12 views

Uploaded by Alfredo Rodriguez

Series de tiempo

- ADFTestMeth2010_Stadnytska
- MScQFE_ProgGuide201314
- Applied Time Series Analysis with R - Wayne A. Woodward, Henry L. Gray, Alan C. Elliott 2th Edition.pdf
- HEGY (2)
- Thesis Julio Soldevilla
- Econ334 Assignment 2
- 0022002715587048 OSORIO.pdf
- t Series
- Chapter19_ModelsofNonstationaryTimeSeries
- t Series
- Time Series
- 1-s2.0-S0301421509008489-main
- An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
- hhh4
- Analysis Time Series
- Data Science in the Cloud
- PTSP Notes Final
- Simulation Guidelines
- tarea 4key.docx
- Levy intro

You are on page 1of 59

Forecasting

MA(4030)Prepared By TMJA

Cooray

Introduction

A time

sequentially in time

Continuous

The

be denoted by x(1), x(2),, x(N)

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

Introduction (cont.)

Discrete

2- By accumulating a variable over a period of time

Characteristics

of time series

No missing values

MA(4030)Prepared By TMJA

Cooray

A t im e s e r ie s

p a tte rn c o m p o n e n t

r a n d o m (e r ro r ) c o m p o n e n t

tre n d p a tte rn

s e a s o n a l p a tte rn

c y c lic p a t t e r n

s ta tis tic a l p a tte r n

x =F +x

t

t

t

MA(4030)Prepared By TMJA

Cooray

Areas of application

Forecasting

Determination

Design

control schemes

MA(4030)Prepared By TMJA

Cooray

Forecasting

Applications

Lead

Inventory and production control

Control and optimization of industrial processes

Degree

of sophistication

Simple ideas

Moving averages

Simple regression techniques

Box-Jenkins methodology

MA(4030)Prepared By TMJA

Cooray

Approaches to forecasting

Self-projecting

approach

Cause-and-effect

MA(4030)Prepared By TMJA

Cooray

approach

Self-projecting

approach

Advantages

A minimum of data is required

Reasonably short-to medium-term

forecasts

They provide a basis by which

forecasts developed through other

models can be measured against

Cause-and-effect

Advantages

More accurate medium-to

long-term forecasts

Disadvantages

Disadvantages

approach

far future

Do not take into account external

factors

MA(4030)Prepared By TMJA

Cooray

time series are required

Overall

trend models

A linear Trend has the form

Trendt = A + Bt

Smoothing

models

Employ the idea of weighted averages

They range in the degree of sophistication

The simple exponential smoothing method:

Ft

Notes

z t Az t 1Time

MA(4030)Prepared

(Series

1 Analysis

A)FLecture

at

tBy

1 TMJA

Cooray

models (cont.)

Seasonal

models

Very common

Most seasonal time series also contain long- and short-

Decomposition

models

Each pattern is modeled separately

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

models

There

and selection of an appropriate model, and therefore,

the identification process is mainly trial-and-error

There is difficulty in verifying the validity of the

model

Most traditional methods were developed from intuitive

foundation

Too narrow to

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

ARIMA models

Autoregressive

Integrated Moving-average

Can represent a wide range of time series

A stochastic

stochastic modeling approach that can be used

to calculate the probability of a future value lying

between two specified limits

MA(4030)Prepared By TMJA

Cooray

In

importance of these models in the area of

economic forecasting

Time series analysis - forecasting and control

control

George E. P. Box

Gwilym M. Jenkins

Often

B o x - J e n k in s m o d e ls

U n iv a r ia te

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

Yt

= (B)Xt where

(B) = 0 + 1B + 2B2 + ..

B

BmXt = Xt - m

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

The

Better control

Improved design

Methods

Classical methods

Uncontrollable disturbances (noise)

noise are not accounted for,

and hence, these methods have not always been successful

Statistical methods

noise

The Box-Jenkins

Timemethodology

Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

Process control

Feed-forward

control

Feedback

control

P

Deviation from

target output

Nt

Nt

( B)(B)B

1

1

L (B) L 2 (B)B

f 1

Compensating

variable Xt+

zt

Control equation

MA(4030)Prepared By TMJA

Cooray

L 11 (B) L 2 ( B)B f

Compensating

variable Xt+

Control equation

D is tu r b a n c e s

m easu ed

u n m e a su r ed

fe e d -fo r w a r d c o n to l

fe e d b a c k c o n tr o l

MA(4030)Prepared By TMJA

Cooray

The

disturbance by a suitable time series or stochastic model

and the inertial characteristics of the system by a

suitable transfer function model

The Control equation, allows the action which should

be taken at any given time to be calculated given the

present and previous states of the system

Various ways corresponding to various levels of

technological sophistication can be used to execute a

control action called for by the control equation

MA(4030)Prepared By TMJA

Cooray

process

Model identification

Model estimation

No

Modify

model

Is model

adequate ?

