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Demonstração 2
AR(1):F ACτ = φτ1
Vejamos as seguintes propriedades:
• εt R.B.(0, σ 2 )
• E[aXt ] = aE[Xt ]
• E[aXt ± bYt ] = aE[Xt ] ± bE[Yt ]
• V ar[aXt ± bYt ] = a2 V ar[Xt ] + b2 V ar[Yt ]
• Cov[X, Y ] = E[(X − E(X))(Y − E(Y ))]
• γ = E[X.Y ]
Um processo AR(p):
Xt − mu = φ1 (Xt−1 − µ) + φ2 (Xt−2 − µ) + · · · + φp (Xt−p − µ) + ε + t
E agora o processo AR(1):
Xt − µ = φ1 (Xt−1 − µ) + εt
Chamando Xt − µ de Yt :
Yt = φ1 Yt−1 + εt
E[Yt ] = 0
1
E[εt ] = 0
V ar[εt ] = σ 2
Y0 = ε0
Temos o seguinte processo:
Y1 = φ1 Y0 + ε1
Y2 = φ1 Y1 + ε2 = φ1 (φ1 Y0 + ε1 ) + ε2 = φ21 Y0 + φ1 ε1 + ε2
Y3 = φ1 Y2 + ε3 = φ1 (φ21 Y0 + φ1 ε1 + ε2 ) + ε3 = φ31 Y0 + φ21 ε1 + φ1 ε2 + ε3
.
.
.
t
X
Yt = (φ)i εt−i
i=0
A esperança de Yt :
t
X
E[Yt ] = φi1 E[εt−i ]
i=0
E[εt−i ] = 0
A Variância de Yt :
t
X
V ar[Yt ] = φ2i
1 V ar[εt−i ] =
i=0
V ar[εt−i ] = σ 2
(φ01 + φ21 + φ41 + · · · + φ2t
1 )σ
2
2
Função de autocorrelação de AR(1):
γk
F ACk =
γ0
γk = E[Xt Xt−k ]
γ0 = E[Xt Xt−0 ] = E[Xt2 ] = V ar[Xt ]
Voltando ao processo Yt , temos:
Yt = φ1 Yt−1 + εt (2)
γk E[Yt Yt−k ]
F ACk = = σ2
V ar[Yt ] 1−φ2 1
Tomamos a esperança:
E[Yt Yt−k ] = φ1 E[Yt−1 Yt−k ] + E[εt Yt−k ]
E[εt Yt−k ] = 0
γk = φ1 γk−1 = φ1 φ1 γk−2 = φ1 φ1 φ1 γk−3 = · · · = φk1 γk−k
γk = φk1 γ0
Então:
γk φk γ0
F ACk = = 1
γ0 γ0
F ACk = φk1