【精品】时间序列分析作业

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1、1、某股票连续若十天的收盘价如下表:3043033072992962933012933012952842862862872842822782812782772792782702682722732792792802752712772782792832842822832792802802792782832782702752732732722752732732722732722732712722712732772742742722802822922952952942902912882882902932882892912932932902882872892

2、92288288285282286286287284283286282287286287292292294291288289选择适当模型拟合该序列的发展，并估计下一天的收盘价。解：根据上面的图和SAS软件编辑程序得到时序图，程序如下:datashiyan7_l;inputx@0;time=_n_;cards;30430330729929629330129330129528428628628728428227828127827727927827026827227327927928027527127727827928328428228327928028

3、0279278283278270275273273272275273273272273272273271272271273277274274272280282292295295294290291288288290293288289291293293290288287289292288288285282286286287284283286282287286287292292294291288289procprintdata=shiyan7_l;procgplotdata=shiyan7_l;plotx*time=l;symbollc=redv=sta

4、ri=spline;run;通过SAS运行上述程序可得到如卜•结果:可以看出序列含有长期趋势乂含有一定的周期性，故进行差分平稳，乂从上述时序图呈现Illi线形式，故对原序列作二阶差分，差分程序及时序图如下：datashiyan7_l;inputx@@;difx=dif(dif(x));time=_n_;cards;30430330729929629330129330129528428628628728428227828127827727927827026827227327927928027527127727827928328428228327928

5、0280279278283278270275273273272275273273272273272273271272271273277274274272280282292295295294290291288288290293288289291293293290288287289292288288285282286286287284283286282287286287292292294291288289procprintdata=shiyan7_l;procgplotdata=shiyan7_l;plotx*timedifx*time;symbol1

6、c=redv=stari=join;procarima;identifyvar=x(1,1);estimateq=l;forecastlead=5id=time;run;SAS软件运行后可得到差分后的序列时序图，其图形如下:030405060708090100时序图显示差分后序列已无显著趋势或周期，随机波动比较平稳。从上述程序的运行结果可以得到差分后序列的白相关图和偏臼相关图，其图形如下：LagCovarianceCorreIation030.4377321-17.43682923.3609913-0.9152034-1.0100825-0.989

7、94960.59834774.4777998-4.76392893.779651-4.8954543.285858-1.0659832.713515-6.2385067.712783-5.113253-0.1048211.761661-0.3989773.180158-5.7637913.171171-0.637086-0.1326910123456789012341111111111222221.00000-.572870.11042-.03007-.03319■•032520.019660.14711-.156510-12418-.160840

8、.10795-.035020.08915-.204960.25340-.16799-.003440.05788-.0131