SERII DE TIMP CURSUL 5

Sezonalitate Stochastic SARIMA

SARIMA (P, D, Q)s : P B s 1 B s Yt 0 Q B s at , unde
D

P Bs 11Bs 2B2s PBsP

Q B s 1 1Bs 2 B2s Q BsQ .

Exemplu: SARIMA(0,0,1)12=SMA(1)12

Yt 0 at at12.

Condiia de invertibilitate: ||< 1.

E(Yt) = 0.

VarYt 1 2 a2

, k 12

.
ACF : k 1 2
0, altfel

Exemplu: SARIMA(1,0,0)12

1 B Y a - model AR sezonal.
12

Yt Yt 12 0 at .

Condiia de staionaritate:||<1.

E Yt

Var Yt

ACF : 12 k k , k 0,1,2, .

0
.
1

a2
.
1 2

Modelul multiplicativ sezonal

SARIMA(p, d, q)(P,D,Q)s : p B P B s 1 B d 1 B s Yt 0 q B Q B s at .
D

Condiie: rdcinile polinoamelor (B); (Bs); (B) i (Bs) snt n afara cercului unitate!

Exemplu: modelul SARIMA(0,1,1)(0,1,1)12

1 B 1 B12 Yt 1 B 1 B12 at , unde ||<1 i ||<1.

Fie Wt = (1 B)(1 B12)Yt, unde = (1 B) este diferena standard, iar 12= (1 B12)
este diferena sezonier.

Wt 1 B 1 B12 at

Wt at at 1 at 12 at 13 .
Wt ~ I 0

1 2 1 2 a2 , k 0

2
2
1 a , k 1

k 1 2 a2 , k 12 .

2
a , k 11,13
0, o.w.

1 2 , k 1

, k 12

.
k 1 2

, k 11,13
2
2
1 1
0, o.w.

SARIMA(1, 1, 1)(1,1,1)12.

1 B 1 B12 (1 B)(1 B12 ) ln Yt 1 B 1 B12 t

AR(1) ne-sezonier*AR(1) sezonier*diferen ne-sezonier*diferen sezonier=
MA(1) ne-sezonier*MA(1) sezonier

Exemplu Numrul de pasageri transportai de liniile aeriene n Romn, valori lunare.

PASAGERI
1,200,000

1,000,000

800,000

600,000

400,000

200,000

5
00

1
2

1
6m
0
0

7
00

1
m
2

8
00

1
m

1
9m
0
20

0
01

1
m

m
11
0
2

1
2

2
01

1
m
2

3
01

1
2

4
01

a. Logaritmarea pentru inducerea staionaritii n varian: Yt ln Yt .

b. Eliminarea trendului prin difereniere: ln Yt (1 B ) ln Yt ln Yt ln Yt 1
DLNPAS
.6

.4

.2

.0

-.2

-.4

-.6
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

c. Corelograma seriei logaritmate i differentiate

d. Desezonalizare: Xt = (1 - B)(1 - B12)ln Yt

series dlnpas=d(lnpas,1)
series x=dlnpas-dlnpas(-12)

e. Corelograma seriei Xt

f. Includerea termenului sezonier SMA(12)

Dependent Variable: X
Method: Least Squares
Date: 03/09/15 Time: 21:48
Sample (adjusted): 2006M02 2014M09
Included observations: 104 after adjustments
Convergence achieved after 13 iterations
MA Backcast: 2005M01 2006M01
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(1)
SMA(12)

-0.002467
-0.741865
-0.932179

0.000847
0.067615
0.030537

-2.913685
-10.97193
-30.52573

0.0044
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted MA Roots

0.643076
0.636008
0.095244
0.916222
98.48852
90.98681
0.000000
.99
.50-.86i
-.50+.86i
-.99

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

.86-.50i
.50+.86i
-.50-.86i

.86+.50i
.00+.99i
-.86+.50i

-0.000836
0.157868
-1.836318
-1.760037
-1.805414
1.702707

.74
-.00-.99i
-.86-.50i

g. Includerea componentei sezoniere SAR(12)

