, ,..., x ; . g (T) h (T) :
Z = φ + γ . (3.96)
φ , γ , t , t , ∆T, , i, j , ( ∆) t - i ∆ T, . . = = Z (t - i ∆ T), e , e = at - θ a -... - θ a , at , , σa2.
Zt : Z ' Zt",
Zt = Z ' + Zt", (3.97)
Z ' = φ + e t (3.98)
Zt" = γ . (3.986)
Z ' , g { ε }, , h, Zt".
Zt φ , γ . , = 1 ( r = 1), . .
Zt' = φ Z ' + a - θ . (3.99)
Zt'
- 1 < φ < 1, - 1 < θ < 1. (3.100)
(3.99) Zt'
σ² = φ K (1) + K (- 1). (3.101)
(3.99) Z ', a , a , , ,
σ² = = K (0), (3.102)
ρ = K (1)/ K (0) = (1 - φ θ )(φ - θ )/(1 + θ ² - 2 φ θ ), (3.1026)
ρ = K (2)/ K (0) = φ ρ . (3.102)
Zt' t = l,..., N. , . 3.17[13].
. 3.17.
. , 0. t > t . , , g (T), h (T). . t ( ) h (T), g (T). t, , t T.
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( ) (3.88) (3.90), (3.88), , g = const.