Yes

Forecasts

MA(4030)Prepared By TMJA

Cooray

process (cont.)

Model identification

Model estimation

errors

Model validation

Autocorrelations

Partial-autocorrelations

model

Model forecasting

confidence limits of the forecasts

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

Important Fundamentals

A Normal

process

Stationarity

Regular differencing

Autocorrelations (ACs)

The white noise process

The linear filter model

Invertibility

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

process)

The

realization of a stochastic process.

The observation zt at a given time t can be regarded as a

function p(zt)

The observations at any two times t 1 and t2 may be regarded as

realizations of two random variables zt1, zt2 and with joint

probability density function p(z t1, zt2)

If the probability distribution associated with any set of times is

or Gaussian process

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

In

In practical terms,

terms

In statistical terms,

terms

p(xt) is the same for all t

MA(4030)Prepared By TMJA

Cooray

the

stationary

that associated with m observations made at times t1 + k,

t2 + k, , tm + k

When

for all times t

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

In

dzt are stationary

Most

MA(4030)Prepared By TMJA

Cooray

Achieving stationarity

Regular

differencing (RD)

(1st order)

(2nd order)

xt = (1 B)xt = xt xt-1

It

Sometimes

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

MA(4030)Prepared By TMJA

Cooray

MA(4030)Prepared By TMJA

Cooray

How

Howcan

canwe

wedetermine

determinethe

the

number

numberof

ofregular

regular

differencing

differencing??

MA(4030)Prepared By TMJA

Cooray

Autocorrelations (ACs)

Autocorrelations are

how a time series is related to itself over time

The

the original series zt and the same series moved

forward one period (represented as zt-1)

MA(4030)Prepared By TMJA

Cooray

Autocorrelations (cont.)

The

E (z t )(z t k )

k

2z

The

sample autocorrelation

N k

rk

(z

t 1

z )(z t k z )

2

(

z

z

)

t

t 1

k 0,1,2,...k

MA(4030)Prepared By TMJA

Cooray

Autocorrelations (cont.)

A graph

correlogram

correlogram

In practice, to obtain a useful estimate of the

autocorrelation function, at least 50 observations

are needed

The estimated autocorrelations rk would be

calculated up to lag no larger than N/4

MA(4030)Prepared By TMJA

Cooray

A correlogram of a nonstationary

time seies

MA(4030)Prepared By TMJA

Cooray

After one RD

MA(4030)Prepared By TMJA

Cooray

After two RD

MA(4030)Prepared By TMJA

Cooray

The

a time series can be usefully regarded as generated

from (driven by) a series of uncorrelated

independent shocks

shocks et

E e t 0 var e t e2

1

k

0

k0

k0

Such

noise process

process

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

( B)

White noise

Linear filter

xt

et

A linear filter

filter

white noise process et to the process that generated

the time series xt

x t e t 1e t 1 2 e t 2 ... (B)e t

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

function of the filter

2

j 0

MA(4030)Prepared By TMJA

Cooray

The

x t 1x t 1 2 x t 2 ... e t

x

j

j1

This

t j

et

( B) x t e t

( B) 1

jB j

z t (B)at

(B)z t at

jTime

1 Series Analysis Lecture

( BNotes

)

MA(4030)Prepared By TMJA

Cooray

1 (B)

conditions for a linear filter

For

a linear process

to be stationary,

stationary

for B 1

If

depends on past observations

with weights which decrease as

we go back in time, the series is

called invertible

For

a linear process to be

invertible,

invertible (B) must converge

for B 1

MA(4030)Prepared By TMJA

Cooray

Autoregressive

(AR) models

Moving-average (MA) models

Mixed ARMA models

Non stationary models (ARIMA models)

