文件名称:arima
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arima
- (平稳性检验)根据时间序列的散点图、自相关系数和偏自相关系数、单位根检验(ADF),来判断数据的平稳性;
- (平稳化处理)对非平稳的时间序列数据进行差分处理,得到差分阶数d;
- (白噪声检测)为了验证序列中有用的信息是否已被提取完毕,如果为白噪声序列,(arima
arima
-(Stableness test) According to the time series of scatter plots, autocorrelation coefficients and partial autocorrelation coefficients, unit root test (ADF), to determine the stability of the data;
-(Model identification and ordering) Establish a corresponding time series model based on the identified features. After the smoothing process, if the partial autocorrelation function is censored, and the autocorrelation function is tailed, an AR model is established; if the partial autocorrelation function is tailed, and the autocorrelation function is truncated, it is established MA model; if both the partial autocorrelation function and the autocorrelation function are trailing, the sequence is suitable for the ARIMA model. You can use the BIC criterion to order the model and)
- (平稳性检验)根据时间序列的散点图、自相关系数和偏自相关系数、单位根检验(ADF),来判断数据的平稳性;
- (平稳化处理)对非平稳的时间序列数据进行差分处理,得到差分阶数d;
- (白噪声检测)为了验证序列中有用的信息是否已被提取完毕,如果为白噪声序列,(arima
arima
-(Stableness test) According to the time series of scatter plots, autocorrelation coefficients and partial autocorrelation coefficients, unit root test (ADF), to determine the stability of the data;
-(Model identification and ordering) Establish a corresponding time series model based on the identified features. After the smoothing process, if the partial autocorrelation function is censored, and the autocorrelation function is tailed, an AR model is established; if the partial autocorrelation function is tailed, and the autocorrelation function is truncated, it is established MA model; if both the partial autocorrelation function and the autocorrelation function are trailing, the sequence is suitable for the ARIMA model. You can use the BIC criterion to order the model and)
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下载文件列表
文件名 | 大小 | 更新时间 |
---|---|---|
R_ARIMA_Forecast.nb.html .pdf | 617037 | 2020-04-30 |
R_ARIMA_Identify.nb.html .pdf | 2843847 | 2020-04-30 |
R_VAR.nb.html .pdf | 380352 | 2020-04-30 |
R_ARIMA.nb.html .pdf | 826034 | 2020-04-30 |