch tng qut ta cn
phi c mt chui di t ra l 10
15 nm.
Xu the tuyen tnh
Y=a+bt

???
Y6

Y3
Y0
5

PGS. TS. Nguyn Thng

2
1 Thng
PGS. TS. Nguyn

t3

t4

t5

t6

t7

t8

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

 nh gi yu t xu th, phng php

s dng ph bin l phng php bnh
phng ti thiu (BPTT).
 y l phng php cho php xc nh
c ng cong (thng) hoc mt phng
(siu mt phng) biu thi+ xu th, s, liu,
gii thiu "tt nht" s liu trong qu kh

Trong trng hp c bit khi nhn thy xu

th ca bin kho st trong thi gian di l
tuyn tnh, phng trnh s xc nh bi:

Y = a + bt
trong t biu th thi gian (nm) v a, b ch
cc thng s c xc nh ng thng
tnh c t phng php BPTT.

(gan vi so lieu quan sat).

PGS. TS. Nguyn Thng

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian
Gi yi l khong cch thng ng t im quan st
(ti,Yi) n ng thng cn xc nh. Ta nh ngha
ham muc tieu:
Quan st
2

Xu the tuyen tnh

Y=a+bt

D = Yi2 = [Yi (a + bt i )] min

Sai bit gia

quan st &
gia, tr tnh
t8 xu th,
Y6

Gia, tr (a+bti)
Y0

Gia, tr quan st

t2
t1 Thng
PGS. TS. Nguyn

t3

t4

t5

t6

t7

t8

2[ y
i

(a + bt i ) ] = 0

2 [ yi (a + bt i ) ].t i = 0

[1]

t =

[2]

N.t.y

PGS. TS. Nguyn Thng

t
i =1

t1 + ... + t N
N

N
s quan trc

t i2 N.t 2
i
a = y i bt i

10

t y

D
= 0
a
D
= 0
b

KINH T LNG
Chng 7: Phn tch chui thi gian

Gii h phng trnh trn ta c:

b=

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

T o:

i =1
i =1
Xu th
y l mt hm 2 bin a v b, cho D cc tr (vi
ngha vt l ca bi ton ta bit l cc tiu) ta phi
c:

11

12

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

HAM TNH a, b TRONG EXCEL

 Intercept(Y,X)  tnh tung o
goc a cua quan he tuyen tnh.
 Linest(Y,X)  tnh he so b (o
doc cua quan he tuyen tnh gia
Yi & Xi).
13

PGS. TS. Nguyn Thng

14

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

Chu y: Trong trng hp xu th khng

phi l tuyn tnh, ta c th xt n
dng ng cong hm m y = abt hoc
dng parabol y = a + bt + ct2.
 Cc thng s a, b, c vn xc nh da
vo khi nim bnh phng ti thiu
m ta va nghin cu trn.

NH GI
S BIN I
THEO MA
16

15

PGS. TS. Nguyn Thng

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

nhn bit nh hng ca thnh

phn ma ln chui thi gian kho
st ta dng thng s gi l ch s
ma.
- Nu s liu theo thng, ta c 12 gi tr
is.
- Nu s liu theo qy, ta c 4 gi tr is.
- Nu gi tr tnh theo 6 thng, ta c 2
gi tr i .
PGS. TS. NguynsThng
17

TNH CH S MA

is , k

T8 s, liu quan trc ch s ma c

tnh t8 is,t nh sau:
is,t=[gi tr
quan trc] / [gi tr
cho bi
y=[a+bt]t]
 Chu, : C bao nhiu s, liu quan
trc  c by nhiu ch s, is,t
18

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

Chu y: Gia tr is,t thay oi chung quanh gia tr 1

is,t3=AB/AC >1

T cc gi tr is,t, cc gi tr i biu is c tnh

bng gi tr trung bnh ca cc thng (qu) tng
ng:
N
Theo thng:

Xu the tuyen tnh

Y=a+bt

is,t4 <1
Y is,t thay i quanh gia! tr 1

is,k =

???

Theo qy:

is ,k =

Y0
0

t3 A t4

t7

t6

t5

t8

19

i
i =1

= 12 ( thang)

s ,i

i
i =1

s ,i

= 4 (quy)

 Hiu chnh:

is,k =

12
12

i
i =1

i s,k ( thang) is ,k =

s ,i

4
4

i s ,i

s ,t = k

; k = 1,4

Vi N (s thng, qy,..) c trong chui s liu

20
phn tch.