The mean parameter

The trend parameter

MA(4030)Prepared By TMJA

Cooray

An

x t 1x t 1 2 x t 2 ... p x t p e t

(B) x t e t

(B) 1 1B 2 B 2 ... p B p

The

the output from a linear filter with a transfer

function -1(B),

(B) when the input is white noise et

equation (B) = 0 is called the characteristic

Time Series Analysis Lecture Notes

equation

equation

MA(4030)Prepared By TMJA

The

Cooray

A moving-average

model of order q

x t e t 1e t 1 2 e t 2 ... q e t q

x t (B)e t

2

(B) 1 1B 2 B ... q B

The

the output from a linear filter with a transfer

function (B),

(B) when the input is white noise et

equation (B) = 0 is called the characteristic

Time Series Analysis Lecture Notes

equation

equation

MA(4030)Prepared By TMJA

The

Cooray

A moving-average

written as

1

zt a t

(1 1B)

(1 1B 12 B 2 13 B3 ...) x t e t

x t 1x t 1 12 x t 2 13 x t 3 ... e t

Hence,

Hence

would obtain a non parsimonious representation in

terms of an autoregressive model

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

(cont.)

In

sometimes it will be necessary to include both AR

and MA terms in the model

(B)

An ARMA(p, q) model

xt

et

(B)

output from a linear filter with a transfer function

(B)/(B),

(B) when the input is white noise at

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

process

Model identification

Autocorrelations

Partial-autocorrelations

Model

estimation

Model validation

Certain diagnostics are used to check the validity of the

model

Model

forecasting

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

Partial-autocorrelations (PACs)

Partial-autocorrelations are

measures are used to identify time series models

PAC

it, the ACs with all the elements within the lag are

partialled out (Box & Jenkins, 1976)

MA(4030)Prepared By TMJA

Cooray

Partial-autocorrelations (cont.)

PACs

where each PAC is obtained from a different set of

linear equations that describe a pure

autoregressive model of an order that is equal to

the value of the lag of the partial-autocorrelation

computed

PAC

at lag k is denoted by kk

of order k

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

Model identification

The

series and compared to theoretical autocorrelation

and partial-autocorrelation functions for candidate

models investigated

Stationarity and

invertibility

conditions

PACs

MA(4030)Prepared By TMJA

Cooray

conditions

For

a linear process

to be stationary,

stationary

For

a linear process to be

invertible,

invertible

for B 1

for B 1

MA(4030)Prepared By TMJA

Cooray

model

-1 < 1 < 1

i.e., the roots of the characteristic

equation 1 - 1B = 0 lie outside

the unit circle

k = 1 k 1 which with 0 = 1 has

the solution

k = 1k

k>0

i.e., for a stationary AR(1) model,

the theoretical autocorrelation

function decays exponentially to

zero, however, the theoretical

partial-autocorrelation function has

a cut off after the 1st lag

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

model

For

a MA(1) to be invertible:

