..

2005


I. .................................. 4
1.0 ..................................................................................................................... 4
1.1 ................................................................................................. 6
1.1.1 ............................................................................... 6
1.1.2 ........................................................................ 8
1.1.3 ........................................................... 9
1.2 . ........................................................ 11
1.3 ............................................................................................... 13
II . .......................... 18
2.0 ................................................................................................................... 18
2.1 ............................................................................................... 19
2.2 ................................................................ 20
2.3 ........................................................................... 23
2.4. q.............................................................. 26
2.5 - .................................. 28
2.6 ARMA ....................................................... 29
2.6.1 ACF PACF ................................. 30
2.6.2 ......................... 32
2.6.3 ................................................... 34
2.7 . ................................... 34
III. ............................................................ 36
3.1 .................................................................. 36
3.2 TS- DS- .......................................................................................................... 39
3.3 ...................................................................... 41
3.3.1 - (Dickey-Fuller) .................................................................. 41
3.3.2 - (Phillips-Perron) .................................................. 42
3.4 ARIMA- .................................................................... 43
3.4.1 . ............................. 43
3.4.2 AR- MA- ............................................................... 46
3.4.3 ........................................................................................... 52
3.4.4 .............................................................................................. 52
3.4.5 ............................................................................................... 53

I.
1.0
: ,
.
:
.
:

.
( )
1964 1993 ( A, B, C).
( )
1980 1993 D.
1

1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988

A
27,0
26,0
29,0
21,9
19,9
34,0
20,0
34,5
33,5
27,0
38,0
32,0
31,0
40,0
40,5
44,7
41,0
38,0
44,0
48,0
49,0
56,0
57,0
60,0
66,0

B
34,0
21,0
49,0
27,0
29,0
49,0
25,8
33,0
44,0
29,0
39,0
37,0
49,0
53,0
41,0
55,0
25,0
25,0
27,0
55,0
42,0
41,0
43,0
46,0
50,0
4

C
30,0
32,0
40,0
24,0
25,0
52,0
33,0
46,0
54,0
48,0
59,0
54,0
53,0
54,0
56,0
62,0
50,0
48,0
54,0
45,0
63,0
67,0
58,0
71,0
71,0


1989
1990
1991
1992
1993

A
65,0
67,0
71,0
72,0
74,0

B
59,0
54,0
47,0
52,0
59,0

C
79,0
71,0
80,0
80,0
88,0

. 1.1 . 1
.
, . ,
, , ,
. ,
. ,
.

.
xt1 , xt 2 , K ,
t1 , t 2 , K , ..
. ,
.
, ,
.
x 0 , x1 , x 2 , K .
,
K , x 3 , x 2 , x1 .
,
. ,
5

 ,
. , ,
.

.
.

, .
( ,
. .).
( )
. , ,
.
, (
),
, .
:
1.
.
2. .
3.
.
:
() X Y,
, X (.. X
L(X, Y)).

1.1

1.1.1

x1 , x 2 , K
, ,
. ,
.

, .
,
.
6

 : k
, xt ,
t:
xt , xt 1 , xt 2 , K , xt k +1 ,
x
+ xt k +1 + K + xt + K + xt + k 1 + xt + k
st = t k
, t = k + 1, K , n k .
(1)
k
t ,
..
, , .
, .
k.
:
:
1 , 3.
(1) :

C
C1

C
C1

C
C1

C
C1

1964
30,00
1973
48,00
53,67
1982
54,00
49,00
1991
80,00
77,00

1965
32,00
34,00
1974
59,00
53,67
1983
45,00
54,00
1992
80,00
82,67

1966
40,00
32,00
1975
54,00
55,33
1984
63,00
58,33
1993
88,00

1967
24,00
29,67
1976
53,00
53,67
1985
67,00
62,67

1968
25,00
33,67
1977
54,00
54,33
1986
58,00
65,33

1969
52,00
36,67
1978
56,00
57,33
1987
71,00
66,67

1970
33,00
43,67
1979
62,00
56,00
1988
71,00
73,67

1971
46,00
44,33
1980
50,00
53,33
1989
79,00
73,67

1972
54,00
49,33
1981
48,00
50,67
1990
71,00
76,67

1 .
. 1.2

. 1.2
.

.
.
, xt s t
. . 1.3 2.
. 1.2 .

. 1.3
, . 1.3 .
.
1.1.2

. , .
, .

st =

w k xt k + w k +1 xt k +1 + K + wk 1 xt + k 1 + wk xt + k
w1 + w2 + K + wk

(1)

st =

wi xt + i ,

k = 2m + 1; t = m + 1, K, n m

(2)

i = m

, ,
, .. -.

