..

(ARMA ).

. .
ARMA . .
-.

.
. ARIMA .
(TS).
(DS).
. - (ADF test).
---.

AR ()
AR(1): yt 0 1 yt 1 t
AR(p): yt 0 1 yt 1 ... p yt p t

MA ( )
MA(1): yt 0 t 1 t 1
MA(q): yt 0 t 1 t 1 ... q t q

 (ACF)

cov yt , yt s

2
yt

2
yt s


(PACF)
S-

ss

yt
s-
:

y y ... ss y
*
t

*
s1 t 1

yt* yt E yt

*
t s

 ARIMA (p,d,q)
ARIMA p, d , q :
d
p
1 L 1 1L ... p L yt
0 1 1 L ... q L t
q

ARIMA 0,1,0 : yt yt 1 t

 -
ARIMA (p,d,q)

ML

(AIC, BIC). ,
.
( -, -)


(ARCH )

TS DS

TS DS

TS

DS

 - (ADF test)

 DF

 --

: y.
, .
p 1

yt c t yt 1 ci yt i t
i 1

1.
2.
3.
4.
5.

yt .
-. ( ),
.
Ho ( ),
. , yt .
, -
. ( ),
.
Ho ( ),
. , yt .
, -
. ( ),
, y .


..,
. 1-10 16.
.., , 4
.