Biblio Stochastic Signals and Systems Ver 28jan2005

Panepistămio Patrÿn
Tmăma Mhqanolìgwn & Aeronauphgÿn Mhqanikÿn

Ergastărio Stoqastikÿn Mhqanologikÿn
SusthmĹtwn & AutomatismoÔ
StoqastikĹ Sămata & Sustămata
S.D. FASOHS
Kajhghtăc
PĹtra 2005
Perieqìmena
1 Stoqastikèc DiergasÐec sto PedÐo Qrìnou 5

1.1 GenikĹ perÐ Stoqastikÿn Diergasiÿn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.1.1 Eisagwgă . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.1.2 StatistikĹ Megèjh Stoqastikăc DiergasÐac . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2 EktÐmhsh Mèshc timăc, Autosummetablhtìthtac kai Autosusqètishc . . . . . . . . . . . . . . . 11
1.2.1 EktÐmhsh Mèshc Timăc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.2.2 EktÐmhsh SunĹrthshc Autosummetablhtìthtac . . . . . . . . . . . . . . . . . . . . . . . 12
1.2.3 EktÐmhsh thc SunĹrthshc Autosusqètishc . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.3 Prìblhma Efarmogăc: Stoqastikă TalĹntwsh DokoÔ . . . . . . . . . . . . . . . . . . . . . . . 15
1.3.1 Eisagwgă . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.3.2 ProergasÐa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.3.3 Săma TalĹntwshc wc UlopoÐhsh Stoqastikăc DiergasÐac (PedÐo qrìnou - Autosummeta-
blhtìthtac) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2 Stoqastikèc DiergasÐec sto PedÐo Suqnotătwn 21

2.1 AnĹlush Sunartăsewn DiakritoÔ Qrìnou . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.1.1 Orjogÿniec Sunartăseic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.1.2 AnĹlush Fourier Peperasmènhc AkoloujÐac . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.1.3 AnĹlush Fourier Periodikăc AkoloujÐac . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.1.4 AnĹlush Fourier Mh Periodikăc AkoloujÐac - Met/mìc z . . . . . . . . . . . . . . . . . 26
2.2 AnĹlush Sunartăsewn SuneqoÔc Qrìnou . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2.2.1 AnĹlush Fourier Periodikÿn Sunartăsewn . . . . . . . . . . . . . . . . . . . . . . . . . 30
2.2.2 AnĹlush Fourier Mh Periodikÿn Sunartăsewn . . . . . . . . . . . . . . . . . . . . . . . 33
2.3 To FĹsma (Power Spectrum) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.3.1 GenikĹ perÐ FĹsmatoc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.3.2 Eisagwgă sthn EktÐmhsh FĹsmatoc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.3.3 Mèjodoi ExomĹlunshc tou PeriodogrĹmmatoc . . . . . . . . . . . . . . . . . . . . . . . . 43
2.4.1 To Săma TalĹntwshc sto PedÐo Suqnotătwn . . . . . . . . . . . . . . . . . . . . . . . . 48
2.4.2 Săma TalĹntwshc wc UlopoÐhsh Stoqastikăc DiergasÐac (PedÐo Suqnotătwn) . . . . . . 49
3 StĹsimec Stoqastikèc DiergasÐec: Montèla ARMA 51

3.1 H Genikă Morfă Grammikăc StĹsimhc Stoqastikăc DiergasÐac . . . . . . . . . . . . . . . . . . 51
3.2 ParĹstash Autopalindrìmhshc - Antistreyimìthta . . . . . . . . . . . . . . . . . . . . . . . . 54
3.3 Montèla AR, MA, ARMA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
3.4 Upologismìc Qarakthristikÿn twn Montèlwn ARMA . . . . . . . . . . . . . . . . . . . . . . . 56
3.4.1 Upologismìc thc Barutikăc SunĹrthshc . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
3.4.2 Upologismìc thc AntÐstrofhc SunĹrthshc . . . . . . . . . . . . . . . . . . . . . . . . . 58
3.4.3 Upologismìc thc SunĹrthshc Autosusqètishc . . . . . . . . . . . . . . . . . . . . . . . 59
4 Mh StĹsimec Stoqastikèc DiergasÐec 61

