第三章 滑动平均模型与自回归滑动平均模型(时间序列分析-北京大

MA(q)

MA(q)

MA(q) MA(q)

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

2005

MA(q)

MA(q)

MA(q) MA(q)

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

MA(q) MA(q) MA(q)

MA(q)MA(q) MA(q)

MA(q) MA(q)

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

q

MA(q)

MA(q)

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MA(q) MA(q)

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

q

MA(q)

MA(q)

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MA(q) MA(q)

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

2{xt, t= 1, . . ., 197}MA(q) MA(q) MA(q) MA(q)

yt= xt xt 1, t= 2, . . ., 197{yt}

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

Yt=εt+ bεt 1, t∈ Z{γk} 1

(1.1)

2{xt, t= 1, . . ., 197}MA(q) MA(q) MA(q) MA(q)

yt= xt xt 1, t= 2, . . ., 197{yt}

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

Yt=εt+ bεt 1, t∈ Z{γk} 1

(1.1)

2{xt, t= 1, . . ., 197}MA(q) MA(q) MA(q) MA(q)

yt= xt xt 1, t= 2, . . ., 197{yt}

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

Yt=εt+ bεt 1, t∈ Z{γk} 1

(1.1)

2{xt, t= 1, . . ., 197}MA(q) MA(q) MA(q) MA(q)

yt= xt xt 1, t= 2, . . ., 197{yt}

ARMA(p, q) ARMA(p, q) ARMA(p, q) ARMA

Yt=εt+ bεt 1, t∈ Z{γk} 1

(1.1)

MA(q)1.1 (bq= 0)

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∞

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1

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(

)

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t∈Z

(1.3)

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∞

ARMA(p, q)

B 1 (z)=j=0

φj z j,

|z|≤ 1+δ (δ> 0)

ARMA(p, q) ARMA

∞

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1

(B)Xt=j=0

φj Xt j

(1.4)

MAMA AR MA ARMA(q) MA(q)

(

)

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t∈Z

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z j,

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1

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