Dependent Variable: X
Method: Least Squares
Date: 03/09/15 Time: 21:50
Sample (adjusted): 2007M03 2014M09
Included observations: 91 after adjustments
Convergence achieved after 31 iterations
MA Backcast: 2006M02 2007M02
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
SAR(12)
MA(1)
SMA(12)

-0.003168
0.378653
-0.330655
-0.850327
0.974889

0.002761
0.135663
0.056928
0.079750
0.015391

-1.147497
2.791137
-5.808277
-10.66237
63.34215

0.2544
0.0065
0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots

Inverted MA Roots

0.742181
0.730190
0.077057
0.510648
106.7001
61.89199
0.000000
.88+.24i
.38
-.24-.88i
-.88-.24i
.96+.26i
.71+.71i
-.26-.96i
-.96+.26i

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-0.005014
0.148348
-2.235168
-2.097208
-2.179510
1.975411

.88-.24i
.24-.88i
-.64+.64i

.64-.64i
.24+.88i
-.64-.64i

.64-.64i
-.24+.88i
-.88+.24i

.96-.26i
.26-.96i
-.71-.71i

.85
.26+.96i
-.71-.71i

.71-.71i
-.26+.96i
-.96-.26i

Model final:

1 0.37 B 1 0.33B12 X t 1 0.85B 1 0.97 B12 t

1 0.37 B 1 0.33B

12

unde t este WN N(0, =0.07).

(1 B)(1 B ) ln Yt 1 0.85B 1 0.97 B12 t

12

unde t este WN N(0, =0.07).

Predicia
.6
.4
.2
.0
-.2
-.4

.2

-.6

.1
.0
-.1
-.2
-.3
2007

2008

2009

2010

Residual

2011
Actual

2012

2013

2014

Fitted

1,400,000

Forecast: PASAGERIF
Actual: PASAGERI
Forecast sample: 2005M01 2014M09
Adjusted sample: 2007M03 2014M09
Included observations: 91
Root Mean Squared Error 50852.49
Mean Absolute Error
37763.02
Mean Abs. Percent Error
5.429306
Theil Inequality Coefficient 0.032662
Bias Proportion
0.000374
Variance Proportion
0.003338
Covariance Proportion
0.996288

1,200,000

1,000,000

800,000

600,000

400,000

200,000
2007

2008

2009

2010
PASAGERIF

2011

2012
2 S.E.

2013

2014

1,400,000

1,200,000

1,000,000

800,000

600,000

400,000
I

II

III

IV

II

2012

III

IV

2013
UPPER
PASAGERI

II
2014

PASAGERIF
LOW ER

Teste pentru sezonalitatea stochastic

TESTUL DICKEY-HASZA-FULLER
Presupunem c o serie de timp este un process SAR(1): s y t yt s at .

H : 0
Ipotezele testului: 0
.
H A : 0

Statistica testului: t

1 n
yt s at
n t 1
1
~ 2
n

2
t s

t 1

III

UNOBSERVED COMPONENT MODEL UCM

UCM descompune o serie de timp n componente: trend, component ciclic, component
sezonier, component aleatoare.

y t t t t j x jt t , unde t i.i.d. N ( 0, 2 )
-

t - trendul

t - componenta sezonier

t - componenta ciclic.

a. Modelarea trendului
- Random walk

t t 1 t unde t i.i.d. N (0, 2 )

-

Local Linear Trend

Level: t t 1 t t unde t i.i.d. N (0, 2 )
Slope: t t 1 t unde t i.i.d. N (0, 2 )

b. Modelarea componentei ciclice

t cos( t ) sin( t ) , unde 0
c. Modelarea componentei sezoniere
- Variabile dummy sau funcii trigonometrice
SAS 9.3proc ucm

http://support.sas.com/rnd/app/ets/examples/melanoma/index.htm