, (. ).
wi ,
.
8

,
( k = 5, m = 2 ),

s t = a0 + a1t + a 2t 2 . :

2
m
xt a0 a1t a 2 t 2 = 0,

a0 t = m
2
m
xt a0 a1t a 2 t 2 = 0,

a1 t = m
2
m
xt a 0 a1t a 2 t 2 = 0,

a 2 t = m

a0 :
m
m
1
1
17 xt 5 t 2 xt = ( 3xt 2 + 12 xt 1 + 17 xt + 12 xt +1 3xt + 2 ) ,
35
35 t = m
t = m

:
3
12
17
12
3
w 2 = , w1 = , w0 = , w1 = , w2 = .
35
35
35
35
35
.
,
, ,

a0 =

y1 = x 2 x1 = 1 x1 , y 2 = x3 x 2 = 1 x2 ..,
p + 1 (.. p + 1 ),
. ,
k ,
. k
1 : p = k 1 .
1.1.3
xt , t = 1, 2, K

(3)
s t = x t + (1 ) st 1 , t = 1, 2, K
, = 0 s t = st 1 , .. , = 1
s t = xt , .. .
(3) ,
(4)
s t = x t + (1 ) xt 1 + (1 ) 2 xt 2 + L
,

, .

 ,
(1 ) . ,
, .
.
.
,
.
()
- st.
,
s t = s t 1 + ( xt s t 1 ) .

: s t 1 xt, xt s t 1
; st t+1
t .
,
, .
, ,
.
. 1.4 , .

. 1.4
,
.
.
10


. .
: .

, .
,
, , 0.2. (
.)

1.2 .

:
1.
,
2. ,
3. S,
4. .
, ,
.
()
, ,
.
, .
.

.
,
,
.


xt = f ( S t , Tt , C t ) + t .

(1)

, , , ,
,
. ,

.
: ( )
,
.

, ,
11

 ,
.

. . ,
,
, ,
,
.
, ,
, .
, ,
.
. , ,
TC t .

,
.
:
H 0 : E ( xt ) = a = const .

(2)

1.

x med ,
, : xt > x med , xt ,
xt < x med , .
.
. :
>

,
0.0500 0.0975 .

1
(n + 2 1,96 n 1) ,
2
< 1,43 ln( n + 1)

(3)

2.

.
: xt +1 xt > 0 , xt ,
xt +1 xt < 0 , ( ,
).
:
1
16n 29
> (2n 1) 1,96
) ,
90
3

<0,
12

(3)

 0 :
n
n 26
26 < n 153
0
,
0.0500 0.0975 .

153 < n 1170

6
0

1.3
.
, ( )
.

, . ,
,
.
.
,
. , ,
,
.
,
. ,
12, 4.
, , 1 ,
24.

, ..
, .
,
. -, ,
, .

, . -, ,
.
.
,
,
.
: ,
, .

13

xt = TC t + S t + t
(5)
, .
(1) , ,
:
S t + t = xt TC t .
.
.
1. .
,
.

, .
(12 , 4
). :
:
w 6 = 1, w 5 = w 4 = K = w5 = 2, w6 = 1 ,
x
+ 2 xt 5 + 2 xt 4 + L + 2 xt + 4 + 2 xt + 5 + xt + 6
TC t = t 6
24
.. 13, 1,
, , , 12
.
2. , ..
, :
y t = xt TCt .
3.
y1 , y 2 , K , y12 ( ),
:
1

p
yi =
1
p

y12i + j ,
j =1
p 1

i = 1, 2, K, 6
(6)

y12i + j ,

i = 7, 8, K , 12

j =0

.
,
t = 7, t = 12p 6.
4.
S i = yi y ,
14


12

y = yi .
i =1

,
:
12

Si = 0 .

i =1

:
xt = TCt S t t
(7)
,
, .
, ,

.
(7) ,
:
y t = xt / TC t ,
yt .
y1 , y 2 , K , y12 . y
y1 , y 2 , K , y12 :
y = 12 y1 y 2 K y12 .
S i
yi y :
y
Si = i .
y

. , ,
:
S1 S 2 L S12 = 1 .

, . 1.4.

1949 1960 . . 1.5.
1.
15

 ,
+ 2 xt 5 + 2 xt 4 + L + 2 xt + 4 + 2 x t +5 + x t +6
x
s t = t 6
.
24
. 1.6. ,
.
2.
. 1.7.
,
.

. 1.5 1949 1960 .

.1.6

16

. 1.7
3. .
:
.
9/24, 10/25 .. 55, 56 ..:

. 1.8
.
N . 1.8.
.
N61.

N49:N60
.

17

II .
2.0

, x1 , x 2 , K, x n
, ,
X 1 , X 2 , K , X n ,
F ( 1 , 2 , K, n ) = P( X 1 < 1 , X 2 < 2 , K, X n < n ) .
,
X 1 , X 2 , K , X n
p( x1 , x2 , K , x n ) .

,
,
.
.
. ( ),
m xt1 , xt 2 , K , xt m ,
m xt1+ , xt 2 + , K, xt m + , m, t1 , t 2 , K , t m .
, ,
, , ,
, .
X t X t +

( X t , X t + ) =

Cov( X t , X t + )
Var( X t ) Var( X t + )

Cov( X t , X t + ) = E [( X t E ( X t ))( X t + E ( X t + ))] .

xt , Cov( X t , X t + ) t
; Cov( ) = Cov( X t , X t + ) .
,
Var( X t ) = Cov( X t , X t ) = Cov(0) .
, ( X t , X t + )
; ( ) ,
( ) = Corr( X t , X t + ) = Cov( ) /Cov(0) .
, (0) = 1 .
18

. , :
1. E ( X t ) ,
2. Var( X t ) 2 ,
3. Cov( X t , X t + ) = Cov( ) t
( ,
).