4.1 Mh Stasimìthta sth Mèsh Timă . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
4.2 Oloklhrwmèna Montèla ARMA (Montèla ARIMA) . . . . . . . . . . . . . . . . . . . . . . . . 62
4.3 Mh-Stasimìthta DiasporĹc kai Autosummetablhtìthtac . . . . . . . . . . . . . . . . . . . . . 64
4.3.1 DiasporĹ kai Autosummetablhtìthta Montèlwn ARIMA . . . . . . . . . . . . . . . . . 64
1
2 PERIEQOMENA
4.3.2 MetasqhmatismoÐ StajeropoÐhshc thc DiasporĹc . . . . . . . . . . . . . . . . . . . . . . 65
5 JewrÐa Prìbleyhc 67
5.1 Eisagwgă . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
5.2 Prìbleyh ElaqÐstou Mèsou TetragwnikoÔ SfĹlmatoc . . . . . . . . . . . . . . . . . . . . . . 68
5.3 Upologismìc twn Problèyewn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
5.3.1 Epanalhptikă Mèjodoc wc proc ton OrÐzonta Prìbleyhc . . . . . . . . . . . . . . . . . 69
5.3.2 Epanalhptikă Mèjodoc wc proc ton Qrìno (BĹsh Prìbleyhc) . . . . . . . . . . . . . . 70
5.4 Ananèwsh twn Problèyewn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
5.5 Telikèc Problèyeic (Eventual Forecasts) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
6 Stoqastikă MontelopoÐhsh 75
6.1 Anagnÿrish kai EktÐmhsh Montèlwn ARIMA . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
6.2 EktÐmhsh Montèlwn ARMA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
6.2.1 H Mèjodoc twn Ropÿn (Method of Moments) . . . . . . . . . . . . . . . . . . . . . . . . 77
6.2.2 Mèjodoc SfĹlmatoc Prìbleyhc (Prediction Error Method) . . . . . . . . . . . . . . . . . 78
6.3 àlegqoc Egkurìthtac Montèlwn ARMA (Model Validation) . . . . . . . . . . . . . . . . . . . . 87
6.4 Krităria Epilogăc Montèlou . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
6.4.1 àlegqoc F (F-test) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
6.4.2 Ta Krităria AIC kai BIC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
6.5.1 Stoqastikă MontelopoÐhsh tou Sămatoc TalĹntwshc . . . . . . . . . . . . . . . . . . . 90
6.5.2 Prìbleyh tou Sămatoc TalĹntwshc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
6.5.3 AnĹlush tou sămatoc talĹntwshc epÐ th bĹsei tou montèlou . . . . . . . . . . . . . . . 96
A Diafìrish wc proc DiĹnusma 99
B StoiqeÐa PijanojewrÐac 101

