.

.
*

1-0 : Introduction

.




.
.

1-1 :Time Series Anlaysis

.
.
) . (.

. }{yt
continuous discrete . t
stationary non-
.stationary
Time Series Model
.

Mixed Model
- ) AR) Autoregressive model
)MA) Moving Average Model
)

( ) ;ARMA) Autoregressive Moving Average Mode ))p,q

ARMA P q .
*
E-mail: obead79@yahoo.com
Mobile: +249912175280

2

)
(

Estimation

Diagnostic
checking

Identification

Forecasting

 } { y t ): p,q) ARMA
)------- (1

( B ) yt = ( B ) at

where
( B ) t =1 1 B 1 2 B 2 ...... 1 p B p
( B ) =1 1 B 1 2 B 2 ...... 1 q B q
B j at = at j

} {at white noise

) P) AR (q) MA ))P,q
.ARMA

1-2 : Identification
.


.
:
-1




.
-2 IACF,PACE,ACF
) ( ACF
IACF, PACF )
( .(yt(1-B
(dyt(1-B d>0
) .(d=0,1,2

.
-3 IACF, PACF, ACF
) ARMA(1,0 ) AR(1 ) ARMA(0,1 )MA(1
. . )
p,q)ARMA IACF, PACF , ACF


.

1-3 :Proposed Method

 ))ESACF
Extended Sample Autocorrelation Function
Inverse IACF Autocorrelation Function
ACF
Extended Sample Inverse Autocorrelation Function
) (ESIACF
.
} { yt n )
p,q)ARMA
) P)AR:
p

)(2

yt = t yt + et

t= p+1,,n

=1

P : et .
) (
) (OLS , =1,2,..., p )
(inconsistent :
0

= yt t yt
)( 0

)(3

=1

)( 0

et

) (0 ) (
White noise q1 :
) (
et ; =1,2,..., q yt
) (
) p)AR et1:
0

)(4

)yt = (1) yt + 1( 1) et1 + et(1

)( 0

t=p+2,,n

=1

) (1 ) et(1 .
) (
) (OLS consistent q=1
1

)( 1

q>1 inconsistent
) (
) (
et white noise et1
} {yt
:
1

)(5

) yt = ( 2 ) yt + 1( 2 ) et1 + 2( 2 ) et 2 + et( 2
)( 0

t = p + 3,..., n

)( 1

=1

)( 2

)(OLS
.

:
)(6

q=2 q>2

) + e( q

t = p + q +1,...., n

=1

=1

y t = ( q ) yt + 1( q ) et

) ( q

where
.,q=0,1,2
.p= 1,2
) (
et p :
j

) = yt yt et (j
)( j

)(7

)( j

=1

)( j

)( j

=1

et

)( j

, .
IACF

)( m ) ( I 1

) ( m) ( I

) ,ESIACF) m=0,1,2
:
=1,2,..., k

)( m ) ( 1

)( m
)( m
)( m
)( m
)( m
+ 1 +1 + ... + k k
=
k
) 2( m

1 +

=1
0

>k
)( 1

)( 1

=0

) (ESIACF ) (
MA ,0,1,2
AR ,0,1,2:

...
...
...

3
)( 0 ) ( 1
)( 1) ( 1

)( 2 ) ( 1

.
.
.

MA

2
)( 0 ) ( 1
)( 1) ( 1
)( 2 ) ( 1

1
)( 0 ) ( 1

)( 1) ( 1

3
3

.
.
.

)( 2 ) ( 1

.
.
.

)( 1

)( 1

)( 1

)( 0

)( 1

)( 2

.
.
.

.
.
.

AR

:
) (
) ( : SIACF . yt
1

)( 1

)( 1

)( 1

)( 2

: ESIACF ) IACF } {
: ESIACF ) IACF } ( { y
)( 1

.( yt

)( 2
t

0
) (x

)( 1

)m

)( 1

)( 1

)m

( . ESIACF

( ) (2

) (0 ) ( . )
p,q)ARMA
.
m

 ) ARMA(1,1 :
1
2
3
4
X

MA
0
X

*0

(ARMA(1,0), ARMA(0,1.

AR 0

 1-4 :
) (n=50,100,150
} {at
) (| 1|<1| 1|<1
} {yt ).ARMA(1,1
) (1000
1 ,1 ) (5-1

(Ratio Of true selection (RTS :
RTS = No. of correct identification
No. of replicates
-:
):(5-1
ESIACF, c-table, ESACF
:(ARMA(1,1
1
n
ESACF
C-table
ESIACF
1
957
966
966
50
962
969
969
.4
-.7
964
967
967
-.6
.9
975
984
984
100
978
987
987
975
985
985
-.8
.5
986
994
994
150
989
996
996
992
997
997
)(5-2
RTS (ARMA(1,1

RTS
)(ESICF

C-table

ESACF

0.966
0.969
0.967
0.984
0.987
0.985
0.994
0.996
0.997

0.966
0.969
0.967
0.984
0.987
0.985
0.994
0.996
0.997

0.957
0.962
0.964
0.975
0.978
0.975
0.986
0.989
0.992

1-6 :

1
1

-.7

.4

.9

-.6

.5

-.8

50
100
150

-1
-2
-3
-4

ESIACF )(
c-table
.ESACF

.
RTS
) ( .
*.

References
1-

Anderson, T.W. (1971) (The statistical Analysis of Time series) John Wily,
Newyork.
2- Box, Jenkins (1976) (Time Series Analysis forecasting & control HoldonDay inc U.S.A
3- Bhanasali, R.J (Autoregressive and window Estimates of the inverse
correlation function) Biometrika vol (67) No. (3) pp. (551-556).
4- Dankit, Nassiuma (1993) (Non-stationary autoregressive Moving Average
processes with Infinite Variance) Journal of time series Analysis vol (14) No.
(3) pp. (297-304) .
5- Glasbey. C.A. (1982) ( A Generalizations of partial Autocorrelation useful in
identifying ARMA Models) Technometrics vol. (24) No. (3).
6- Gatean Caklo (2000) (subset ARMA Model Identification using genetic
Algorithms) Journal of time series Analysis Vol. (21) No. (5) pp.(559-570).
7- Hamilton (1970) (Multiple Time series) John Willy New York U.S.A
8- Kumar, K (1987) (On the identification of ARMA model ) Bulletin of the
International Stationary statistical institute (Nether Lands) Vol. (11) Book (2)
pp. (377-389).
9- Teles, Paulo & Wei William W.S (2002) ( The use of Aggregate Time Series
in Testing For Gaussianity ) Journal of Time Series Analysis Vo. (23) P (95) .
10- Vuattoux, J.L. & Carpentier. LE (2002) (None Casual ARMA Model
Identification by Maximizing Kurtosis (by internet).
11- Wegman, Eduard, J (1998) (Time series Analysis Theory Data Analysis and
Computation).
12- Wei, William, W.S (1989) (Time Series Analysis, Univariat and Multivariate
Methods) addison- Wesley Publishing compony ine.

13- () 2005)
(

10