时间序列Word文档格式.docx

时间序列Word文档格式.docx

《时间序列Word文档格式.docx》由会员分享，可在线阅读，更多相关《时间序列Word文档格式.docx（11页珍藏版）》请在冰豆网上搜索。

专业

统计学

一、实验题目

1、设

是[-0.5，0.5]上均匀分布的白噪声，

模型的参数为：

，

（1）在计算机上模拟产生一个符合此模型的长为505的序列片断

（2）用以上的前500个数据求出自协方差和篇相关系数，识别模型

（3）分别用AIC和BIC准则定阶，建立模型估计模型的参数

（4）检验模型的适应性

（5）用递推预测法预测后5个数据，与真实数据作比较，检验预测效果。

2、对问题的分析和所用原理Levinson递推公式法

首先计算样本的自协方差函数，接着画出自协方差函数的柱形图再用Yule-Walker方程求解偏相关系数并画出偏相关系数的柱形图

3、结论

以下的数据可以得知模型的残差是白噪声，可以通过检验

最后的五个数据是：

0.61230.00340.4402-0.44670.2232

实验的结果和预测的数据近似

四、实验结果

（1）、y=

Columns1through15

0.8155-0.43910.2045-0.1154-0.0922-0.0081-0.26890.25190.0992-0.03360.1621-0.39460.13240.19860.0537

Columns16through30

-0.07330.11470.2208-0.58210.4754-0.75400.3979-0.44970.6622-0.90880.8496-0.07290.5367-0.0546-0.0264

Columns31through45

0.0152-0.29580.3328-0.39290.7116-0.22880.05840.2072-0.36470.17330.3225-0.0230-0.27270.5138-0.2000

Columns46through60

-0.2382-0.14040.19710.0038-0.13190.1596-0.1507-0.3597-0.2426-0.0320-0.46660.18260.0662-0.4496-0.1769

Columns61through75

0.2256-0.0359-0.4613-0.1884-0.18930.2081-0.57560.2360-0.01960.23020.0454-0.44500.2391-0.2112-0.0116

Columns76through90

-0.33900.3926-0.05200.2608-0.18850.1755-0.49130.26520.04620.3633-0.45940.04880.3344-0.48170.6131

Columns91through105

0.0160-0.2783-0.0825-0.3974-0.16730.2479-0.46770.6432-0.73780.14300.4028-0.31800.0436-0.21370.0018

Columns106through120

-0.10790.1606-0.4830-0.15270.05630.33380.2206-0.3767-0.09860.4360-0.54110.49220.15190.06770.3270

Columns121through135

-0.69940.08460.2646-0.23920.5434-0.11290.2596-0.3200-0.1292-0.2617-0.14140.01290.3477-0.23230.4646

Columns136through150

-0.33660.1728-0.15990.01450.3923-0.74550.2745-0.62650.5942-0.23020.6303-0.35070.1245-0.38090.3690

Columns151through165

-0.0028-0.1223-0.41180.18340.13630.20670.28770.1606-0.23500.27120.0577-0.34300.6244-0.33040.3432

Columns166through180

-0.48530.35930.2016-0.29380.3436-0.32800.3372-0.0167-0.0921-0.02740.17280.2270-0.27370.10040.0304

Columns181through195

0.04630.1869-0.10830.3457-0.2319-0.16570.30670.28640.12330.1246-0.0948-0.32470.3727-0.3731-0.1211

Columns196through210

0.14430.23070.02630.48260.1528-0.53890.2052-0.0828-0.18520.2159-0.58890.4479-0.08580.5172-0.0805

Columns211through225

0.2915-0.25470.29730.1128-0.48830.7580-0.06920.1462-0.34000.5911-0.36490.4662-0.37610.7021-0.8773

Columns226through240

0.6149-0.60150.7429-0.63970.5896-0.82390.3840-0.24740.09280.00310.1147-0.46000.6927-0.18880.4119

Columns241through255

0.05130.1372-0.38690.02070.1130-0.0355-0.4178-0.1436-0.1368-0.0034-0.02380.4242-0.1752-0.05890.0159

Columns256through270

0.0870-0.39420.58180.08380.0419-0.49810.6309-0.29370.3894-0.65700.3454-0.3455-0.11270.40530.0792

Columns271through285

-0.09910.5200-0.68570.8088-0.24820.10300.05470.4167-0.1267-0.1716-0.0375-0.28820.1751-0.20280.0933

Columns286through300

0.0512-0.46160.10970.0382-0.34940.3446-0.47460.3911-0.24430.1211-0.03610.4654-0.45610.1937-0.3163

Columns301through315

0.1140-0.28700.0778-0.04680.2519-0.3550-0.16060.0461-0.0627-0.44520.4490-0.0633-0.1779-0.12430.2881

Columns316through330

0.09950.4225-0.29700.5929-0.42840.5787-0.0415-0.30720.0905-0.03720.2419-0.08560.0156-0.0647-0.3709

Columns331through345

0.1808-0.2494-0.03780.37610.01880.4377-0.2222-0.34360.31610.11390.4042-0.53680.5472-0.32820.6429

Columns346through360

-0.1981-0.14520.0426-0.35500.6960-0.5898-0.07350.30240.2013-0.3427-0.02950.4516-0.65800.8620-0.3498

Columns361through375

0.5716-0.65650.3753-0.65910.7729-0.43260.0962-0.18670.4873-0.4397-0.1449-0.2074-0.31780.2701-0.5509