B.1 Eisagwgă . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
B.2 TuqaÐec Metablhtèc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
B.2.1 Sunartăseic Katanomăc kai Pijanìthtac . . . . . . . . . . . . . . . . . . . . . . . . . . 105
B.2.2 Mèsh timă T.M. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
B.2.3 DiasporĹ T.M. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
B.2.4 Katanomă Gauss (Kanonikă) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
B.2.5 PragmatikoÐ ArijmoÐ san T.M. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
B.3 DÔo TuqaÐec Metablhtèc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
B.3.1 Perijÿriec Katanomèc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
B.3.2 Statistikă AnexarthsÐa . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
B.3.3 Susqètish DÔo T.M. kai Orjogwniìthta . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
B.3.4 Sunduasmènh Kanonikìthta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
B.3.5 Grammikìc Sunduasmìc DÔo T.M. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
B.4 TuqaÐa DianÔsmata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
B.4.1 Eisagwgă . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
B.4.2 Mèsh timă kai DiasporĹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
B.4.3 Asusqètisto kai Orjogwniìthta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
B.4.4 KanonikĹ TuqaÐa DianÔsmata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
B.5 Pijanìthta kai Puknìthtec Upì Sunjăkh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
B.6 ProsdokÐa Upì Sunjăkh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
B.7 SÔgklish AkoloujÐac TuqaÐwn Metablhtÿn . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
LÐsta Sumbìlwn
A: PÐnakac (kajoristikìc ă stoqastikìc)
a: Dianusmatikì mègejoc (kajoristikì ă stoqastikì)
E{·} : Telestăc mèshc timăc
Xt : QronoseirĹ
Wt : Leukă qronoseirĹ
Ŵt : QronoseirĹ sfalmĹtwn prìbleyhc enìc bămatoc
σ: Tupikă apìklish tuqaÐac metablhtăc
µ: Mèsh timă
â : EktimoÔmenh timă tou megèjouc a
γXY : Summetablhtìthta
γκ : SunĹrthsh autosummetablhtìthtac
XY : Suntelestăc susqètishc ă anhgmènh summetablhtìthta
κ : SunĹrthsh anhgmènhc autosummetablhtìthtac (autosusqètishc)
φκκ : SunĹrthsh merikăc autosusqètishc
S(ω) : FĹsma qronoseirĹc
I(ω) : Periodìgramma
N (µ, σ 2 ) : Kanonikă katanomă me mèsh timă m kai diasporĹ σ 2
φi : i parĹmetroc autopalindrìmishc
θi : i parĹmetroc kinhtoÔ mèsou ìrou
Φ(B) : Poluwnumikìc telestăc autopalindrìmishc
Θ(B) : Poluwnumikìc telestăc kinhtoÔ mèsou ìrou
Gκ : SunĹrthsh Green (barutikă)
Iκ : AntÐstrofh sunĹrthsh
I: MonadiaÐoc pÐnakac
B: Telestăc opisjodrìmhshc, Bκ · Xt = Xt−κ
P : Pijanìthta
Z[·] : Metasqhmatismìc z
ω: Suqnìthta se rad anĹ monĹda qrìnou
Ts : PerÐodoc deigmatolhyÐac
N: Măkoc qronoseirĹc (arijmìc dedomènwn)
SuntomeÔseic
AR : ParĹstash Autopalindrìmhshc (AutoRegression)
AR(n) : AR TĹxhc n
MA : ParĹstash KinhtoÔ Mèsou ärou (Moving Average)
MA(m) : MA TĹxhc m
ARMA : ParĹstash Autopalindrìmhshc kai KinhtoÔ Mèsou ärou
ARMA(n, m) : ARMA me ta mèrh AR kai MA tĹxewn n kai m antÐstoiqa
ARIMA : ParĹstash Oloklhrwmènou montèlou ARMA (Integrated ARMA)
RSS : Ăjroisma Tetragÿnwn UpoloÐpwn (Residual Sum of Squares)
Cov : Summetablhtìthta (covariance)
Var : DiasporĹ (variance)
ACF : SunĹrthsh Autosusqètishc (κ ) (AutoCorrelation Function)
PACF : SunĹrthsh Merikăc Autosusqètishc (φκκ ) (Partial AutoCorrelation Function)
AIC : Akaike Information Criterion
BIC : Bayesian Information Criterion
N ID : KanonikĹ anexĹrthta katanemhmènec (tuqaÐec metablhtèc) (Normally Independently Distributed)
3
4 PERIEQOMENA
KefĹlaio 1
Stoqastikèc DiergasÐec sto PedÐo

Qrìnou
Gia na mporèsoume na analÔsoume mia qronoseirĹ eÐnai aparaÐthto na epilèxoume kĹpoio eurÔ majhmatikì
trìpo parastĹseÿc thc. Dedomènhc thc stoqastikăc fÔsewc thc qronoseirĹc, mporoÔme na upojèsoume ìti
kĹje timă thc paratărhshc xt apoteleÐ timă miac antÐstoiqhc tuqaÐac metablhtăc Xt . Me ton trìpo autì h
qronoseirĹ {xt , t ∈ To } jewreÐtai wc to sÔnolo twn timÿn pou èlaban, se sugkekrimèno peÐrama, oi tuqaÐec
metablhtèc {Xt , t ∈ T} me T ⊇ To . Kat ’ autìn ton trìpo h qronoseirĹ paristĹnetai (jewreÐtai) san mia
ulopoÐhsh (realization), gia peperasmèno qronikì diĹsthma, thc stoqastikăc diergasÐac {Xt , t ∈ T} me T ⊇ To .
1.1 GenikĹ perÐ Stoqastikÿn Diergasiÿn

