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時間序列作業 5 08/04/14

5.2 The following observations represent the values z91 , z92 ,..., z100 form a series
fitted by the model zt  at  1.1at 1  0.28at 2
166,172,172,169,164,168,171,167,168,172.
(a) Generate the forecasts zˆ100 ( l ) for l  1, 2,...,12 and draw a graph of the series
values and forecasts (assume a90  0, a91  0).
(b) With ˆ a2  1.103, calculate the estimated standard deviations ˆ ( l ) of the
forecast errors and use them to calculate 80% probability limits for the forecasts.
Insert these probsbility limits on the graph, on either side of the forecasts.

a)
q
 pd

zˆt (l )  E    j zˆt (l  j )   j at l  j 
j 1
 j 1

 model : zt  at  1.1at 1  0.28at 2 (ie: ARIMA(0,1,2))

zˆt (l )  E 1 zˆt (l  1)  1at l 1   2at l 2  .

 the forecasts are following:
zˆ100 (1)  z100  1.1a100  0.28a99  167.79
zˆ100 (2)  zˆ100 (1)  0.28a100  168.83
zˆ100 (2)  zˆ100 (3)  ...  zˆ100 (12)  168.83.
b)
note 1: 1   probaility limits zt l ( ) and zt 1 (  ) given by
1/ 2

l 1


zt l (  )  zˆt (l )  u / 2  1   2j  sa .
j 1


note 2: Suppose U ~ N (0,1).
note 3:  j  1 j 1   2 j 2  ...   p  d j  p d   j for j  0

with  0  1,  j  0 for j  0 and  j  0 for j  q.
zt  (1  B  B 2  ...)(at  1.1at 1  0.28at 2 )

 at  0.1at 1   0.18at  j
j 2

j
101
102
103
104
105
106

80% probability limits for forecasts
zj(±)
zj(±)
j
(166.446, 169.134)
(167.484, 170.186)
(167.462, 170.207)
(167.441, 170.228)
(167.420, 170.249)
(167.400, 170.270)

107
108
109
110
111
112

(167.379, 170.290)
(167.360, 170.310)
(167.340, 170.330)
(167.320, 170.349)
(167.301, 170.369)
(167.282, 170.387)

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時間序列作業 5 08/04/14

5.3 Suppose that the data of Exercise 5.2 represent monthly sales.
(a) Calculate the minimum mean square error forecasts for quarterly sales for
1, 2, 3, 4 quarters ahead, using the data up to t  100.
(b) Calculate 80% probability limits for these forecasts.
a)
forecasts

Data

z97, z98, z99, z100

z90, z91, z92, z93, z94, z95, z96

zˆ96 (1)  z96  1.1a96  0.28a95  168.124
zˆ96 (2)  zˆ96 (1)  0.28a96  167.683

4

Residual of z_97 ~ z_100

 MSE 

1
M

M

e
l 1

2
l

 6.869

0
-2
-4

e96 (4)  z100  zˆ96 (4)  4.318

e_96

e96 (2)  z98  zˆ96 (2)  0.683
e96 (3)  z99  zˆ96 (3)  0.318

2

zˆ96 (2)  zˆ96 (3)  zˆ96 (4).
e96 (1)  z97  zˆ96 (1)  2.876

167.80

b)
z97 (  )  zˆ96 (1)  1.28 Var[e96 (1)]  (1.876, 3.876)
z98 (  )  zˆ96 (2)  1.28 Var[e96 (2)]  (-1.817, 0.203)
z99 (  )  zˆ96 (3)  1.28 Var[e96 (3)]  (-0.849, 1.236)
z100 (  )  zˆ96 (4)  1.28 Var[e96 (4)]  (3.119, 5.268)

167.90

168.00
x_96

168.10

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時間序列作業 5 08/04/14

5.4 Using the data of Exercise 5.2, and given the further observation z101  174
(a) Calculate the forecasts zˆ101 ( l ) for l  1, 2,...,11 using the updating formula
zˆt 1 (l )  zˆt (l  1)   l at 1
(b) Verify these forecasts using the difference equation directly.

a)
zt  at  1.1at 1  0.28at 2
a101  z101  z100  1.1a100  0.28a99  6.21
zˆt 1 (l )  zˆt (l  1)   l at 1
zˆ101 (1)  zˆ100 (2)   1a101  168.83  0.1  6.21  168.21
zˆ101 (2)  zˆ100 (3)   2a101  168.83  0.18  6.21  169.95
zˆ101 (2)  zˆ101 (3)  ...  zˆ101 (11)  169.95.
b) By defnition
zt 1  zt  at 1  1.1at  0.28at 1
pd

q

j 1

j 1

zˆt 1 (l )    j zˆt 1 (l  j )   j at 1l  j
 zˆ101 (1)  z101  1.1a101  0.28a100  174  1.1  6.21  0.28  3.73  168.21
zˆ101 (2)  zˆ101 (1)  0.28a101  169.95
zˆ101 (l )  zˆ101 (l  1) for l  3
5.5 For the model zt  at  1.1at 1  0.28at -2 of Exercise 5.2
(a) Write down expressions for the forecast errors et (1),..., et (6), form the same origin t.
(b) Calculate and plot the autocorrelations of the series of forecast errors et (3).
(c) Calculate and plot the correlations between et (2) and et ( j ) for j  1...6.

a)

zt  at  0.1at 1   0.18at  j (ie:  0  1,  1  0.1,  j  0.18 for j  2)
j 2

et (l )  at l   1at l 1   2at l 2  ...   l 1at 1
 at l  0.1at l 1   j 2 0.18at l  j
l 1

b)

zt  at  0.1at 1   0.18at  j (ie:  0  1,  1  0.1,  j  0.18 for j  2)
j 2

  l 1 i i  j
 i  jl 1
 [et (l ), et  j (l )]     i2
i 0

0


0 jl
jl

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時間序列作業 5 08/04/14

j

ρ[et(3), et-j(3)]

0
1
2
o.w.

1.000
-0.113
0.173
0.000

c)

 [et (l ), et (l  j )] 

l 1

 i j i

i 0

 h0 h2  g 0  g2
l 1

j

ρ[et(2), et(j)]

1

-0.100

2

1.000

3

-0.115

4

0.155

5

0.153

6

0.151

l  j 1

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