CURS 5

SERII TEMPORALE STATIONARE

Denitii
Fie A =A
t
, t 7 un proces stocastic cu valori reale. Denim functia
de mediere si functia de autocovarianta prin
j(t) = 1 (A
t
) (< )
(r, :) = co (A
r
, A
s
) (< )
A proces slab stationar (sau "stationar") ==
1
_
A
2
t
_
< , \t 7
j(t) = j, \t 7
(r, :) = (r +t, : +t) , \r, :, t 7
Observatie: Notand
(/, 0) = (/) ,
ultima conditie de mai sus este echivalenta cu faptul ca autocovarianta depinde
doar de decalaj ("lag"),
(t, t +/) = (/) , \t 7
A este o serie de timp Gaussiana == repartitiile nit dimensionale
ale procesului sunt normale.
A este un zgomot alb de medie 0 si dispersie o
2
(\
_
0, o
2
_
) daca
j(t) = 0, \t 7
(/) =
_
o
2
, / = 0
0, / ,= 0
Notam un sir de variabile independente, identic repartizate de
medie 0 si dispersie o
2
cu (111
_
0, o
2
_
). Observam ca un zgomot alb
Gaussian este un sir de variabile independente, identic repartizate
_
0, o
2
_
.
1
Estimarea mediei si a functiei de covarianta pentru un proces
stationar
(structura de corelatie estimata)
Consideram un proces A = A
t
, t (slab) stationar de medie j si functie de
autocovarianta (/) .
Fie (A
1
, ....A
n
) (.) = (r
1
, ..., r
n
) traiectoria observata.
Introducem urmatorii estimatori (metoda momentelor):
j(A
1
, ....A
n
) = A
n
=
1
:
n

t=1
A
t
(/) (A
1
, ....A
n
) =
1
:
nh

t=1
_
A
t
A
n
_ _
A
t+h
A
n
_
, 0 _ / _ : 1
j (/) =
(/)
(0)
Propozitie
a) Estimatorul j este nedeplasat
1
_
A
n
_
= j
si dispersia sa are proprietatea
\ ar
_
A
n
_
= 1
_
A
n
j
_
2
0 daca (:) 0 pentru :
b) Estimatorii (0) , (1) , ..., (: 1) care pot construiti dintr-o traiec-
torie observata (A
1
, ..., A
n
) sunt deplasati, iar matricea

n
=
_
_
_
_
(0) (1) ... (: 1)
(1) (0) ... (: 2)
... ... ... ...
(: 1) (: 2) ... (0)
_
_
_
_
este pozitiv denita.
Desigur, nu pot construiti estimatori pentru (/) cu / _ : dintr-o traiec-
torie observata (A
1
, ..., A
n
).
Se adopta ca estimator al functiei de autocovarianta
(/) =
_

_
1
n
njhj

t=1
_
A
t
A
n
_ _
A
t+h
A
n
_
, [ / [< :
0, [ / [_ :
Bibliograe
BROCKWELL, P., DAVIS, R., A., Time series analysis, Springer - Verlag,
1991.
2
SERII TEMPORALE AUTOREGRESIVE
Exemplu:
Se urmareste nivelul glicemiei la o peroana sanatoasa (fara diabet), de-a
lungul unei zile obisnuite din viata sa. Diferitele evenimente (foamea, alimentele
ingerate, oboseala, stressul etc) inuenteaza nivelul glicemiei, dar procesul de
autoreglare al organismului (prin producerea de insulina) face ca glicemia sa
uctueze in jurul "valorii normale". Inregistrarile se fac din ora in ora. Putem
considera modelul unei serii temporale
A
t
= c +cA
t1
+
t
, t = 1, 2, 3...., c, c 1
unde
t
, t = 1, 2, ... este \
_
0, o
2
_
. Acest zgomot alb se numeste "procesul
inovatiilor" sau "procesul socurilor". Avem deci
1 (
t
) = 0
co (
t
,
u
) =
_
o
2
, t = n
0, t ,= n
Acesta este un proces 1(1) cu medie nenula.
Sa presupunem ca procesul de mai sus este (slab) stationar, de medie j.
Aplicand operatorul de mediere in ecuatia liniara care deneste procesul, avem
1 (A
t
) = c +c1 (A
t1
) +1 (
t
) ,
j = c +c j
j =
c
1 c
jc:trn c ,= 1
Observatie
Daca A =A
t
, t 7 este un proces stationar de medie j si functie de
autocovarianta (/) , atunci