1.1.1 Eisagwgă
JewreÐste th dienèrgeia peirĹmatoc me dunatĹ stoiqeiÿdh apotelèsmata (elementary events) ζi . To sÔnolo
(ènwsh) ìlwn twn dunatÿn stoiqeiwdÿn apotelesmĹtwn onomĹzetai deigmatoqÿroc (sample space) Z. KĹje
uposÔnolo tou deigmatoqÿrou, apoteloÔmeno en gènei apì thn ènwsh diafìrwn stoiqeiwdÿn apotelesmĹtwn,
onomĹzetai gegonìc (event).
ParĹdeigma. Sto klassikì parĹdeigma ìpou to tuqaÐo peÐrama apoteleÐtai apì thn rÐyh zarioÔ,
ta dunatĹ stoiqeiÿdh apotelèsmata eÐnai: ζi = i (i = 1, ..., 6). O deigmatoqÿroc sthn perÐptwsh
aută apoteleÐtai apì to sÔnolo: Z = {1, 2, 3, 4, 5, 6}.
Sqăma 1.1: ParĹstash tou deigmatoqÿrou se diĹgramma Venn.

2
ànac pijanojewrhtikìc qÿroc orÐzetai eisĹgontac èna katĹllhlo pijanojewrhtikì mètro R, to opoÐo anti-
stoiqeÐ mia sugkekrimènh pijanìthta se kĹje dunatì stoiqeiÿdec apotèlesma ζi tou deigmatoqÿrou. To mètro
R prèpei na plhreÐ tic parakĹtw sunjăkec:
(a) P(A) ≥ 0 gia kĹje gegonìc A.

(b) P(Z) = 1 gia to bèbaio gegonìc Z pou sumpÐptei me ton deigmatoqÿro.
(g) P (A ∪ B) = P (A) + P (B) efìson ta gegonìta A kai B den tèmnontai: A ∩ B = {Ø}
5
6 KEFALAIO 1. STOQASTIKES DIERGASIES STO PEDIO QRONOU
Wc tuqaÐa metablhtă (random variable) orÐzetai mia apeikìnish apì ton deigmatoqÿro Z sto sÔnolo tw-
n migadikÿn arijmÿn C. EĹn to pedÐo apeikìnishc eÐnai to sÔnolo twn pragmatikÿn arijmÿn R, h tuqaÐa
metablhtă onomĹzetai pragmatikă. SumbolikĹ èqoume gia thn tuqaÐa metablhtă X(ζ):
X(ζ) : Z → C(R)
Sqăma 1.2: ParĹstash pragmatikăc tuqaÐac metablhtăc.
To ìrisma thc tuqaÐac metablhtăc X(ζ) suqnĹ paraleÐpetai, kai aută paristĹnetai aplĹ wc X.
ParĹdeigma: Sto klassikì parĹdeigma tou peirĹmatoc rÐyewc zarioÔ me deigmatoqÿro Z =

{1, 2, 3, 4, 5, 6} mporoÔme na orÐsoume thn pragmatikă tuqaÐa metablhtă:
X(ζi ) = 10i (i = 1, 2, ..., 6) 2
H ènnoia thc stoqastikăc diergasÐac (stochastic process, random process), epÐshc gnwstă kai san stoqastikă
sunĹrthsh (random function), apoteleÐ kat’ ousÐan, genÐkeush thc ènnoiac thc tuqaÐac metablhtăc. àqoume
sugkekrimèna ton exăc orismì:
Orismìc: Wc stoqastikă diergasÐa orÐzoume mia sullogă (sÔnolo) tuqaÐwn metablhtÿn Xt (ζ)
parametropoihmènwn mèsw katĹllhlou deÐkth t, ìpou t ∈ T. 2
Parathrăseic:
1. Stic shmeiÿseic autèc to sÔnolo T sunăjwc ja eÐnai:

