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Box-Jenkins
.....
) ( Box-Jenkins
ARMA . ARIMA
2015 .
125
Box-Jenkins ....
1%2.4
:
2 ) ( .Box-Jenkins
.
: :
-1-1 :
) ( Box-Jenkins .2015
-2-1 :
:
-
1 . 2009 . 2009-2000
2 35
:
Kirchgssner G. and Wolters J. (2007) "Introduction to Modern Time Series Analysis", SPRINGERVerlag, Berlin Heidelberg, p. 3-5.
126
- 27 2011-
-3-1 :
) ( ) ( Box-Jenkins
. SPSS .
-4-1 :
) (
.
)
( Box-Jenkins
: ) ( : Box-Jenkins
127
Box-Jenkins ....
: ARIMA (Autoregressive
: .
: - -
)(.
-
: .
)
(.
: Xt
:3
-
< t Z , EXt2
t Z , EXt =
): t: Z (
): (
) t Z , h Z , COV ( Xt , Xt +h ) = ( h
)): (h :h (.
.
3 GOURIEROUX C. et MONFORT A., (1990) "Sries Temporelles et Modles Dynamiques " Ed.
Economica-Paris. p.152
128
- 27 2011-
(Trend Stationary) TS Difference ) DS
.4(Stationary
-
:TS
:DS
)
( Dickey and Fuller 1979 .1981
X t = 1 X t 1 + e t
+ 1 X t 1 + e t
+ 1 X t 1 + B t + e t
)I
Xt =
) II
Xt =
) III
: X t = X t X t 1 :
: et .White Noise Process 6
4 HENIN P.Y. (1989), "Bilans et essais sur la non-Stationnarit des sries Macroconomiques" rvue
d' conomie politique n5-p. 667,668.
5 Dickey D. and Fuller W.(1979), " Distribution of the estimators for Autoregressive Time Series
With a unit Root ", Journal of the American Statistical Association, n74: pp .427-431.
129
Box-Jenkins ....
) H 0 : 1 = 0 ( .
1
) SE ( 1
B j X t j + et
B j X t j + et
B j X t j + t + e t
j =1
p
j =1
j =1
X t = 1 X t 1 +
+ 1 X t 1 +
+ 1 X t 1 +
Xt =
X t =
)I
) II
) III
: et .
( H 0 : 1 = 0 ) : .
-2-2 :ARIMA
Box Jenkins :
- 1-2-2 ):AR(p
: P ) ( Xt , t Z
:8
6 : ) (et , tZ )
( . )(GOURIEROUX et MONFORT, 1990, p.153
7 Dickey D. and Fuller W.(1981) 'The likelihood Ratio Statistics for Autoregressive Time Series
With a unit Root", Econometrica ,n49: pp .1057-1072.
130
- 27 2011-
) =
ti
( i X
t Z, X
: i : .
: t
(1 1 B 2 B 2 .......... p B p ) X t = t
(B) Xt = t
:B .
- 2-2-2 ):MA(q
: q ) ( Xt , t Z
:9
tZ
Xt = t 1 t 1 2 t 2 ........ q t q
: i .
:
Xt = (1 1B 2 B2 ........ q Bq ) t
Xt = H ( B) t
:
- 3-2-2 ):ARMA(p,q
: ) ( Xt , t Z ) ARMA(p,q
( B) X t = H ( B) t : 10
8 Kirchgssner G. and Wolters J. (2007) "Introduction to Modern Time Series Analysis",
SPRINGER-Verlag, p.49
p.64 9
10 SHUMWAY R.H. and STOFFER D.S. (2005) "Time Series Analysis and Its Applications".
SPRINGER, p. 93.
131
Box-Jenkins ....
p 0, q 0 ) ( B), H ( B . ) ( B), H ( B . - ) ( X t , t Z
* :ARIMA
: ) : ( Xt , t Z
d ) ARIMA(p,d,q
11
( B)(1 B) d X t = H ( B) t :
(1 B) = : . d
d
: Xt ) ARIMA(p,d,q
X t ; t 0 ).ARMA(p,q
d
-3-2 :
ARMA . Jenkins
12Box (A.C.F) )(P.A.C.F
:
* ) AR(p
.AR
& 11 PANKRATZ A. (1983) "Forecasting with Univariate Box-Jenkins Models". JOHN WILEY
SONS, p.99
12 Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis Forecasting and Control, 2nd ed.,
Holden-Day, San Francisco.
132
- 27 2011-
* ) MA(q
q .
* ) (A.C.F )
.ARMA(p,q
-4-2 :
ARMA
).(BENSABER A., 1989
SPSS
-5-2 :
t
.
et
)
et = X t X t
133
Box-Jenkins ....
