市場預測需求分析(編輯修改稿)
2025-02-05 19:20 本頁面
【文章內容簡介】 ctor ))(1( 111 ??? ???? ttttt ryxz ??? ?Trend factor 11)1()( ?? ???? tttt yy ???? ?Seasonal factor 1)1( ??? ??? tLtttL zx ???? ?預測方法 TtttTtTzy ?? ???? ?? )( Basic value Seasonal factor trend factor ARIMA模型 ?自回歸模型 (AR:auto regression) ? AR(1) ? AR(2) ttt azz ?? ? 11?tttt azzz ??? ?? 2211 ?? 自回歸演算 Z(t1) a(t) Z(t) ?AR的性質 ?協(xié)方差與相關系數(shù) ?λ(p)= Cov (z(t),z(tp))=E(z(t)z(tp) ?λ(1)= E((Φ(1)z(t1)+a(t))z(t1)） =Φ(1)λ(0)+E(z(t1))E(a(t)) = Φ(1)λ(0) ?λ(p)=Φ(1) λ(0) ?ρ(p)=λ(p)/λ(0)= Φ(1) p p ?記憶函數(shù) ? z(t)=Φ(1) z(t1)+a(t) ?z(t)=a(t)+Φ(1) a(t1)+ Φ(1) a(t1)+… ? Stationary condition (定常性條件 ) ? Var(z(t))= Var(z(t1)) ? E(z(t)z(t))=ΦΦVar(z(t1))+0+σσ ?｜ Φ｜＜１ 2 ?移動平均模型 (MA) ? MA(1) 11111110??????????tttttttttaazaaaazz???? 移動平均演算子 a(t1),a(t) Z(t) 自回歸移動平均模型 ?ARMA(1， 1) ? ARMA(p,q) qtqtttptpttt aaaazzzz ???????????? ????????? ?????? 221122111111111111??????????????tttttttttttttaazzaaaazzazz????? Nonstationary model ?Random walking ? z(t)=z(t1)+a(t) ?股
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