{0, ±1, ±2, ...}, {1, 2, 3, ...}: Stoqastikă diergasÐa diakritoÔ qrìnou (discrete time stochastic
process).
[0, +∞), (−∞, +∞): Stoqastikă diergasÐa suneqoÔc qrìnou (continuous time stochastic pro-
cess)
UpĹrqoun ìmwc kai Ĺllec endiafèrousec periptÿseic ìpou to sÔnolo T ⊆ R.
2. EnallaktikĹ wc stoqastikă diergasÐa mporeÐ na orisjeÐ mia apeikìnish apì ton deigmatoqÿro
Z se kĹpoion katĹllhlo sunarthsiakì qÿro X pou apoteleÐtai apì sunartăseic thc morfăc
Xt (t : diakrită metablhtă) ă X(t) (t : suneqăc metablhtă):
Xt (ζ) : Z→X (t ∈ T )
3. EÐnai fanerì ìti gia ζ sugkekrimèno, h stoqastikă diergasÐa gÐnetai aplĹ sunĹrthsh thc
metablhtăc t. EnallaktikĹ, gia t sugkekrimèno, h stoqastikă diergasÐa ekfulÐzetai se tuqaÐa
metablhtă. 2
Orismìc: Oi sunartăseic {Xt (ζ), ζ ∈ Z},gia kĹje sugkekrimèno ζ, pou èqoun pedÐo orismoÔ to
sÔnolo T eÐnai gnwstèc wc ulopoiăseic (realizations) thc stoqastikăc diergasÐac Xt (ζ). Oi sunar-
tăseic autèc epÐshc anafèrontai kai wc deigmatosunartăseic (sample functions, sample paths). Oi
deigmatosunartăseic miac stoqastikăc diergasÐac mporeÐ na eÐnai eÐte peperasmènou arijmoÔ eÐte
apeÐrou arijmoÔ, antÐstoiqa me to eĹn ta stoiqeiÿdh apotelèsmata tou peirĹmatoc eÐnai pepera-
smènou ă Ĺpeirou arijmoÔ. 2
1.1. GENIKA PERI STOQASTIKWN DIERGASIWN 7
Sqăma 1.3: ParĹstash pragmatikăc stoqastikăc diergasÐac.
ParĹdeigma: JewreÐste peÐrama apoteloÔmeno apì thn tuqaÐa epilogă enìc, apì sÔnolo èxi, au-
tokinătou, thn odăghsă tou se sugkekrimèno tmăma drìmou kai thn mètrhsh thc katakìrufou
epitaqÔnsewc enìc troqoÔ sunartăsei tou qrìnou kai gia sunolikì qronikì diĹsthma T.
Z = {ζ1 , ζ2 , ζ3 , ζ4 , ζ5 , ζ6 } : 6 stoiqeiÿdh apotelèsmata
X = {Xt (ζ1 ), ..., Xt (ζ6 )} t ∈ T : 6 deigmatosunartăseic
ParĹdeigma: Hmitonoeidăc kampÔlh me tuqaÐo plĹtoc kai fĹsh.

JewreÐste tic tuqaÐec metablhtèc A kai J pou akoloujoÔn pijanojewrhtikèc katanomèc me kĹpoiec
sunartăseic puknìthtac pijanìthtac. Mia stoqastikă diergasÐa mporeÐ tìte na orisjeÐ wc exăc
gia kĹpoio ω ∈ R+ kai t ∈ T:

Xt (ζ) = A(ζ) · sin ωt + Θ(ζ) ζ∈Z t∈T
ă, qĹrin suntomÐac:
Xt = A · sin(ωt + Θ) ζ∈Z t∈T
Oi deigmatosunartăseic thc stoqastikăc diergasÐac eÐnai kampÔlec thc morfăc:
xt = α · sin(ωt + θ) t∈T
ìpou a, j paristĹnoun kĹpoiec timèc twn antÐstoiqwn tuqaÐwn metablhtÿn A kai J.
Xt(ζ1)
Xt(ζ2)
Xt(ζ)
−5
t T
2
ParĹdeigma: àstw tuqaÐa metablhtă Xt (ζ) = dÔo forèc to apotèlesma zarioÔ thn forĹ t (t =
1, 2, 3, ...). EĹn jewrăsoume wc peÐrama to rÐximo tou zarioÔ Ĺpeirec forèc dhmiourgoÔme mia sto-
qastikă diergasÐa Xt (ζ) me: t ∈ T = {1, 2, 3, ...} kai ζ ∈ Z = {1, 2, 3, 4, 5, 6} × {1, 2, 3, 4, 5, 6} ×
{1, 2, 3, 4, 5, 6} × ...
àna sugkekrimèno ζ, èstw ζ1 , ja mporoÔse na eÐnai thc morfăc: ζ1 = {1, 3, 2, 6, ...} kai ja anti-
stoiqoÔse sthn deigmatosunĹrthsh: Xt (ζ1 ) = {2, 6, 4, 12, ...}
EÐnai profanèc ìti o arijmìc twn deigmatosunartăsewn eÐnai Ĺpeiroc sthn perÐptwsh aută.
1.1.2 StatistikĹ Megèjh Stoqastikăc DiergasÐac