-1-5-2 Ljung-Box
13
) rk2 (et
k =1 N k
K
)Q = N ( N + 2
H 0 )) Q < 02.05 ( K ( p + q
-2-5-2 :
(BERA, A.K., 1981) Jarque-Bera :
T
T
1 + ( 2 3) 2
6
24
=S
32
1 = 3 :
2
4
22
= 2
S .
H 0 : et .
13 Ljung, G.M., and Box G.E.P. (1978) "on a measure of the lack of fit in time Series models".
Biometrika, n65:PP.297-303.
134
- 27 2011-
H 1 et .
) (
Kolmogorov
SPSS
: :
49
1960 2008 .
.
1960-2008 ) (1 -
1960
96239
1970
193624
1980
324895
1990
466656
2000
564708
1961
127251
1971
216447
1981
328367
1991
482022
2001
576739
1962
119851
1972
230710
1982
342209
1992
501347
2002
602160
1963
141183
1973
251246
1983
349037
1993
501654
2003
615038
1964
152952
1974
236120
1984
390881
1994
503606
2004
613600
1965
153681
1975
241640
1985
398568
1995
504374
2005
631950
1966
153609
1976
258328
1986
416665
1996
513441
2006
635195
1967
161389
1977
265460
1987
461523
1997
502114
2007
639705
1968
159589
1978
282012
1988
422812
1998
517707
2008
656477
1969
179998
1979
292347
1989
461092
1999
525595
135
Box-Jenkins ....
700000
600000
500000
400000
300000
200000
100000
0
2008
2005
2002
1999
1996
1993
1990
1987
1984
1981
1978
1975
1972
1969
1966
1963
1960
) (1 1960 2008
-1-3 : :
) Dickey and Fuller (
. :
) (2 Dickey-Fuller
=0.05
2.39
0.353
II
D.F.
2.39
0.729
II
A.D.F.
14
.
136
- 27 2011-
50000
40000
30000
20000
10000
0
2006
2003
2000
1997
1994
1991
1988
1985
1982
1979
1976
1973
1970
1967
1964
1961
-10000
-20000
-30000
-40000
-50000
) (2
-2-3 : :
ACF ) (3
) .MA(1 PACF ) (4
) .AR(1 ): ARMA(1,1
) (3 ACF
137
Box-Jenkins ....
) (4 PACF
-3-3
:
-1-3-3 ) AR(1 :
) ARIMA(1,1,0 . 44
1960 2003
2004 2008
.
SPSS ):(3
) (3 SPSS
Sig.
.000
7.459
.009
-2.735-
SE
Estimate
11934.170 1599.993
.143
Constant
-.391-
Lag 1
Difference
138
X
AR
X-Model_1
- 27 2011-
) (3
. :
) (5
-2-3-3 :
:
-
) (4 Ljung-Box
)Ljung-Box Q(18
Sig.
DF
Statistics
.827
17
11.550
139
Box-Jenkins ....
Ljung-Box
) (6 ):(7
) (6
) (7
- :
K-S -
)( ). (5
140
- 27 2011-
) (5 Kolmogorov-Smirnov
Noise residual from
X-Model_1
N
43
Normal Parametersa
173.5805
Mean
14374.55222
Std. Deviation
.075
Absolute
.075
Positive
-.066-
Negative
.490
Kolmogorov-Smirnov Z
.970
-4-3-3 ) MA(1 :
) ARIMA(0,1,1 .
SPSS ). (6
) (6 SPSS
Sig.
SE
Estimate
.000
7.483
1593.816
11926.006
Constant
Difference
.051
2.009
.151
Lag 1
.303
X-Model_2
MA
.
:
141
Box-Jenkins ....
(1 B) Xt = 11926.01 + t 0.303 t 1
:
Xt = 11926.01 + Xt 1 + t 0.303 t 1
) (8 :
) (8
-5-3-3 :
:
- :
) (7 Ljung-Box
)Ljung-Box Q(18
Sig.
DF
Statistics
.675
17
13.888
142
- 27 2011-
Ljung-Box
) (9 ):(10
) (9
) (10
- :
K-S-
)( ).(8
143
Box-Jenkins ....
) (8 Kolmogorov-Smirnov
Noise residual
from X-Model_2
N
43
126.1942
Mean
14678.99773
Std. Deviation
.081
Absolute
.081
Positive
-.061-
Negative
Normal Parameters
.529
Kolmogorov-Smirnov Z
.943
-6-3-3 ) ARMA(1,1 :
) ARMA(1,1 )ARIMA(1,1,1
. SPSS ). (9
) (9 SPSS
Sig.
SE
Estimate
.000
6.977
1712.457
11947.624
.108
-1.646-
.330
.650
-.457-
.388
Constant
-.542-
Lag 1
AR
Difference
-.177-
Lag 1
MA
X-Model_1
) ARIMA(1,1,0
.15 :
15 . .