A=A
t
j, t 7 este un proces stationar de
medie 0 si functie de autocovarianta (/) . Este deci sucient sa studiem procese
stationare de medie zero.
PROCESUL 1(1) CAUZAL
Denitie
Procesul A =A
t
, t 7 se numeste serie temporala 1(1) daca este
stationar si satisface urmatoarea ecuatie cu diferente
A
t
c
1
A
t1
=
t
unde =
t
, t 7 este \
_
0, o
2
_
, c
1
1 , c
1
,= 0.
3
Notam operatorul de translatie temporala "backward" cu
1A
t
= A
t1
Atunci ecuatia cu diferente se scrie
(1 c
1
1) A
t
=
t
.
Denitie
O serie temporala 1(1) se numeste proces cauzal de =
t
, t 7 daca
exista un sir de constante c
j
C, , = 0, 1, ...asa incat
1

j=0

c
j

<
A
t
=
1

j=0
c
j

tj
, t 7
Conditia de cauzalitate
Observam ca procesul este cauzal daca exista "operatorul invers" (1 c
1
1)
1
asa incat, din ecuatia cu diferente, sa putem scrie
A
t
= (1 c
1
1)
1

t
Formal, operatorul invers se obtine daca identicam coecientii unei serii de
forma
1
1 c
1
.
=
1

j=0
c
j
.
j
Putem sa scriem
A
t
=
t
+c
1
A
t1
A
t
=
t
+c
1
_

t1
+c
1
A
t2
_
= ......
A
t
=
k

j=0
(c
1
)
j

tj
+ (c
1
)
k+1
A
tk1
Daca [c
1
[ < 1 si A =A
t
, t 7 este stationar, atunci |A
t
|
2
def
= 1
_
A
2
t
_
=
constant si
_
_
_
_
_
_
A
t

k

j=0
(c
1
)
j

tj
_
_
_
_
_
_
2
= (c
1
)
2(k+1)
|A
tk1
|
2
0 pt /
4
Seria
1

j=0
(c
1
)
j

tj
este convergenta in medie patratica, deci ecuatia cu difer-
ente 1(1) are solutia unica
A
t
=
1

j=0
(c
1
)
j

tj
Pentru aceasta solutie avem
1 (A
t
) =
1

j=0
(c
1
)
j
1
_

tj
_
= 0, \t
co (A
t+h
, A
t
) = 1
_
_
_
_
1

j=0
(c
1
)
j

t+hj
_
_
_
_
1

j=0
(c
1
)
j

tj
_
_
_
_
=
= o
2
(c
1
)
jhj
1

j=0
(c
1
)
2j
=
o
2
(c
1
)
jhj
_
1 c
2
1
_ ,
care nu depinde de t. Putem deci scrie
co (A
t+h
, A
t
) = (/) , \t
adica solutia ecuatiei cu diferente este un proces stationar.
Daca [c
1
[ 1, seria
1

j=0
(c
1
)
j

tj
nu este convergenta in medie patratica.
Daca [c
1
[ = 1, ecuatia cu diferente 1(1) nu are solutie stationara.
Concluzie: O serie temporala 1(1) este proces cauzal de =
t
, t 7
daca [c
1
[ < 1.
Structura de corelatie
Fie seria temporala 1(1) data de ecuatia cu diferente
A
t
c
1
A
t1
=
t
, t 7,
cu [c
1
[ < 1 si
t
, t 7 un \
_
0, o
2
_
.
Aplicam operatorul de mediere:
1 (A
t
) c
1
1 (A
t1
) = 1 (
t
)
j c
1
j = 0
j = 0
5
Notam cu (/) functia de autocovarianta.
Inmultind in ecuatia cu diferente cu
t
si mediind obtinem
A
t