-1 < 1 < 1

lie outside the unit circle

1

For

k 1

0

12

k 1

k 1

autocorrelation function has a cut off after the 1st lag,

however, the theoretical partial-autocorrelation function

Time Series Analysis Lecture Notes

decays exponentially

to zero

MA(4030)Prepared By TMJA

Cooray

For

The partial-autocorrelation function has a cut off after

the p lag

For

The partial-autocorrelation function consists of a

waves

Time Series Analysis Lecture Notes

MA(4030)Prepared By TMJA

Cooray

MA parameters

MA(4030)Prepared By TMJA

Cooray

MA(4030)Prepared By TMJA

Cooray

MA(4030)Prepared By TMJA

Cooray

Model identification

MA(4030)Prepared By TMJA

Cooray

Model estimation

MA(4030)Prepared By TMJA

Cooray

Model verification

MA(4030)Prepared By TMJA

Cooray

- ADFTestMeth2010_StadnytskaUploaded byjoyeduardo
- MScQFE_ProgGuide201314Uploaded bydj_han85
- Applied Time Series Analysis with R - Wayne A. Woodward, Henry L. Gray, Alan C. Elliott 2th Edition.pdfUploaded byByron Alexis Palazzi Salinas
- HEGY (2)Uploaded byJonathas de Melo
- Thesis Julio SoldevillaUploaded bywddrf
- Econ334 Assignment 2Uploaded bypranavn94
- 0022002715587048 OSORIO.pdfUploaded byBarnabe Barbosa
- t SeriesUploaded byFrancisco Faner
- Chapter19_ModelsofNonstationaryTimeSeriesUploaded byTavonga Stonard Mangwiro
- t SeriesUploaded byjilaniosmane
- Time SeriesUploaded byMeonghun Lee
- 1-s2.0-S0301421509008489-mainUploaded byRazleen Rashidi
- An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time SeriesUploaded byalexandergir
- hhh4Uploaded byMostafi Rashel
- Analysis Time SeriesUploaded byDapot Sihombing
- Data Science in the CloudUploaded byStephen Lynch
- PTSP Notes FinalUploaded byPradeep Jagathratchagan
- Simulation GuidelinesUploaded byBinuVargis
- tarea 4key.docxUploaded byAzulitha Alvarez
- Levy introUploaded bymagicayu
- Forecasting Economic and Financial Time SeriesUploaded bytridibesh.dutta
- 0802.0191Uploaded byGalina Alexeeva
- autocorrelation and crosscorrelation......Uploaded byHimanshu Baria
- Stochastic Processes by Joseph T ChangUploaded byMainak Ghosh
- Super.docUploaded bykrajenderreddy
- 1. Leslie Tiong27s Final Thesis 28for FAB and Senate21. 9Uploaded byAnca Vochescu
- CorrelationUploaded byAdib Shaikh
- Fractal Analysis and Its Application for Investigating Time Series ...Uploaded byiweinel
- A Fast Image Sharpness Algorithm Implementation for Sharpness Enhancement in Digital ImagesUploaded bynarashimamurthy
- Dynamic Panels and Non-Stationary Data ModelsUploaded byAheisibwe Ambrose

- 2011 Probabilidad ClementeUploaded byAlfredo Rodriguez
- Docs Ruedas de La Vida AutocoachingUploaded byJorgeVentocilla
- Seis Estrategias Para Desarrollar Tu Inteligencia Emocional AUploaded byalayza1
- 2-Triangulos de Distancia_2012Uploaded byAlfredo Rodriguez
- Manual SPSS DescriptivaUploaded byJesus Jhonny
- Pantalón_de_minutoUploaded byAlfredo Rodriguez
- El.Exito.no.llega.por.Casualidad.-.Lair.RibeiroUploaded byAlfredo Rodriguez
- Análisis técnico des sector turismo en Nicaragua durante [Autoguardado]Uploaded byAlfredo Rodriguez
- Suzuki Daisetz Teitaro-Ensayos Sobre Budismo ZenUploaded byJaime A. Dalton

- aqwaUploaded bysanjivrmenon
- wang1Uploaded byZardar Khan
- ae2-q13733214-academic excercisesUploaded byapi-385231598
- report on pmuUploaded byMohan Sainath Avvaru
- 2013-Preisliste_detectomatUploaded byArslan Kadıköy
- Volvo Data Sheet Pcs277-325vUploaded byarshad262
- article on rhymes.pdfUploaded byDr-Muhammad Asif
- An Engineering Materials Lab Manual on CD RomUploaded byAsheesh Kumar
- ASTM.A572.pdfUploaded byCarlos Gonzales
- Katalog Kossik EnglischV2 2Uploaded bymatteo_1234
- Hypothesis Testing Using the Binomial DistributionUploaded byDiksha Koossool
- Toshiba VRF Catalogue.Uploaded byhitosnap
- Water Balance Workshop - proceedingsUploaded byzijaz61
- Mini Tab ReviewUploaded byJackwini
- Numerical Analysis of Temperature Development in Concrete at an Early AgeUploaded byatankasala
- bulletin_oct-nov2010.pdfUploaded bySyahrul Amri Al Hijrah
- 48856284-500-MW-VOLUME-2Uploaded byAhmad Ali Abu Bader
- 1998 Seadoo Shop ManualUploaded byvudka
- deiortoney2018resumeUploaded byapi-416819405
- 9783319113036-c11111Uploaded bylotanna
- Indesit ICD 661Uploaded byMerima Pecar
- Design and Analysis Motorcycle Swing Arm BracketUploaded byhafisilias
- BMW E30 3 Series SpecificationsUploaded byMariam Kocharyan
- Pn 570590Uploaded byBun Yean
- Ffc Sample PaperUploaded byarslan
- BAUER Compressors for Industry EnUploaded byhao
- Learning PptUploaded byNavjot Sidhu
- Vacuum SymbolsUploaded bybaba
- Model 50 GenPurp Rev 3Uploaded byDaniel Barraza Cortes
- makalah.docxUploaded byFendi Oktawan