144
- 27 2011-
DF
Statistics
. 825
16
10.751
Ljung-Box
)(11
):(12
) (11
145
Box-Jenkins ....
) (12
- :
K-S -
)( ). (11
) (11 Kolmogorov-Smirnov
Noise residual
from X-Model_1
N
43
Normal Parametersa
175.9500
Mean
14336.40698
Std. Deviation
.095
Absolute
.095
Positive
-.070-
Negative
.622
Kolmogorov-Smirnov Z
.834
146
- 27 2011-
- 7-3-3 :
). (12
) (12
)ARIMA(1,1,1
)ARIMA(0,1,1
)ARIMA(1,1,0
627574.3211
625220.5637
626602.7078
613600
2004
639202.5829
637146.5697
638681.504
631950
2005
651323.4565
649072.5758
650559.0603
635195
2006
663177.0938
660998.5819
662515.3919
639705
2007
675175.7037
672924.588
674440.8869
656477
2008
MAPE = (1 / T ) ( Xt X t* / X t ) * 100
1
2
RMSE = (1 / T ) ( Xt Xt* ) 2
:
: xt .
* : xt .
). (13
) (13
)ARIMA(1,1,1
)ARIMA(0,1,1
)ARIMA(1,1,0
16784.454
14687.197
16083.862
RMSE
2.496
2.147
2.381
MAPE
147
Box-Jenkins ....
) ARIMA(0,1,1
RMSE .MAPE ) ARIMA(1,1,0
). ARIMA(1,1,1
-8-3-3 ) ARIMA(0,1,1 :
. Line
) ( :
Yt = 664430+ 12048t
) ARIMA(0,1,1
RMSE MAPE ) (14 ).(15
) (14 ARIMA
)ARIMA(0,1,1
line
2004
613600
625220.5637
676477.6783
2005
631950
637146.5697
688525.7211
2006
635195
649072.5758
700573.764
2007
639705
660998.5819
712621.8068
2008
656477
672924.588
724669.8497
) (15
)ARIMA(1,1,0
)ARIMA(0,1,1
)ARIMA(1,1,1
line
16083.862
14687.197
16784.454
65415.470
RMSE
2.381
2.147
2.496
10.25576
MAPE
-4-3 : :
)ARIMA(0,1,1
2008
). (16
148
- 27 2011-
.000
8.140
.030
2.240
SE
Estimate
11563.188 1420.480
1
.141
.315
Constant
X-Model_2
Difference
Lag 1
MA
.
- - 2015
).(17
) (17 %95
UCL_X
Predicted_X
LCL_X
695956.2074
667326.0148
638695.8223
2009
713596.5564
678889.2031
644181.8498
2010
730321.0862
690452.3914
650583.6967
2011
746450.0851
702015.5797
657581.0743
2012
762151.7823
713578.768
665005.7537
2013
777527.5475
725141.9563
672756.3651
2014
792644.0632
736705.1446
680766.226
2015
):(13
149
Box-Jenkins ....
) (13
:
-1
Dickey and Fuller
-2
-3
)-(
Box-
Jenkins
)-( .
) ARIMA(0,1,1 :
(1 B) Xt = 11563.19 + t 0.315 t 1
Xt = 11563.19 + Xt 1 + t 0.315 t 1
-4
-5
150
2011- - 27
:
1-
BERA, A.K. and Jarque .C.M.(1981), "An efficient large Sample test for normality
of observations and regression residuals ", Working paper in Econometrics No
40,Australion National university, Canberra.
2-
3-
Dickey D. and Fuller W.(1979), " Distribution of the estimators for Autoregressive
Time Series With a unit Root ", Journal of the American Statistical Association,
n74: pp .427-431.
4-
Dickey D. and Fuller W.(1981) 'The likelihood Ratio Statistics for Autoregressive
Time Series With a unit Root", Econometrica ,n49: pp .1057-1072.
5-
FULLER A.W. (1996) "Introduction to Statistical Time Series". JOHN WILEY &
SONS, INC, New York.
6-
7-
Ljung, G.M., and Box G.E.P. (1978) "on a measure of the lack of fit in time Series
models". Biometrika, n65:PP.297-303.
8-
9-
SHUMWAY R.H. and STOFFER D.S. (2005) "Time Series Analysis and Its
Applications". SPRINGER, New York.
10- Wei, W. W. S. (1990). "Time Series Analysis Univariate and Multivariate Methods",
Addison Wesley.
11- YAFFEE R. and McGee M. (1999) "Introduction to Time Series Analysis and
Forecasting". ACADEMIC PRESS, INC, New York.
:
1-
2-
151
Box-Jenkins ....
3-
4-
5-
:
-1
2009 : 1989 1976 .
-2 ) (.
2002 .
-3 .
2005 .
-4 :
. 1992 .
.2010/7/12
152