时间序列期末作业马贵贵

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1、时间序列期末作业姓名：马贵贵用白糖供给进行建模并预测对供给进行一步预测1：对数据建立ARMA模型，需先把数据处理成平稳的。（1）用05年10月一12年6月的数据建模，得到源数据的口相关函数与偏自相关函数图与折线图Date:11/29/12Time:19:13Sample:2005M102012M09Includedobservations:81AutocorrelationPartialCorrelationACPACQ-StatProb0.8880.88866.2450.000iii-1120.634-0.730100.430.000i厂1

2、i=1

3、匚30.309-0.170108.650.000i1i4-0.0120.001108.660.000匚1i5-0.2470.231114.070.000匚1i6•0.3460.196124.820.000匚1i7-0.2980.154132.920.000

4、匚1i8-0.1240.161134.330.0001J'i90.1220.087135.720.0001二i100.3710.068148.750.00011«[1110.550-0.063177.850.000I~n匚1120.599-0.214212.810.00011匚11

5、30.493-0.237236.870.0001Oi

6、1140.266-0.047243.960.00011i]115-0.0150.098243.980.000匚1C116-0.291-0.157252.750.0001i1117-0.494-0.082278.390.00011iI118•0.577-0.051313.930.0001i[119-0.533•0.072344.770.000匸1i120-0.380-0.017360.690.000

7、匚11c121-0.167-0.094363.820.0001

8、111220.045-0.0

9、38364.050.00011】1230.2030.055368.840.0001□111240.257-0.030376.650.0001»□1250.186-0.142380.790.0001111260.017-0.014380.820.000C11127-0.1990.005385.760.0001=11128-0.4070.004406.810.000111129-0.552-0.022446.220.000I1130-0.595-0.025492.820.000111131・0.527・0.004530.150.0001=1113

10、2-0.3680.020548.730.000

11、匚111133-0.164-0.071552.480.0001111340.037-0.009552.680.0001□i11350.1890.015557.870.0001丄hi*nxnnina弘77Qnnnn从自相关函数与偏ri相关函数图与折线图粗略看出该数据具有趋势性和季节性,首先去掉趋势性。（2）先取对数，然后进行一节逐期差分，得自相关函数与偏自相关函数图Date:11/29/12Time:19:21Sample:2005M102012M09Ineludedobservations:80

12、AutocorrelationPartialCorrelationACPACQ-StatProb10.6040.60430.2510.000I1I□1120.202-0.25533.6880.000I匚113-0.106-0.17734.6470.000匸114-0.299-0.16042.3740.000r115-0.453-0.27360.2930.000厂11b・U.513-0.23583.6580.0U0[=117-0.438-0.169100.920.000CZ118-0.306-0.236109.480.000IE11匚19-0.

13、107-0.149110.540.000Ii11100.144-0.038112.480.000I~~11Z)110.4570.215132.350.000I"]1ZZ1120.7100.390180.950.000I-1匚1130.500-0.227205.380.000IC1140.139-0.199207.300.000

14、L11JI15-0.0740.123207.860.0001'I116-0.232-0.034213.390.0001■]117-0.3370.057225.220.000111118-0.3870.038241.08

15、0.00011119-0.330-0.013252.760.00011120-0.247-0.045259.420.00011121-0.098-0.011260.