, ( t), :
1)
2)
3)
4)
, 1-4 .
:
1)
2)
3)
.
4)
1) :
2) :
3) :
4) :
50. .
ut [t;t+ τ] (ut, ut+1, , ut+ τ -1, ut+ τ)
( ) ut, , ut+ τ-1 ut ut+ τ. ut ut+ τ. τ.
Ϭuu(p)(τ)= (2.10)
2.10
ρuu(p)(τ)=
ρξξ(p)(τ)= ρξξ(τ)=
:
1.
2.
ρuu(p)(τ) βτ.
51. AR(p) .
:
, , .
ρuu(i,j)=ρ|i-j|=ρτ τ
ρ=0 WN. ρ=1, , .
AR(1):
utϵAR(1), 0, τ>1
ρuu(p)(τ)=
:
ut=β1ut-1+ β2ut-2++ βput-p+ξt
AR(p) 0 .
52. MA(q) .
:
. utϵMA(1)
1)
2) E(ut)=0, Ϭu2=Ϭξ2(1+γ2)
3) MA(1) :
ρuu(τ)=
:
ut=γ1ξt-1+ γ 2ξt-2++ γ pξt-p+ξt
. utϵMA(q) ρuu(τ)=0 τ>q.
|
|
53. .
ut STS t=1,2,,n. u1, u2,,un. , ..
T=(un,..,u2,u1) (1).
n+τ (1), n+τ f (1):
n+τ =f (u1, u2,,un). (2)
, , :
(3)
- :
u1, u2,,un). (4)
ut STS , ..
T =(u1, u2,,un,,ut+τ,,uN). (5)
(1) ,
(6)
n+τ . .
. = T.
u1, u2,,un)= T (7)
(7) . , (7), ,
a0+a1un+a2un-1++anu1.
54. . .
a)
(1)
T(t) (1):
1. yt, (1)
2. . m : y1, y2,,ym. (2)
3. (2) τ=1,2,,m-1 Δyτ=yτ+1-yτ
4. τ=1,2, Δτ=1, :
I1(τ)=Δ(2)yτ=Δyτ+1-Δyτ
I2(τ)= Δ(3)yτ=ΔI1(τ)=I1(τ+1)-I1(τ)
I3(τ)=Δ()=
I4(τ)=Δ(
I5(τ)=Δ(τΔyτ)=(τ+1)Δyτ+1-τΔyτ
I6(τ)=Δ(2)(
5. , τ, . T(t) ( ):
- I1-
- I2-
- I3-
- I4-
- I5-
- I6-
b)
yt
my(t)=y0, σy2=σξ2t, σyy(I,j)= σξ2min(I,j)
55. AR(1) .
AR(1) :
t, t-1
:
1. [0,1)
(1)
N-
2. (1)
- ,
3. (1) , .
|
|
AR(1)
56. , . .
- , X , -. .
, ,
xt≈c0+c1xt-1+c2xt-2 (1)
(1) , .
:
) ;
) - ;
) - - -.