Chui CVS (lai b nh hng ma trong chui

gi tr quan st)
S hiu chnh ma ny cho php chng ta mun
so snh kt qu ca cc thng khc nhau trong
mt ma nhm bit nu c s tng hay
gim xy ra so vi gi tr bnh thng. Gi
tr hiu chnh ma s c tnh nh sau:

i s ,k (quy)

y*t ,k =

i =1

yt
y*t ,k chuoi CVS
is , k

k=1,12 (s liu thng) hay 1,4 (s liu qy)

21

PGS. TS. Nguyn Thng

22

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

D BO VI M HNH PHN R
Gi tr d bo ti thi im t ca bin nghin
cu y*t c xc nh nh sau:

y = [a + bt ]* i s ,k

D BO

NG XU TH y =a+bt

Y
Y5

*
t

Gia, tr cho bi
ng xu th,

Y0

k tng ng vi thng (ma) ti thi im t.

t1

t2

23

PGS. TS. Nguyn Thng

; k = 1,12

KINH T LNG
Chng 7: Phn tch chui thi gian

GI TR CH S MA HIU CHNH
12

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

Ta phi c:

s ,t = k

t2
t1 Thng
PGS. TS. Nguyn

t3

t4

t5

t6

t7

t8
24

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

V d: So lieu kinh doanh theo quy (CA, ty ong) cua

mot Cong ty cho 6 nam gan nhat nh sau:
Qy
Nm 1

1
21

2
30

3
35

4
55

24

36

40

75

31

40

50

80

33

40

55

83

36

43

60

85

46

50

S LIU DI DNG TH

90
80
70
60
50
40
30
20
10
0

Gi tr ct (4) xem
trong bng sau
1

11

13

15

17

19

21

25

PGS. TS. Nguyn Thng

26

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

a. Xc nh xu th biu din bi ng thng

bng phng php bnh phng ti thiu.
T xc nh h s bin i ma a biu
cho 4 qy.
b. Xc nh doanh thu tnh t m hnh (qu
1/nm 1 n qu 2/nm 6).
c. Hy d bo doanh thu cho qu 3 v 4 ca
nm cui cng va8 quy, 1, 2 nm k, tip.

HNG DN

28

27

PGS. TS. Nguyn Thng

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian
Quy

CA

(1)

(2)

(3) (4)=bt+a (5)=(3)/(4)

Ch so D bao
mua
(6)
(7)=(4)*(6)

1
2
3
4

0
1
2
3

21
30
35
55

1
2
3
4

4
5
6
7

Xu the

24
36
40
75

PGS. TS. Nguyn Thng

is,t

KINH T LNG
Chng 7: Phn tch chui thi gian

33.49
34.84
36.18
37.53

0.627
0.861
0.967
1.465

0.656
0.813
0.994
1.536

21.97
28.33
35.99
57.66

38.88
40.23
41.57
42.92

0.617
0.895
0.962
1.747

0.656
0.813
0.994
1.536

25.51
32.72
41.34
65.93

31

44.27

0.7

0.656

29.04

40

45.62

0.877

0.813

37.1

10

50

46.96

1.065

0.994

46.7

11

80

48.31

1.656

1.536

74.21

12

33

49.66

0.665

0.656

32.58

13

40

51

0.784

0.813

41.48

14

55

52.35

1.051

0.994

52.06

15

83

53.7

1.546

1.536

82.49

29

30

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian
1
2
3
4
1
2
3
4

16
17
18
19
20
21
22
23

a=
b=

36
43
60
85
46
50
?
?
33.49
1.347

PGS. TS. Nguyn Thng

55.05
56.39
57.74
59.09
60.44
61.78
63.13
64.48

0.654
0.762
1.039
1.439
0.761
0.809

Quy 1
Quy 2
Quy 3
Quy 4
Total

0.671
0.832
1.017
1.571
Sum=4,09

0.656
0.813
0.994
1.536
0.656
0.813
0.994
1.536

KINH T LNG
Chng 7: Phn tch chui thi gian

D BO

36.11
45.86
57.42
90.77
39.65
50.25
62.78
99.05

0.656
0.813
0.994
1.536
Sum=4,00

Qy 3 nm 6: t=22 :

W22=[33.49+1.347*22]*0.994 = 62.78
Qy 4 nm 6: t=23 :

W23=[33.49+1.347*23]*1.536 = 99.05
Qy 1 nm 7: t=24 :

W24=[33.49+1.347*24]*0.656 = 43.18
Qy 2 nm 7: t=25 :

W24=[33.49+1.347*25]*0.813 = 54.60
31

32

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

Bi tp: So lieu kinh doanh theo quy (CA, ty ong)

S LIU DNG TH

cua mot Cong ty cho 5 nam gan nhat nh sau:

Nm
Quy,

12

20

25

30

50

II

15

40

45

50

60

III

40

50

60

70

80

IV

60

75

90

95

110

120
100
80
60
40
20
0
1

11

13

15

17

19

21

33

PGS. TS. Nguyn Thng

34

PGS. TS. Nguyn Thng

KINH T LNG
Chng 7: Phn tch chui thi gian

KINH T LNG
Chng 7: Phn tch chui thi gian

a. Xc nh h s bin i ma i biu cho 4

qy.
b. Xc d+ bo doanh thu tnh t m hnh (qu
1/nm 6 n qu 4/nm 6).
HNG DN: Xem BAITAP-Chuoi thoi gian.xls
a=
b=

23.73
3.171

PGS.
Thng
PGS. Dr.
TS.Nguyn
Nguyn
Thng

is,t
0.544
0.794
1.120
1.523
Sum=3.982

is,t hiu chnh

0.547
0.798
1.125
1.530
35
Sum=4.00

HT

36

PGS. TS. Nguyn Thng