. xt , t = 1, K , n ,
X 1 , X 2 , K , X n n- .
, xt , t = 1, K , n E ( X t ) , Var( X t ) 2 ,
Cov( X t , X t + ) = Cov ( ) . ( )
,
( ).
Cov( ) = Cov( X t , X t + ) .
. ( )
( ) .
, ..
. 1 +1;
R(0) = 1. , xt , t = 1, K , n , ( ) = ( ) ,

.
. ( ) .
,
. , xt
, xt ( xt + c )
.

2.1
. xt
E ( xt ) = 0
Var( xt ) = x2 .
xt
( ) = 0 0 .

19

 x . ,
.
. .
X 1 , X 2 , K , X n ,
N (0, x2 ) .
, , X 1 , X 2 , K , X n
, ,
, .. X t
/ .
, ,
- t s X t X s .

, . ,
,
, .
,
, t .

2.2

( ).
AR(1).
. AR(1)
X t = aX t 1 + t , t = 1, K, n ,

(1)

t ,
2 , X 0 , a 0
.

E ( X t ) = aE ( X t 1 ) ,
E ( X t ) = 0
t.
,
X t = aX t 1 + t = a (aX t 2 + t 1 ) + t = a t X 0 + a t 11 + a t 2 2 + L + t ,
X t 1 = aX t 2 + t 1 = a t 1 X 0 + a t 21 + a t 3 2 + L + t 1 ,
X t 2 = aX t 3 + t 2 = a

t 2

X0 + a

t 3

1 + a

K,
20

t 4

2 + L + t 2 ,

(2)

X 1 = aX 0 + 1 .
X 0 1 , 2 , K , n ,
,
Cov( X 0 , 1 ) = 0 , Cov( X 1 , 2 ) = 0 , . . . , Cov( X t 1 , t ) = 0

(3)

Var( X t ) = Var(aX t 1 + t ) = a 2 Var( X t 1 ) + Var( t ) = a 2 V a r( X t 1 ) + 2 .

(4)

,
Var( X t ) = Var( X t 1 ) = K = Var( X 0 ) x2 ,
(4) :
x2 = a 2 x2 + 2 .

(5)

a 2 < 1 , .. | a | < 1 .
(5) x2 :
x2 =

2
1 a2

(6)

Cov( X t , X t + ) :
Cov( X t , X t + ) = Cov(a t X 0 + a t 1 1 + a t 2 2 + L + t ,
a t + X 0 + a t + 1 1 + a t + 2 2 + L + t + ) =

= a 2t + Var( X 0 ) + 2t + a 2 + a 4 + K + a 2t Var( 1 ) .
n :
1 qn
S n = b1
.
1 q
b1 = q = 1 / a 2 ,
a

+a

+K+ a

2t

=a

2t a

2t
2

a 1

, (6)
Cov( X t , X t + ) = a 2t + Var( X 0 ) +

a 2t 1
a2 1

Var( 1 ) = .

= a 2t + Var( X 0 ) (a 2t 1) Var( X 0 ) = a Var( X 0 )

( ) =

Cov( X t , X t + )
= a .
Var( X 0 )
21

(8)

.. .
. 2.1 AR(1)
.

. 2.1
, ,
(1), ,
:
1. | a | < 1 ;
2. X 0 et t: Cov( X 0 , 1 ) = 0 , Cov( X 0 , 2 ) = 0 , . . . ,
Cov( X 0 , t ) = 0 ;
3. E ( X 0 ) = 0 ;
4. Var( X 0 ) = 2 /(1 a 2 ) .
( X t , X t + ) = ( ) = a .
.
X 0 = x0 ,
X t = aX t 1 + t X t ,
,
, ,
X t = aX t 1 + t 2 . ,
t = 0 , X 0
. X t
| a | < 1 .
.
,
t = 1, x0 .
X t = a t x0 + a t 1 1 + a t 2 2 + L + t ,

(9)

22

E ( X t ) = E (a t x 0 + a t 1 1 + a t 2 2 + L + t ) = a t x0 ,
Var( X t ) = Var(a t x0 + a t 11 + L + t ) = a 2t x2 + (a 2(t 1) + a 2(t 2) + L + 1) 2 =
= a 2t x2 + x2 ,
Cov( X t , X t + ) = a (1 + a 2t ) x2 ,
,
t. , | a | < 1 , t E ( X 0 ) 0 ,
D ( X 0 ) 2 /(1 a 2 ) , Cov( X t , X t + )

a
2

2 = a x2 . , t

1 a
, .

, | a | < 1 ,
.

2.3
. p ( AR(p))

X t = a1 X t 1 + a 2 X t 2 + K + a p X t p + t , a p 0 ,

(1)

t ,
2 .
,
Cov( X t s , t ) = 0 s > 0 .

(2)

, t ()
, t
t . , t

t ,
, , , t,
X t .

L (lag operator),

LX t = X t 1 .
(3)

(backshift operator).
k , Lk ,

Lk X t = X t k .
23

(4)

 , (1):
a1 X t 1 + a 2 X t 2 + K + a p X t p = (a1L + a 2 L2 + K + a p Lp ) X t .
, - ,
a(L ) X t = t , a(L ) = 1 (a1L + a 2 L2 + K + a p Lp ) .

