, ( ) bk :
bk = b0*lk, k=0, 1, 2,. (11.5)
0 < l < 1 ( ). , , , .
(11.3)
yt = a + b0xt +b0lxt-1 +b0l2 xt-2 + b0lk xt-k + + et, (11.6)
a, b0, l . , . l (0, 1) (, 0,01; 0,001; 0,0001). l
zt = xt +lxt-1 +l2 xt-2 + +lp xt-p. (11.7)
, zt .
yt = a + b0zt + et, (11.8)
l , R2 (11.8) . a, b0, l (11.6). .
.
(11.6) , l t-1,
l×yt-1 = l×a + l×b0×xt-1 + b0×l2 xt-2 ++ l×et-1, (11.9)
:
yt-l×yt-1 = a - l×a + b0×xt + (b0×l×xt-1 - b0×l ×xt-1) ++(et - l×et-1),
yt= (1-l)×a + b0xt +l×yt-1+vt, (11.10)
vt = et - l×et-1 et et-1.
(11.3) (11.10) .
, ( ) (11.10), : a, b0, l. , , .
(11.10) . yt-i b0. . , xt *, yt yt-i *. (11.10)
|
|
y*= (1-l)×a + b0x* +l×y*. (11.11)
,
. (11.12)
,
, X Y. 0 < l < 1 ( ).
:
yt-1, , , , . , , , vt;
et, et-1 30 , vt , . DW h- ;
, HK, .
11.4. 12
, 1, :
It t- ;
Yt () t- .
1
t | It | Yt |
13800,69 | ||
2700,48 | 13043,48 | |
13688,16 | ||
2560,54 | 12626,27 | |
1890,231 | 9570,231 | |
9781,08 | ||
9975,847 | ||
1780,378 | 10712,38 | |
12181,15 | ||
11986,26 | ||
2000,907 | 11353,51 | |
13769,06 | ||
13019,74 | ||
2269,672 | 15210,67 | |
1731,3 | 14588,8 | |
2034,9 | 16876,9 | |
2728,3 | 17671,4 | |
3310,4 | 16843,4 |
1. 1 MS Excel. (11.10) a, b0, l.
2. (11.9) (, = 5).
3. , (11.10) (11.9) ( = 6) Yt. ().