t
c
1
A
t1

t
=
2
t
1 (A
t

t
) c
1
0 = o
2
Inmultind in ecuatia cu diferente cu A
t
si mediind obtinem
A
2
t
c
1
A
t1
A
t
=
t
A
t
(0) c
1
(1) = o
2
Inmultind in ecuatia cu diferente cu A
t1
si mediind obtinem
A
t
A
t1
c
1
A
2
t1
=
t
A
t1
(1) c
1
(0) = 0
Rezolvand sistemul
(0) c
1
(1) = o
2
c
1
(0) + (1) = 0
obtinem
(0) =
o
2
1 c
2
1
(1) = c
1
(0)
Inmultind in ecuatia cu diferente cu A
tk
(/ _ 2) si mediind obtinem
(/) = c
k
1
(0)
Observam ca c
1
este egal cu coecientul de autocorelatie la decalaj 1,
c
1
= j (1) =
(1)
(0)
Estimarea parametrului autoregresiv
a) Metoda momentelor
Fie (A
1
, ....A
n
) (.) = (r
1
, ..., r
n
) traiectoria observata. Atunci estimatorul
prin metoda momentelor se obtine prin procedeul plug-in.
Presupunem (0) 0. Atunci

c
1
= j (1) =
(1)
(0)
=
n1

t=1
_
A
t
A
n
_ _
A
t+1
A
n
_
n

t=1
_
A
t
A
n
_
2

o
2
= (0)

c
1
(1)
6
b) Metoda celor mai mici patrate conditionate (Conditional Least
Square Estimator)
Fie (A
1
, ....A
n
) (.) = (r
1
, ..., r
n
) traiectoria observata. Observam ca media
conditionta se poate scrie
1 (A
t
[ A
t1
= r
t1
) = c
1
r
t1
+1 (
t
[ A
t1
= r
t1
)
1 (A
t
[ A
t1
= r
t1
) = c
1
r
t1
Suma abaterilor patratice conditionate este
oo =
n

t=2
(r
t
c
1
r
t1
)
2
Valoarea CLSE este solutia ecuatiei
0oo
0c
1
= 0

c
1
=
n

t=2
r
t1
r
t
n

t=2
r
2
t1
PROCESUL 1(j) CAUZAL
Denitie
Procesul A =A
t
, t 7 se numeste serie temporala 1(j) daca este
stationar si satisface urmatoarea ecuatie cu diferente
A
t
c
1
A
t1
... c
p
A
tp
=
t
unde =
t
, t 7 este \
_
0, o
2
_
, c
i
1 \i, c
p
,= 0.
Folosind notatia
1
j
A
t
= A
tj
, , = 0, 1, 2.....
c(.) = 1 c
1
. ... c
p
.
p
ecuatia cu diferente se scrie
c(1) A
t
=
t
7
Denitie
O serie temporala 1(j) se numeste proces cauzal de =
t
, t 7 daca
exista un sir de constante c
j
C, , = 0, 1, ...asa incat
1

j=0

c
j

<
A
t
=
1

j=0
c
j

tj
, t 7
Conditia de cauzalitate
Fie A =A
t
, t 7 un proces 1(j) . Procesul A este cauzal daca si numai
daca c(.) ,= 0 pentru orice . C cu [.[ _ 1 (adica toate radacinile polinomului
c(.) sunt de modul mai mare decat 1). Coecientii c
j
C, , = 0, 1, ...sunt
determinati de relatia
c (.) =
1

j=0
c
j
.
j
=
1
c(.)
jc:trn [.[ _ 1
Concluzie: O serie temporala 1(j) este proces cauzal de =
t
, t 7
daca toate radacinile polinomului c(.) = 1 c
1
. ... c
p
.
p
sunt de modul
mai mare decat 1.
In literatura se foloseste si varianta urmatoare: O serie temporala 1(j)
este proces cauzal de =
t
, t 7 daca toate radacinile polinomului

c(.) =
.
p
c
1
.
p1
... c
p
sunt de modul mai mic decat 1.
Bibliograe
BROCKWELL, P., DAVIS, R., A., Time series analysis, Springer - Verlag,
1991.
Structura de corelatie
Fie seria temporala 1(j) cauzala, data de ecuatia
A
t
=
p

i=1
c
i
A
ti
+
t
, t 7
unde =
t
, t 7 este \
_
0, o
2
_
.
Vrem sa determinam j si (/) , / = 0, 1, ..., j, ...
1 (A
t
) =
p

i=1
c
i
1 (A
ti
) +1 (
t
)
j = j
p

i=1
c
i
+ 0
8
Dar
_
1
p

i=1
c
i
_
= c(1) ,= 0, deci j = 0.
Inmultim cu A
t
in ecuatia cu diferente si mediem:
A
2
t
=
p