(5)

, a(L) X t .
, ,

a( z ) = 0

(6)

( ) | z | 1 , ..
.
, AR(1)
a( z ) = 1 az = 0 ,
z = 1/a , | z | > 1
| a | < 1 .
a 1 (L) , a(L)
(5):
X t = a 1 (L) t

(6)

:
a

(L ) =

bi t j ,

| b j | < .

j =0

j =0

(7)

(7) , ,

E ( X j ) = E bi t j = bi E t j = 0 .

j =0

j =0

AR(p) > 1 ,
( ) a(z) = 0.
k (k )
(k ) A k , = 1 / z min ,
z min a(z) = 0,
, A | k |
. || > 0 , a1 , a 2 , K a p .

24

 (1) X k (k > 0)

Cov(k ) = a1 Cov(k 1) + a 2 Cov(k 2) + K + a p Cov(k p) , k > 0 .

Cov(0) , -
(k ) = a1 (k 1) + a 2 (k 2) + K + a p (k p ) , k > 0 .

(8)

, , a j
,
.
.

AR(2)
X t = 0,25 X t 1 0,1245 X t 2 + t

(9)

(6) a(z) = 0
1 0,25 z + 0,125 z 2 = 0
z1,2 = 1 i 7 . ,
.
- . = 2,

(k ) = 0,25 (k 1) 0,125 (k 2), k > 0

,
(0) = 1
R(1)
(1) = 0,25 (0) 0,125 (1) = 0,25 (0) 0,125 (1) = 0, 222
:
(2) = 0,25 (1) 0,125 (0) = 0,069
(3) = 0,25 (2) 0,125 (1) = 0,045
(4) = 0,25 (3) 0,125 (2) = 0,003
(5) = 0,25 (4) 0,125 (3) = 0,005 ..
, ,

.
. 2.2

25

. 2.2

2.4. q
. q ( MA(q))

X t = t + b1 t 1 + +b2 t 2 + K + bq t q , bq 0 ,

(1)

t ,
2 .
(1)
(1) .1.1.2.
q (q) (
moving average).
q = 0 . q = 1,
X t = t + b t 1 ,
.

(2)

Var( X t ) = (1 + b 2 ) 2 ,
E[X t X t 1 ] = b 2 ,

(3)

E[X t X t k ] = 0 , k > 0,

X t .

(1 + b 2 ) 2 , k = 0,
k = 0,
1,
2

2
Cov(k ) = b ,
k = 1, , (k ) = b /(1 + b ), k = 1,
(4)

0,
k >1
k >1
0,

.. .
. ,
26

b > 0, b < 0. , (1) b > 0 ,

, , (1) b < 0 ,
, . , (1)
| (1) | < 0,5 ,
.. ,
AR(1) .
(q)
X t = b(L) t , b(L) = 1 + b1L + b2 L2 + K + bq Lq

(5)

qk
2
b b
, 0k q
,
Cov(k ) = E[X t X t k ] = j j + k
j =0

k>q
0

(6)
q k
qk

b b
b2 , 0 k q
(k ) = j j + k j
j =0
j = 0
0
k>q

MA(q)

x2 = (1 + b12 + b22 + K + bq2 ) 2 .

(7)

q
(.. q).
,
,
, ,
.
,
b j = a j , 0 < a < 1 , , t
, MA( ) :

Xt =

j =0

t j = b j t j ,
j =0

| b j | < .

j =0

(8)

,
AR(1), .. MA( )
AR(1). , AR(p)
MA( ) .
.
X t = t 0,75 t 1 + 0,125 t 2 .
:
27

 (1) = (b0b1 + b1b2 ) /(b02 + b12 + b22 ) = 0.535 ,

(2) = 0.079
2.5 -
. X t
X t = a1 X t 1 + a 2 X t 2 + K + a p X t p + b1 t 1 + +b2 t 2 + K + +bq t q + t ,
a p 0 , bq 0 ,

(1)

t ,
2 , , q AR
, -
ARMA(p, q) (autoregressive moving average, mixed
autoregressive moving average).
(1) :
Xt =

j =1

j =0

a j X t j + b j t j , a p 0 , bq 0 , b0 = 1 .

(2)

a(L ) X t = b(L) t

(3)

a(L) b(L) , AR(p) (q).

ARMA(p, q):
, a( z ) = 0
| z | 1.
1. , MA( )
Xt =

c jt j

j =0

X t = c(L ) t , c0 = 1,

b( z )

| c j | < , c( z ) = a ( z ) .

j =0

2. b( z ) = 0 | z | 1 ( ), X t
AR ( )
a( z)
d (L ) X t = t , d ( z ) =
.
b( z )
, ARMA(p, q)
,

.
ARMA(p, q) ,
AR(p) (q). , k > q
28

 a(L ) X t = b(L) t ,
a(L ) X t = t .
, ARMA(1, 1) (k ) = a1 (k 1)
X t = a1 X t 1 + t . , , (1) a1 .

k = 2, 3, ...,

ARMA .
ARMA( p1 , q1 ) X t ARMA( p2 , q 2 ) Yt
, Z t = X t + Yt , , Z t ARMA(p, q)
,
p = p1 + q1 ;
q = p1 + q 2 , p1 + q 2 > p 2 + q1 ;
q = p 2 + q1 , p1 + q 2 < p 2 + q1 ;
, q .
, a X (z ) aY (z ) ,
X t Yt , .
, AR(1), ,
ARMA(2, 1).
.
, AR,
ARMA . ,
AR, .
,
.
, , AR() ,
,
(.. (0)). ARMA(p, p).
.
, ARMA(p, q) X t
, AR ( ) . ,
, AR(), ,
.
,
ARMA, AR . , ,
, , (
) .
ARMA .

