Beruflich Dokumente
Kultur Dokumente
(Part II)
Duong Tuan Anh
Faculty of Computer Science and Engineering
September 2011
Outline
Stochastic Processes
Stationary processes
Autocorrelation Function
That means:
Its easy to see from their definitions that both the theoretical
and estimated autocorrelation functions a symmetrical, i.e.,
that the correlation for a positive displacement is the same
as that for a negative displacement, so that:
k = -k
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is close enough to zero to permit assuming that the true value of the
autocorrelation function k is equal to 0.
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White noise
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AR(1)
AR(2)
Yule-Walker Equations
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AR(p) Model
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1= 1 + 21 +..+ pp-1
2= 11 + 2 +..+ pp-2
. . .. .
p= 1p-1 + 2p-2 +..+ p
(10)
(11)
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Lag operator
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Stationary MA(q)
= 2(1 + 12 + 22 ++ q2)
1 + 12 + 22 ++ q2 <
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MA(1)
MA(2)
The process MA(2) has a memory of exactly two periods, so that the
value of yt is influenced only by events that took place in the current
period, one period back, and two periods back.
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MA(q)
k = 1
if k = 0
= (-k+ 1k+1++ q-k q)/(1 + 12 + 22 ++ q2 ) if k= 1,2,..,q
=0
if k > q
So, we can see why the sample ACF can be useful in specifying
the order of a moving average process.
An MA(q) series is only linearly related to its first lagged values
and hence is a "finite memory" model.
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An example of a second-order
MA process might be: yt = t +
0.9 t-1 + 0.8t-2
Figure 2. The graph of 120
observations on a series generated
by the MA(2) process yt = t + 0.9 t-1
+ 0.8t-2 together with the theoretical
and empirical ACFs (bottom) and the
theoretical and empirical PACFs
(middle). The theoretical values
corresponds to the solid bars.
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Summary
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ARMA Models
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ACF
PACF
AR(p)
Dieout
Cutoffafterthe
orderpofthe
process
MA(q)
Cutoffafter
theorderqof
theprocess
Dieout
ARMA(p,q)
Dieout
Dieout
In this context
Die out means tend to zero gradually
Cut off means disappear or is zero
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ARIMA Models
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For MA(q) model, ACF will cut off after the order q of the process
while PACF will die out very soon.
For AR(p) model, ACF will die out very soon while PACF will cut
off after the order q of the process.
Box-Jenkins methodology
The cycle might have to be repeated several times and at the end,
there might be more than one model of the same time series.
The Box-Jenkins methodology uses an iterative approach as follows:
An initial model is selected, from a general class of ARIMA models,
based on an examination of the time series and an examination of its
autocorrelations for several time lags
The chosen model is then checked against the historical data to see
whether it accurately describes the series: the model fits well if the
residuals are generally small, randomly distributed, and contain no
useful information.
If the specified model is not satisfactory, the process is repeated
using a new model designed to improve on the original one.
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AIC and SC
With AIC, k is chosen to minimize
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Model Checking
After a time-series model has been specified and its parameters
have been estimated, one must test whether the original
specification was correct. The process of model checking
involves two steps.
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References
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