Orismìc: H mèsh timă miac S.D. eÐnai ex orismoÔ to oloklărwma:
+∞
∆
µXt = E{Xt } = λ · fXt (λ, t) · dλ (1.1)
−∞
ìpou to sÔmbolo E{·} kaleÐtai telestăc mèshc timăc. 2
Orismìc: H diasporĹ miac S.D. orÐzetai wc:

+∞
2 ∆ 2
Var [Xt ] = σX t
= E{(Xt − µXt ) } = (λ − µXt )2 · fXt (λ, t) · dλ (1.2)
−∞
2
1.1. GENIKA PERI STOQASTIKWN DIERGASIWN 9
Orismìc: H autosummetablhtìthta miac S.D. orÐzetai wc:

∆
γ(t1 , t2 ) = E{(Xt1 − µt1 ) · (Xt2 − µt2 )} = E{Xt1 · Xt2 } − µt1 · µt2 (1.3)
2
Orismìc: Mia S.D. Xt eÐnai stĹsimh, eĹn h sunduasmènh katanomă twn X(t1 ), . . . , X(tn ) eÐnai
ìmoia me aută twn X(t1 + k), . . . , X(tn + k) gia kĹje dunatì t1 , . . . , tn kai opoiodăpote k.
2
Orismìc: Mia S.D. Xt eÐnai stĹsimh upì thn eureÐa ènnoia, eĹn h mèsh timă thc eÐnai stajerĹ kai
h autosumetablhtìthtĹ thc exartĹtai mìno apì thn diaforĹ t1 − t2 kai ìqi apì ta apìluta t1 , t2 .
E{Xt } = µ = stajerĹ (1.4)
∆
γ(t1 , t2 ) = γ(t1 − t2 ) (1.5)
2
Orismìc: Mia S.D. Xt onomĹzetai ergodikă ean oi statistikèc mèsec timèc diafìrwn megejÿn thc
(wc proc tic ulopoiăseic, ătoi oi stajmikoÐ mèsoi wc proc ta stoiqeÐa tou deigmatikoÔ qÿrou)
isoÔntai me touc antÐstoiqouc qronikoÔc mèsouc ìrouc.
2
Orismìc: Mia diakrită stĹsimh upo thn eureÐa ènnoia S.D. Xt onomĹzetai leukìc jìruboc, ean
qarakthrÐzetai apì thn sunĹrthsh autosummetablhtìthtac:
2
γ(t1 , t2 ) = γ(t1 − t2 ) = σX t
· δt1 t2 (1.6)
2
ìpou V ar[Xt ] = γ(t, t) = σX t
h diasporĹ thc kai δt1 t2 h sunĹrthsh dèlta tou Kronecker pou
orÐzetai wc exăc:
1 t1 = t2
δt1 t2 =
0 t1 = t2
gia t1 , t2 akeraÐouc.
2
ParadeÐgmata Stoqastikÿn Diergasiÿn:
1.“Kajoristikă” Stoqastikă DiergasÐa.
àstw h stoqastikă diergasÐa
Xt = A · sin(ωt + Θ)
ìpou A tuqaÐa metablhtă me mhdenikă mèsh timă kai monadiaÐa diasporĹ kai J tuqaÐa metablhtă
pou akoloujeÐ omoiìmorfh katanomă sto diĹsthma [-p,p] kai anexĹrthth apì thn A. Tìte:
E{Xt } = E{A} · E{sin(ωt + Θ)} = 0
E{Xt Xt+κ } = E{A2 } · E{sin(ωt + Θ) · sin[ω(t + κ) + Θ]}

1
= E{A2 } · E{ [cos(ωκ) − cos(ω(2t + κ) + 2Θ)]}
2
1 1
= cos(ωκ) − E{cos(ω(2t + κ) + 2Θ)}
2 2
1 1 π 1
= cos(ωκ) − cos(ω(2t + κ) + 2Θ) · · dθ}
2 2 −π 2π
1 1 1
= cos(ωκ) − [sin(ω(2t + κ) + 2Θ]+π
−π = cos(ωκ)
2 8π 2
Ăra h diergasÐa eÐnai stĹsimh upì thn eureÐa ènnoia. 2
2. StĹsimh Stoqastikă DiergasÐa.