2.6 ARMA

ARMA, .. q.
,
29

 .
a1 , a2 , K, a p ,
b1 , b2 , K, bq .

.
, ,
X t ,

.

(misspecification tests).
, ,
, , .. ,
.
, ,
,
.
2.6.1 ACF PACF
ARMA
(ACF) (PACF)
(ACF autocorrelation function, PACF partial autocorrelation function) ,
ARMA.
ARMA
.
( ) .

(PACF) X t . part (k ) k
X t X t + k ,
.
, part (k ) X t
X t 1 , K , X t k ,
X t . , , part (k )
k -
( s ) = a1 ( s 1) + a 2 (s 2) + K + a k ( s k ) , s = 1, 2, K, k ,

( s 1)a1 + ( s 2)a2 + K + (s k )a k = ( s ) , s = 1, 2, K, k ,
, a1 , a 2 , K, a k , a ( s 1), K , ( s k )
.
k k , ,
PACF
30

 part (0) = 1 ,
part (1) = (1) ,
K
1
(1)
(2)
K (1)
(1)
1
(1)
K (2)
(2)
(1)
1
K (3)
M
M
M
O
M
(k 1) (k 2) (k 2) K (k )
,
part (k ) =
1
(1)
(2)
K (k 1)
(1)
1
(1)
K (k 2)
(2)
(1)
1
K (k 3)
M
M
M
O
M
(k 1) (k 2) (k 2) K
1
, X t AR(p),
part ( p) 0 ,
part ( p) = 0 k > p.
PACF
ARMA(p, q) q > 0.
, ACF q (q).
, PACF AR(p).
ACF PACF .
,
(k ) part (k )
ACF,

r (k ) =

1 T k
xt xt + k
T k t =1
1 T 2
xt
T t =1

PACF, r part (k ) .
, part (k )
(s ) r (s ) . , , part (k )
X t k
X t 1 , K , X t k , X t . ,

X t = a1 X t 1 + a 2 X t 2 + K + a p X t p + ut .

(k )
a k part
31

 X t ARMA(p, q) E ( X t4 ) < ,
Cov(k) , r(k) r part (k ) , (k )
part (k ) , . r(k) r part (k ) (k )
part (k ) , .
,
.
, ACF PACF -
.
ACF PACF
ARMA.
ACF PACF
.

,
(0)
AR(1)
a1 > 0

ACF

PACF

(k ) = 0 k 0

part (k ) = 0 k 0

part (1) = a1

(k ) = a

part (k ) = 0, k 2
part (1) = a1

AR(1)
a1 < 0

AR(p)
(1)
b1 > 0

k = 1;
(k ) = 0 k > 1

;
part (1) > 0

(1)
b1 < 0

k = 1;
(k ) = 0 k > 1

;
part (k ) < 0, k 1

(q)
ARMA(1, 1)
a1 > 0

(k ) = 0 k p

1; (1)
(a1 + b1 )
1;
(1)
(a1 + b1 )

ARM(1, 1)
a1 < 0
ARMA(p, q)

(k ) = a

part (k ) = 0, k 2

, q

part (k ) = 0, k p

1;
part (1) = (1)

1; part (1) = (1) ; part (k )
(1), k > 1

, p

2.6.2
ARMA(p, q) r(k)
r part (k ) ,
(k ) part (k ) r(k) r(k).
32

 , ,
(.., t ).
1. X t (q),

1
Var[r (k )] 1 + 2 2 ( j ) k > q.

T
j =1

, k > q r(k)
. ,
H 0 : X t (q) ,
,
q

r (k ) >

2
T

1+

r 2 ( j)

k > q.

j =1

0.05.
, q = 0, X t , H 0 : X t

r (k ) >

2
T

k > 0.

2. X t AR(p), k > p r part (k )

c
, 1/. , H 0 : X t AR(p)

r (k ) >

k > ,
T
, 0.05.
,
ACF PACF,
2 / T . , 0.95,
r(k), X t , r part (k ) , X t
AR(p). . ,
, 0.05,
H 0 k.
ACF PACF
Q-,
, .
Q-.
-(Ljung, Box), EViews:
M

r 2 (k )
,
T

k
k =1

Q = T (T + 2)

33

 T 2 ( M ) . EViews
Q- - p, 2 ( M ) .
,
ARMA
.
, .
,
.
2.6.3
AR , .. ,
X t AR(k) k, k
(Akaike).
, k ,

2
AIC (k ) = ln k2 + k ,
T
, k2 et AR k-
.
,
() k . ,
.

(Schwarz) SIC,
ln T
SIC (k ) = ln k2 + k
.
T
- (Hannan, Quinn)
2 ln ln T
HQ (k ) = ln k2 + k
.
T
k T .
.
2.7 .
ARMA, ..
, q ARMA(p, q),
, .
,
.
(, AR(1)), ,
() ,
.
,
. ,
34

 (k ) r(k)
(k )
. , AR(p),
a1 , a 2 , K, a k
(k 1)a1 + (k 2)a 2 + K + (k p )a p = (k ) , k = 1, 2, K , p ,

(1)

(1), (2), K, ( p )
( ) r(1), r(2), ..., r()
.
(q) (q > 0)
, . 2.5.
,
,
.

