D on thng k

D on thng k
Bi:
Van Thieu Nguyen

Khi nim v d on thng k

D on thng k ngn hnl d on qu trnh tip theo ca hin tng ca nhng

khong thi gian tng tng i ngn , ni tip vi hin ti bng vic s dng nhng
thng tin thng k v p dng nhng phng php thch hp . 4.1.2 Cc loi d bo ,
tm d bo (thi gian d bo )

C baloi:

- D bo ngn hn : di 3 nm .

- D bo trung hn : t 3 n 7 nm .

-D bo di hn : trn 10 nm .

Thng th tm d bo cng xa , mc chnh xc cng km .

Cc phng php d on

Phng php chuyn gia : xin kin cc chuyn gia v lnh vc . Trn c s s
l kin v a ra d on

Phng php hi qui ( phng php kinh t lng ) xc nh m hnh hi qui nhiu bin

y = f( x ,x ,.......,x )
1 2 n

Phng php m hnh ho dy s thi gian :

y = f(t)
t

D on thng k

Thng k n v nghin cu thng k khnh nhng bit iu phi xy ra , m cn phi

bit nhng iu tng lai ca hin tng

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D on thng k

D on thng k l phn rt quan trng ca nghin cu thng k

Lm d on thng k c kh nng thc hin c cc loi d on . Ch trng nht l

d on thng k ngn hn .

D on thng k cn phi c ti liu tin hanh d on thng k . . Dy s thi gian

s dng phng php ph hp a ra nhng d on c c s khoa hc chnh xc v
cc mc c th c th so snh c trong dy s thi gian

di ca cc dy s thi gian , s lng dy s thi gian cng di cng tt ch mt s

t cc mc cui dy

T phn tch c im bin ng ca hin tng qua thi gian , tm d don di 1/

3 di thi gian ca c hin tng .

Mt s phng php n gin d on thng k ngn hn

D on da vo lng tng (gim ) tuyt i bnh qun

Phng php d on ny c th c s dng khi cc lng tng (gim) tuyt i lin

hon xp x nhau.

Ta bit lng tng gim tuyt i bnh qun c tnh theo cng thc:

t ta c m hnh d on:

Trong y :mc cui cng ca dy s thi gian.

n

D on da vo tc pht trin trung bnh.

Phng php d on ny c p dng khi cc tc pht trin lin hon xp x nhau

Ta bit tc pht trin trung bnh c tnh theo cng thc:

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D on thng k

Trong :

y : mc u tin ca dy s thi gian

1

y : mc cui cng ca dy s thi gian

n

t m hnh trn ta c th d on theo.

D on da vo phng trnh hi quy

Ta c phng trnh hi quy theo thi gian

c th d on bng cch ngoi suy phng trnh hi quy:

D on da vo hm xu th v bin ng thi v

lp c phng trnh hm xu th v bin ng thi v ta tin hnh phn tch cc

thnh phn theo dng cng.

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D on thng k

Dng nhn

y =f s
t t t

M hnh d on:

Phn tch cc thnh phn kt hp nhn

y = f s xz
t t t t

f
Xc nh hm xu th t.thng xy dng trn dy s trung bnh trt(thng trt bn
mc d vi ti liu qu,trt 12thng vi ti liu thng ).

Xc nh cc thnh phn thi v .

s z = y t

f
t t

Tnh trung bnh xn(trung bnh xn c tnh bng cch loi b gi tr ln nht v nh

nht ca t s
y) t

f t

Tnh h s iu chnh:

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D on thng k

Ch s thi v Iu trnh ca thi gian j = trung bnh xn j *H

D on bng phng php san bng m

M hnh gin n

M hnh ny c s dng khi dy s thi gian y khng c bin ng thi v v xu

t
th(hay bin ng v xu th khng r rng).

, l cc tham s san bng v 0 , 1

Nh vy y t+1
l trung bnh cng gia quyn ca cc mc thc t y v mc d
t

on y t

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D on thng k

M hnh xu th tuyn tnh khng bin ng thi v (Holt)

D on da vo m hnh tuyn tnh ngu nhin(phng php Box-Jenkins)

Mt s m hnh dng

m t cc m hnh ta s dng mt s ton t sau y : ton t chuyn dch v pha

trc(B)

Ton t sai phn y =y y

t t t1

d d1
y = y = (1 ) y
t t
d
t

M hnh t hi quy bc (p)-k hiu AR(P)

M hnh tng qut:

z =z
t 1 t1
+ z 2 t2
+ ..........+ z
p tp
+ at

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D on thng k

Trong : , ,..... l cc tham s

1 2 p

a l mt qu trnh c bit n gin thng gi l nhiu,vi:

t

Biu din toan t B:

Hay (B)y = a
p t t

Hm t tng quan =
k 1 k1
+
2 k2
+ ........+
p kp

Hay (B) =0
k

hm t tng quan

M hnh hn hp bc p,q k hiu ARMA(p,q)

L s kt hp gia m hnh t hi quy bc p v m hnh trung bnh trt bc q

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D on thng k

Phng php lun Box-Jenkins

c tin hnh qua cc bc sau

Bc 1: Chn m hnh tt nht,l m hnh c SEmin

Bc 2:c lng cc tham s ca m hnh chn .phng php s dng nh:phng

php bnh phng nh nht,hp l ti a..

Bc 3:Kim tra cc gi tr ca m hnh c xc nh

Bc 4:D on: Gi y t
(h)l d on ca y t+h

vi t = 1,

Ta c y
(h) =
[y t+h] =E
[ y ,y
+h

y
1
...........y 1
]
V d d on mt m hnh ARIMA(1,1,1)

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