i=1
c
i
A
ti
A
t
+
t
A
t
(0) =
p

i=1
c
i
(i) +1 (
t
A
t
)
Dar daca inmultim cu
t
in ecuatia cu diferente si mediem obtinem

t
A
t
=
p

i=1
c
i
A
ti

t
+
2
t
1 (
t
A
t
) = 1
_

2
t
_
= o
2
(0) =
p

i=1
c
i
(i) +o
2
Inmultim cu A
tk
(/ _ 1) in ecuatia cu diferente si mediem:
A
t
A
tk
=
p

i=1
c
i
A
ti
A
tk
+
t
A
tk
(/) =
p

i=1
c
i
(/ i)
Am obtinut relatiile care dau functia de covarianta (autocovarianta) a
seriei temporale:
(0) =
p

i=1
c
i
(i) +o
2
(/) =
p

i=1
c
i
(/ i) , / = 1, ..., j
Notam functia de autocorelatie
j (/) =
(/)
(0)
, / _ 1
j (0) = 1
Structura de corelatie a seriei temporale 1(j) este descrisa de relatiile
Yule - Walker:
j (/) =
p

i=1
c
i
j (/ i) , / = 1, ..., j
9
Estimarea parametrilor modelului autoregresiv prin Metoda mo-
mentelor
Fie (A
1
, ....A
n
) (.) = (r
1
, ..., r
n
) traiectoria observata. Atunci estimatorul
prin metoda momentelor se obtine rezolvand sistemul liniar Yule - Walker, unde
functia de corelatie este estimata din date prin procedeul plug-in.
Presupunem (0) 0. Atunci
j (/) =
(/)
(0)
, / _ 1
_

_
c
1
+c
2
j (1) +... +c
i
j (i 1) +... +c
p
j (j 1) = j (1)
.......................................
c
1
j (/ 1) +c
2
j (/ 2) +... +c
i
j (/ i) +... +c
p
j (/ j) = j (/)
........................................
c
1
j (j 1) +c
2
j (j 2) +... +c
i
j (j i) +... +c
p
= j (j)
Notam
= (j (1) , ..., j (j))
0