, .. ,
( )
.
,
H 0 , ,
, t
. , t ,
t .
.
Q- -:
T k

t t + k
r2
t
Q LB = T (T + 2)
, r (k ) = =1
,
T k

2
k =1T k
t
M

(1)

t =1

2 (M p q ) .
eViews .

.
- (Jarque, Bera).
, ,
, ARMA(p, q) ,
.

35

III.
3.1
, :

TS

DS

:
Dependent Variable: TS
Method: Least Squares
Sample: 1 100
Included observations: 100
Variable
T
C

Coefficient

Std. Error

t-Statistic

Prob.

0.138506
0.553869

0.001029
0.059839

134.6370
9.255949

0.0000
0.0000

Dependent Variable: DS
Method: Least Squares
Sample: 1 100
Included observations: 100
Variable

Coefficient

Std. Error

t-Statistic

Prob.

T
C

0.125959
-0.887868

0.003040
0.176856

41.42808
-5.020299

0.0000
0.0000

.
.
.

36

 TS

AR(1):

DS

AR(1)- :
Dependent Variable: DS_DETR
Method: Least Squares
Sample(adjusted): 2 100
Included observations: 99 after adjusting endpoints
Convergence achieved after 3 iterations
Variable
C
AR(1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots

Coefficient

Std. Error

t-Statistic

Prob.

0.049498
0.946796

0.555765
0.034113

0.089063
27.75496

0.9292
0.0000

0.888164
0.887011
0.293463
8.353698
-18.09035
1.794677

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

-0.008941
0.873041
0.405866
0.458292
770.3378
0.000000

.95

:
37

 AR(1)- DS: X t = 0.024 t 1.615 + 0.948 X t 1

, X t 1
. , AR(1)
X t = a1 X t 1 + t ,
(1)
| a1 |< 1 .
95%- a1 : 0,880 < a1 < 1,014 . ,
DS.

X t = t + + a1 X t 1 + ut , :
Dependent Variable: DS
Method: Least Squares
Sample(adjusted): 2 100
Included observations: 99 after adjusting endpoints
Convergence achieved after 4 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

T
C
AR(1)

0.150047
-2.503194
0.947823

0.025530
2.021545
0.034037

5.877205
-1.238258
27.84658

0.0000
0.2186
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots

0.993989
0.993864
0.292725
8.226066
-17.32822
1.824326

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

5.527117
3.737006
0.410671
0.489311
7937.880
0.000000

.95

, , 0.95
X t 1
(..
AR(1) ),
,
.
X t = X t 1 + t .
n = 1000. , a1 = 1
38

 , ( a1 = 0 ), ,
.

, ,
t = 1 ( x1 = 0),
x1 ( x1) ,
( ),
.
,
, ,
. ,
AR(1) a1 = 1 : .
. ,
X t = X t 1 + t ,

(2)

( random
walk). ,
X t = + X t 1 + t , = const ,

(3)

( ).
(3) .
.

3.2 TS- DS-

,
(, ARMA) ,
, .. .
(, (1974)) ARIMA
39


()
. , ,
,
.
. X t Tt , X t Tt . X t
, ,
, ,
TS (TS time stationary).
, TS- ,
, .
,
X t = + X t 1 + t

(1)

, (
).
(1). (1) X t 1 :
X t X t 1 = X t = + t

X t = + t .

(2)

(2) .
, .
. X t k (k = 1, 2, ),
X t , .. TS ;

k X t , k- X t ,
;

k 1 X t , (k 1)- , X t ,
TS .

d I(d). { X t } ~ I (0)
.
, :
TS
;
DS DS ;
TS TS ;
TS ARMA,
TS MA-,
;
40

k- { X t } ~ I (k ) ;

I(k) ARIMA,
k- MA
.