Columns376through390

0.3747-0.62280.6685-0.55280.6772-0.88670.66540.0233-0.22610.5335-0.73990.0388-0.29060.6191-0.8331

Columns391through405

0.29740.3092-0.48590.3094-0.40750.43360.18050.15100.0695-0.4135-0.1399-0.39560.04140.29030.2997

Columns406through420

-0.67450.7510-0.35950.2903-0.44180.6047-0.62380.6529-0.2582-0.12070.1794-0.00990.1658-0.42280.4071

Columns421through435

-0.59020.4174-0.14370.2779-0.00050.3771-0.72850.27660.1020-0.25800.5918-0.2000-0.2977-0.2388-0.3352

Columns436through450

-0.05830.0536-0.07610.2519-0.07870.0596-0.4638-0.0099-0.1141-0.15060.3672-0.42110.40770.2256-0.1415

Columns451through465

0.5383-0.01650.4281-0.66090.7351-0.0622-0.3038-0.18340.3801-0.02140.16540.14820.06830.3398-0.4453

Columns466through480

0.2044-0.4178-0.1970-0.29280.5379-0.50410.28880.2290-0.41800.6295-0.24630.5488-0.36310.7250-0.5907

Columns481through495

0.4094-0.58070.3736-0.31690.3632-0.05880.4950-0.62490.01120.05790.4321-0.75280.8520-1.01840.6713

Columns496through505

-0.73730.6876-0.68940.8751-0.92290.61230.00340.4402-0.44670.2232

（2）、r=

0.1431-0.09420.0650-0.05010.0385-0.03390.0250-0.01400.0079-0.00270.00100.0004-0.00030.00080.0018

0.0003-0.00430.0038-0.0028-0.00530.0123-0.01320.0145-0.01480.0154-0.01160.0078-0.00440.0021-0.0009

b=

-0.65850.0364-0.06700.0112-0.0619-0.03810.0557-0.00910.02410.00750.00520.01870.00300.03780.0363

-0.0397-0.01240.0042-0.09220.0584-0.01190.0252-0.01140.01060.0510-0.01830.0194-0.0025-0.00080

（3）、bic=

-2.5006-2.4896-2.4818-2.4696-2.4611-2.4502-2.4410-2.4288-2.4170-2.4047-2.3924-2.3805

aic=

-2.5090-2.5063-2.5069-2.5030-2.5029-2.5004-2.4996-2.4957-2.4923-2.4884-2.4845-2.4808

（4）、c=

Columns16through29

-0.0397-0.01240.0042-0.09220.0584-0.01190.0252-0.01140.01060.0510-0.01830.0194-0.0025-0.0008

p=

1.0e-003*

000000000000000

000000000-0.00000.0000-0.0000-0.0000-0.0000-0.0000

0.00000.0000-0.00000.0000-0.00000.0000-0.0000-0.00000.00000.00000.0000-0.00000.0000-0.00000.0000

0.00000.0000-0.00000.00000.00000.00000.00000.00000.0000-0.00000.0000-0.00000.0000-0.00000.0000

0.00000.0000-0.0000-0.0000-0.00000.00000.0000-0.0000-0.0000-0.0000-0.0000-0.00000.0000-0.0000-0.0000

-0.0000-0.0000-0.00000.0000-0.0000-0.00000.00000.0000-0.00000.00000.0000-0.0000-0.00000.0000-0.0000

0.00000.00000.0000-0.00000.00000.0000-0.0000-0.00000.00000.0000-0.0000-0.00000.00000.0000-0.0000

0.00000.00000.00000.0000-0.0000-0.0000-0.00000.0000-0.00000.0000-0.00000.0000-0.0000-0.00000.0000

0.00000.0000-0.0000-0.0000-0.00000.0000-0.00000.00000.00000.0000-0.00000.00000.00000.00000.0000

-0.0000-0.00000.0000-0.00000.0000-0.00000.0000-0.00000.0000-0.00000.00000.00000.0000-0.00000.0000

-0.0000-0.00000.0000-0.0000-0.00000.0000-0.00000.00000.00000.0000-0.00000.0000-0.00000.00000.0000

Columns496through503

-0.0000-0.00000.0000-0.0000-0.0000-0.00000.0027-0.1059

（5）、

五、附录

a1=-0.64;

x

（1）=0;

r=zeros（1,30）;

fori=2:

605

x（i）=a1*x（i-1）+unifrnd（-0.5,0.5）;

end

fori=1:

505

y（i）=x（i+100）;

y

ybar=mean（y）;

30

forj=1:

505-i

r（i）=r（i）+（y（j）-ybar）*（y（j+i-1）-ybar）;

end

r=r/505

bar（r,'

r'

）

b=zeros（1,30）;

forn=1:

29

gamma=zeros（n,n）;

v=zeros（n,1）;

fori=1:

n

v（i）=r（i+1）;

gamma（i,j）=r（abs（i-j）+1）;

a=inv（gamma）*v;

t=0;

fork=1:

t=t+a（k）*r（k+1）;

sigma（n）=r

（1）-t;

b（n）=a（n）;

b

figure

bar（b,'

b'

）

axis（[1,30,-1,1]）%

12

bic（i）=log（sigma（i））+i*log（505）/505;

aic（i）=log（sigma（i））+2*i/505;

bic

aic

si=zeros（1,29）;

A=zeros（29）;

si

（1）=r

（1）;

a（1,1）=r

（2）/si

（1）;

fork=2:

nu=0;

de=0;

si（k）=si（k-1）*（1-a（k-1,k-1））;

k-1

nu=nu+r（k-j+