1
n
= |j (/ i)|
k;i = 1;:::;p
=
_
c
1
..., c
p
_
0
Stim ca matricea

n
este nesingulara, rezulta

1
n
nesingulara. Atunci sis-
temul

1
n
=
are solutia unica

=
_

1
n
_
1

Pe de alta parte, o
2
poate estimat din relatia
(0) =
p

i=1

c
i
(i) +o
2
,

o
2
= (0)
p

i=1

c
i
(i)
sau

o
2
= (0)
_
1 ( )
0
_

1
p
_
1

_
Comentariu important
Metoda momentelor si regula plug-un utilizate nu asigura nedeplasarea
estimatorilor.
Pentru detaliarea proprietatilor estimatorilor este necesat sa precizam repar-
titia zgomotului alb care intra in constructia procesului, de exemplu zgomot alb
Gaussian G\
_
0, o
2
_
.
10
LABORATOR 5
INTERPOLARE cu functii spline
Functii in R
1) splinefun {stats} R Documentation
Interpolating Splines
Description: Perform cubic spline interpolation of given data points, return-
ing either a list of points obtained by the interpolation or a function performing
the interpolation.
Usage
spline(x, y = NULL, n = 3*length(x), method = "fmm", xmin = min(x),
xmax = max(x))
Arguments
x,y vectors giving the coordinates of the points to be interpolated. Al-
ternatively a single plotting structure can be specied: see xy.coords.
method species the type of spline to be used. Possible values are
"fmm", "natural" and "periodic".
n interpolation takes place at n equally spaced points spanning the
interval [xmin, xmax].
xmin left-hand endpoint of the interpolation interval.
xmax right-hand endpoint of the interpolation interval.
Details
If method = "fmm", the spline used is that of Forsythe, Malcolm and Moler
(an exact cubic is tted through the four points at each end of the data, and this
is used to determine the end conditions). Natural splines are used when
method = "natural", and periodic splines when method = "periodic".
Value
spline returns a list containing components x and y which give the ordinates
where interpolation took place and the interpolated values.
splinefun returns a function which will perform cubic spline inter-
polation of the given data points.
11
2) interpSpline {splines} R Documentation
Create an Interpolation Spline
Description: Create an interpolation spline, either from x and y vectors, or
from a formula/data.frame combination.
Usage
interpSpline(obj1, obj2, bSpline = FALSE, period = NULL, na.action =
na.fail)
Arguments
obj1 Either a numeric vector of x values or a formula.
obj2 If obj1 is numeric this should be a numeric vector of the same
length. If obj1 is a formula this can be an optional data frame in which to
evaluate the names in the formula.
bSpline If TRUE the b-spline representation is returned, otherwise the
piecewise polynomial representation is returned. Defaults to FALSE.
period An optional positive numeric value giving a period for a periodic
interpolation spline.
na.action a optional function which indicates what should happen when
the data contain NAs. The default action (na.omit) is to omit any incomplete
observations. The alternative action na.fail causes interpSpline to print an error
message and terminate if there are any incomplete observations.
Value
An object that inherits from class spline. The object can be in the B-spline
representation, in which case it will be of class nbSpline for natural B-spline,
or in the piecewise polynomial representation, in which case it will be of class
npolySpline.
12
1) Exemplul "women"
In "women" avem 15 puncte distincte (heigth, weigth)
women {datasets}
Average Heights and Weights for American Women
Description
This data set gives the average heights and weights for American women
aged 3039.
Usage: women
Format: A data frame with 15 observations on 2 variables.
[,1] height numeric Height (in)
[,2] weight numeric Weight (lbs)
library(splines)
women
plot(women)
# ploteaza punctele (height,weight)
(a) CU FUNCTIA splinefun
x<-women[1:15,"weight"]
y<-women[1:15,"height"]
f <- splinefun(x, y)
curve(f(x))
(b) CU FUNCTIA interpSpline
ispl1<- polySpline( interpSpline( weight ~height, women, bSpline = TRUE
) )
print( ispl1)
# print the piecewise polynomial representation
polynomial representation of spline for weight ~height
...........constant .....linear ....... quadratic ..............cubic
58 ........115 .........1.731918 .... 0.000 ...............0.26808191
59 ........117 .........2.536164 ... 0.80424574 .....-0.34040957
60 ........120 .........3.123427 ...-0.21698298 .....0.09355638
61 ........123 .........2.970130 ....0.06368616 .....-0.03381595
62 .......126 ..........2.996054 ...-0.03776168 .....0.04170740
63 ......129 ...........3.045653 ....0.08736054 .....-0.13301367
64 .......132 ..........2.821333 ...-0.31168048 ......0.49034728
65 ......135 ...........3.669014 ....1.15936136 ......-0.82837545
66 ......139 ...........3.502610.... -1.32576498 ......0.82315452
67 .......142 ..........3.320544 .....1.14369857 ......-0.46424262
68 .......146.... ......4.215213 ....-0.24902928 ......0.03381595
13
69 ......150 ...........3.818603 ....-0.14758144 ......0.32897883
70 ......154 ...........4.510376 ....0.83935505 .......-0.34973127
71 ......159 ...........5.139893 ....-0.20983876 .......0.06994625
72 ......164 ...........4.930054 ....0.00000. .............0.0000
plot( ispl1)
# plots over the range of the knots
points( women$height, women$weight )
2) Exemplul "pressure"
In "women" avem 19 puncte distincte (temperature, pressure)
pressure {datasets}
Vapor Pressure of Mercury as a Function of Temperature
Description: Data on the relation between temperature in degrees Celsius
and vapor pressure of mercury in millimeters (of mercury).
Usage: pressure
Format: A data frame with 19 observations on 2 variables.
[, 1] temperature numeric temperature (deg C)
[, 2] pressure numeric pressure (mm)
(a) CU FUNCTIA splinefun
x<-pressure[1:19,"temperature"]
y<-pressure[1:19,"pressure"]
plot(x,y)
f<-splinefun(x,y)
curve(f(x))
(b) CU FUNCTIA interpSpline
ispl2<- polySpline( interpSpline( pressure ~temperature, pressure, bSpline
= TRUE ) )
print( ispl2)
plot( ispl2)
points( pressure$temperature, pressure$pressure )
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3) Exemplul "cars" (exista puncte pt care valorile "speed" se repeta)
cars {datasets}
Speed and Stopping Distances of Cars
Description: The data give the speed of cars and the distances taken to stop.
Note that the data were recorded in the 1920s.
Usage: cars
Format: A data frame with 50 observations on 2 variables.
[,1] speed numeric Speed (mph)
[,2] dist numeric Stopping distance (ft)
x<-cars[1:50,"speed"]
y<-cars[1:50,"dist"]
plot(x,y)
f<-splinefun(x,y)