. , DS (DS difference stationary)

k = 1, 2,
X t k. k- . ARMA(p, q), ,
X t ARIMA(p, k, q), k
ARMA(p, q) (ARIMA autoregressive integrated moving average). p = 0
q = 0, :
ARIMA(p, k, 0) = ARI (p, k), ARIMA(0, k, q) = IMA( k, q),
ARIMA(0, k, 0) = ARI (0, k) = IMA(k, 0).
, TS-
, DS-
.
3.3

3.3.1 - (Dickey-Fuller)

-. :
X t = X t 1 + t , X t = X t X t 1 .
(1)
:
H0: = 0 ( );
1 : < 0 ( ).
:
1.
,
AR(l) .
H0: X t = t ,
1 : X t = X t 1 + t , < 0 .
2.
,
AR(1) .
H0: X t = t ,
1 : X t = X t 1 + + t , < 0 .
41

3.
,
AR(l) :
H0: X t = t ,
1 : X t = X t 1 + + t + t , < 0 .
-:

DF =
s.e.( )
t- , ..
. ,
,
( = 0.05) :
H 0 : X t = t
H 1 : X t = X t 1 + t ,

H1 : X t = X t 1 + + t + t

H1 : X t = X t 1 + + t

25
50
100
250
500

3.00
2.92
2.89
2.88
2.87
2.86

3.60
3.50
3.45
3.43
3.42
3.41

,
(.. ).
H 0 , ,
. H 0 ,
H 0 : { X t } ~ I (2) H 1 : { X t } ~ I (1) .
H 0 , ,
X t . H 0
( ), , X t
.
, .
, - ,
t .
3.3.2 - (Phillips-Perron)
X t DS
H 0 : X t = t (.. = 0 ) H1 : X t = X t 1 + + t + t , < 0 .

42

, -, .
, -, t
(
), () ( , E | t | C
> 2 ). , -,
. -
Z- H 0 .
- L Newey-West ( L
window size). , ..
( ). ,

. , -
.
( , , [Phillips,
L , , EViews.
L = [4 (n / 100) 2 / 9 ] .
3.4 ARIMA-
http://www.duke.edu/~rnau/411home.htm
Robert F. Nau rnau@mail.duke.edu
3.4.1 .
-
, , .
, , ,
, ACF ,
. ,
ACF ( 10
), , , .
ARIMA-:
1:
, k, , -,
k .
:
, ( )
. .
ACF k ( ACF
0.5 !), , . .
:
: ---
!
43

 2:
, k-1, ,
k.
0.5, , -, .

. :
3: ,
.
-
. ,
AR-,
-. ,
: , 0 1
AR-, -.

, :
.
4: ,
. ,
( ).
, (
).

, , , .
, ,
.
, ,
, .
. ,
:
5: , ,
.
, , .
,
.

. 1() , ( )
. ,
. 1() , .

44

ACF

280
1.0

260

.8

240

.6

.4
220

.2
200

0.0
180
1

17
9

33
25

49
41

65
57

81
73

97
89

113
105

129
121

145

-.2
1

137

()

10

11

12

13

14

15

16

()
. 1. M () ACF ().

, .
.2.
6

M
,4

-2

-,1

1
-4

3
2

25
17

41
33

57
49

73
65

89
81

105
97

121
113

5
4

7
6

9
8

11
10

13
12

15
14

16

137
129

145

: (1)

()

()
. 2. () ACF ()

, :
,
, , - . ACF . 2()
, , , , .
,
21.48 1.44.

M
N
150

198,60

263,30

229,9780
.
21,4797
DIFF(M,1)
N
149

-2,70

4,80

,4201
.
1,4440
N N
149

45

 DIFF(SALES,1) ,
, .
, , :
4

M
,5

0,0
-2

Confidence Limits

ACF

-4

-6
9

25
17

41
33

57
49

73
65

89
81

105
97

121
113

129

Coefficient

-,5
1

137

3
2

145

5
4

7
6

9
8

11
10

13
12

15
14

16

: :
, ACF
, -0.5, , 1. ,
1.444 1.698:

DIFF(M,2)

.
N

.
N

150
198,60
263,30
229,9780
21,4797
148
-4,70
3,40
7,432E-03
1,6977
148

, , . ,
: , AR- -
. ,

( ). ,

.
3.4.2 AR- MA-
, , ,
. ,
, .
, , , . ACF
PACF AR- / -.
46

 , , , (ACF)
, , .. , . ,
(PACF)
, , .. .
. ACF PACF :
M

1,0

1,0

,5

,5

0,0

-,5
1

3
2

5
4

7
6

9
8

11
10

13
12

15
14

0,0

-,5
1

16

3
2

5
4

7
6

9
8

11
10

13
12

15
14

16

(a)
(b)
. , ,
, 2, -
1? PACF(b),
, PACF 1. ,
, ,
1.
,
. ,
k k- AR(k)
k . : Y
L( X ) , L2 ( X ) , , Lk ( X ) ,
Lj ( X ) , j . ,
AR, PACF :
PACF k, ,
k.
: PACF 1
. , ,
AR(1). ,
, AR(1) (
PACF 1) 1. ,
AR(1) :
X t = + a1 X t 1
a1 AR(1) 1, ,
() , .. , ,
:
X t X t 1 = .
PACF SALES , ,
AR(1),
47

. , SALES
.
AR MA. PACF , ACF (..
), ,
AR-, ,
AR-,
MA-. , AR-
1, ..
. , AR- ,
. , AR(1)- ,
1, ,
0 1. , , ..
,

, AR- AR-.
, :
6: PACF k
/ k1 , ..
,
. k, PACF ,
.
,
; PACF
. ,
: -. -
, AR- PACF: ACF ,
- . ACF k (
), , -, k -.
, -, ,
-, AR.
-, , 1.
, .
, -
. , , ARIMA(0,1,1)
. :
X t = X t 1 b1 t 1 ,
(1)- b1 1 .
(1)- 1,
= 1 , ,
. , (1)- 1,
, ,
.
, (1)- 0,
, .. . , (1) 0, ,
. , ..

