5.2. (t) (Yt)
LnYt = β0+β1lnXt+e.
, , . ?
5.3. , , , .
5.4. :
1 | 2 | 3 | ||||||||||
5,5 | 9,5 |
1,2 3 . .
6
: ARMA ARIMA
-. . , . - . , , , . . , , . , , . , - , , , :
1. .
2. .
3. .
|
|
, Yt (τ):
ut .
τ-AR(τ) :
,
ut .
(τ) . AR(τ) , .
ARMA (p,q) :
p q ARMA ACF PACF. (ACF) . τkk (PACF) k . 6.1
6.1.
ACF PACF ARMA
ACF | PACF | |
AR(p) | , ( / ) | , p ( / ) |
MA(q) | , q | , ( / ) |
ARMA (p,q) | , ( p-q / ) | , ( p-q / ) |
ACF PACF ARMA , , -. - .
:
:
-:
,
- ; k=p+q+1 ; T . .
, Q- -:
( ) , Q>χ2 (α,M-p).
- (ARIMA ): (Auto Regressive Integrated Moving Average (ARIMA (p,s,q)). I (Integrated) .
- :
1. (Akaike information criterion, AIC):
2. (Swarz criterion):
AIC, SIK.