curve(f(x))
Error in f(x) : NA/NaN/Inf in foreign function call (arg 8)
NODURILE TREBUIE SA FIE DISTINCTE
lines(x,y)
# ploteaza interpolantul liniar ("brocken stick")
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NETEZIRE cu functii spline
Functii in R
smooth.spline............ package:stats............... R Documentation
Fit a Smoothing Spline
Description: Fits a cubic smoothing spline to the supplied data.
Usage:
smooth.spline(x, y = NULL, w = NULL, df, spar = NULL, cv = FALSE,
all.knots = FALSE, nknots = NULL, df.oset = 0, penalty = 1, control.spar =
list())
Arguments:
x: a vector giving the values of the predictor variable, or a list or a two-
column matrix specifying x and y.
y: responses. If y is missing, the responses are assumed to be specied by
x.
w: optional vector of weights of the same length as x; defaults to all 1.
df : the desired equivalent number of degrees of freedom (trace of the smoother
matrix).
spar: smoothing parameter, typically (but not necessarily) in (0,1].
cv: ordinary (TRUE) or "generalized" cross-validation (GCV) when FALSE.
all.knots: if TRUE, all distinct points in x are used as knots. IfFALSE
(default), a subset of x[] is used, specically x[j] where the nknots indices
are evenly spaced in 1:n.
nknots: integer giving the number of knots to use when all.knots=FALSE.
Per default, this is less than n, the number of unique x values for n 49.
df.oset: allows the degrees of freedom to be increased by df.osetin the
GCV criterion.
penalty: the coecient of the penalty for degrees of freedom in the GCV
criterion.
control.spar: optional list with named components controlling the root
nding when the smoothing parameter spar is computed, i.e., missing or NULL.
Value:
An object of class "smooth.spline" with components
x: the _distinct_ x values in increasing order,
y: the tted values corresponding to x.
w: the weights used at the unique values of x.
yin: the y values used at the unique y values.
lev: leverages, the diagonal values of the smoother matrix.
cv.crit: cross-validation score, "generalized" or true, depending on cv.
pen.crit: penalized criterion
crit: the criterion value minimized in the underlying .Fortran routine ss-
lvrg.
df : equivalent degrees of freedom used. Note that (currently) this value may
become quite unprecise when the true df is
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between and 1 and 2.
spar: the value of spar computed or given.
lambda: the value of lambda corresponding to spar
iparms: named integer(3) vector where ..$ipars["iter"] gives number of
spar computing iterations used.
Exemplul "cars"
cars
x<-cars[1:50,"speed"]
y<-cars[1:50,"dist"]
cars.spl <- smooth.spline(x,y)
cars.spl
Call:
smooth.spline(x = x, y = y)
Smoothing Parameter spar= 0.7801305 lambda= 0.1112206 (11 iterations)
plot(cars.spl)
# ploteaza cele 19 noduri ale smoother-ului
Lucrand by default, si-a ales 19 noduri pentru netezire, dintre cele
50 disponibile
lines(cars.spl)
# ploteaza smoother-ul liniar pe portiuni
Pentru a plota curba de netezire (regresie), trebuie sa utilizam si functia
splinefun
f<- splinefun(cars.spl)
curve(f(x))
# ploteaza smoother-ul polinomial (tot cam liniar pe portiuni)
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Exemplu didactic
x<-c(1:50)
y<-sin(x)
plot(x,y)
INTERPOLARE
f<-splinefun(x,y)
curve(f(x))
ispl<- polySpline( interpSpline( y ~x, bSpline = TRUE ) )
curve(f(x))
print(ispl)
NETEZIRE
did.spl <- smooth.spline(x,y)
did.spl
plot(did.spl)
lines(did.spl)
f<- splinefun(did.spl)
curve(f(x))
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