, -. (
48

 !) ,
:
7: ACF /
ACF k-1 , .. ,
-. k, ACF
, - .
ARIMA(2,1,0)
, ( ) .
ACF PACF :
DIFF(M,1)

DIFF(M,1)

,5

,5

0,0

0,0

-,5
1

3
2

5
4

7
6

9
8

11
10

13
12

15
14

-,5
1

16

3
2

5
4

7
6

9
8

11
10

13
12

15
14

16

, () 1 ; ()
PACF , ACF. , PACF ,
ACF . , 7, AR(2). ACF
PACF ARIMA(2,1,0):
:

49

305

285

265

245

225

M
Fit

205
95% LCL
95% UCL

185
1

19
10

37
28

55
46

73
64

91
82

109
100

127

118

145

136

163

154

172

- , ()
, ,
, AR-. ,
:
X t = + X t 1 + 1 ( X t 1 X t 2 ) + 2 ( X t 2 X t 3 ) .

ARIMA(0,2,1)
, ,
.
,
, .
ACF PACF :
M

M
,5

0,0

0,0

Partial ACF

,5

ACF

Confidence Limits

Coefficient

-,5
1

3
2

5
4

7
6

9
8

11
10

13
12

15
14

Confidence Limits

Coefficient

-,5
1

16

3
2

Transforms: difference (2)

5
4

7
6

Transforms: difference (2)

50

9
8

11
10

13
12

15
14

16

 ACF 1, ,
8, (1)-. ,
, (1)-,
ARIMA(0,2,1). 5
. ARIMA(0,2,1)
:
:
X t = 2 xt 1 X t 2 + 1 t 1 ,
1 (1)-. !
? 1 2(1-),
. 1 = 0.75,
0.63
. , 0.61, 0.63.
,
ARIMA(2,1,0) .
, - . ,
, , ARIMA(0,2,1) (,
, )
ARIMA(2,1,0).

ARIMA(0,2,1)
320

300

280

260

240
M
220

Fit

200

95% LCL

180

95% UCL
1

19
10

37
28

55
46

73
64

91
82

109
100

127

118

145

136

163

154

172

, , ,
.
.
, ,
,
.
51

 ?
, .
, ,
.
. , ,
, .
,
. , , ,
. ,
,
.
3.4.3
,
. , ,
, AR- MA-,
AR- MA- . ,
, ,
t- . , ,
ARIMA(0,1,1), ARIMA(1,1,2).
, .
(,
10) . ,
8: , AR- - .
, , ,
1 AR-, , 1 -.
,
; 10 .
ARIMA .
, AR- -,
, .
,
ACF PACF.
3.4.4
, - ,
AR- MA- .
(1)- , (1)- 1.
(1)- ,
AR- . (
, ARIMA(1,0,0) sales.)
AR- , AR 1. AR-
1 1 .
, , , .
9: AR- , .. AR 1, AR-
.
52

, , (1)- , (1) 1. (1)-

; , - 1 1
. -
, - 1.
10: - , .. 1, 1 - 1
.
, , (..
ARIMA(0,2,2)), ,
(.. ARIMA(0,1,1)), -,
1. - 1
, .
-
, ,
, .
.
, ,
,
.
11:
,
.
,
.
AR- -.
ACF PACF.
3.4.5
ARIMA , :
AR- / -, ( )
.
, s , s
.
ARIMA : ARIMA(p,d,q)(P,D,Q), P
()-, D , Q
-.
,
? () ?
, ?
ACF PACF
. :
1; ,
2.
(,
), , -,
, , ,
. ,
. , :
53

 12:
, .
, 1; ,
.
AR- - .
, ACF PACF s.
, SMA(1) ACF s, 2s, 3s .., PACF
s.
SAR(1) , , PACF s, 2s, 3s ..,
s ACF.
SAR , , s, 2s, 3s ..
, SMA . ,
13: ,
SAR-. ,
SMA-. SAR- SMA- ,
.
, , SAR(1), SMA(1). SAR(2)
SMA(2) , ,
. , ,
45 . , ,
ARIMA ; ,
ARIMA ARIMA(0,1,1)(0,1,1), .. AR(1)SMA(1)
.
?
Error for M from ARIMA(2,1,0)

Error for M from ARIMA(2,1,0)

,5

1,0

,5

0,0

0,0

-,5
1

3
2

5
4

7
6

9
8

11
10

13
12

15
14

-,5

-1,0
1

16

3
2

5
4

7
6

9
8

11
10

13
12

15
14

16

1 2 , .
: "" ,

54

Error for M from ARIMA(2,1,0)

-2

-4

-6
1

17
9

33
25

49
41

65
57

81
73

97
89

113
105

129
121

145
137

, , ARIMA, , , ,
. AR- .
, AR- (.248 +
.199=.447) 1. , !

55


1. .. . .
www.iet.ru
2. .., .. .
. --, 2001 http://rseu.narod.ru/stat_meth_forecas_02.pdf
3. .., .. .
: , 1998. 1022.

56