àstw Xt mia akoloujÐa anexĹrthtwn tuqaÐwn metablhtÿn pou enallĹx (se diadoqikèc qronikèc
stigmèc) akoloujoÔn kanonikă katanomă N(0, 1) kai diakrită omoiìmorfh katanomă me Ðsh pija-
nìthta 1/2 na pĹroun tic timèc 1 ă -1. Profanÿc:
E{Xt } = 0 ∀t
E{Xt2 } = 1 ∀t

0 t = s
E{Xt Xs } =
1 t=s
Ăra h diergasÐa eÐnai stĹsimh wc proc th summetablhtìthta, allĹ ìqi austhrĹ stĹsimh. 2
3. TuqaÐo BĹdisma (random walk).
Xt = W1 + W2 + ... + Wt (t = 0, 1, 2, ...) Arqikă timă : Xo = 0

2
Wt anexĹrthth kanonikă akoloujÐa : Wt ∼ N ID(0, σW )
Mèsh Timă: E{Xt } = 0
DiasporĹ: Var(Xt ) = E{X2t } = t · σW
2
(∀t)
Autosummetablhtìthta: γ(t + κ, t) = Cov(Xt+κ , Xt ) = Cov(Xt + Wt+1 + ... + Wt+κ , Xt ) =
2
= V ar(Xt ) = t · σW 2

4. DiergasÐa kinhtoÔ mèsou ìrou tĹxewc 1 MA(1) .
JewreÐste thn diergasÐa:
2
Xt = Wt − θ · Wt−1 Wt ∼ N ID(0, σW ) (t = 0, ±1, ±2, ...)

DiasporĹ: E{X2t } = E{(Wt − θ · Wt−1 )2 } = σW
2
+ θ 2 · σW
2
= (1 + θ2 )σW
2
Autosummetablhtìthta: γ(t+κ, t) = Cov(Xt+κ , Xt ) = Cov(Wt+κ −θ·Wt+κ−1 , Wt −θ·Wt−1 ) =

⎧
⎪ 2 2
⎨(1 + θ ) · σW κ = 0
= θ · σW2
κ = ±1
⎪
⎩
0 | κ |> 1
2

5. DiergasÐa autopalindrìmhshc tĹxewc 1 AR(1) .
2
Xt − φ · Xt−1 = Wt Wt ∼ N ID(0, σW ) (t = 0, ±1, ±2, ...)
| φ |< 1 Xo = 0

Diìti

Xt = φ · Xt−1 + Wt
⇒ Xt = φ(φ · Xt−2 + Wt−1 ) + Wt
Xt−1 = φ · Xt−2 + Wt−1
EpÐshc isqÔei ìti: Xt−2 = φXt−3 + Wt−2
AnĹloga katalăgoume sthn parakĹtw sqèsh: Xt = φt ·Xo +φt−1 ·W1 +φt−2 ·W2 +...+φ·Wt−1 +Wt
DiasporĹ: V ar(Xt ) = [1 + φ2 + φ4 + ...φ2(t−1) ] · σW
2
Autosummetablhtìthta: γ(t + κ, t) = Cov(Xt+κ , Xt ) = Cov(φ · Xt+κ−1 , Xt ) + Cov(Wt+κ , Xt ) =

= φ · γ(t + κ − 1, t) + 0 = ... = φκ · γ(t, t)
1.2. EKTIMHSH MESHS TIMHS, AUTOSUMMETABLHTOTHTAS KAI AUTOSUSQETISHS 11
2
σW
Paratărhsh: Gia | φ |< 1 kai t → ∞ paÐrnoume: V ar(Xt ) → 1−φ2
2 2
σW σW
Tìte: γκ = φκ · 1−φ2 (κ > 0) kai lìgw artiìthtac: γκ = φ|κ| · 1−φ2 (∀κ) 2
1.2 EktÐmhsh Mèshc timăc, Autosummetablhtìthtac kai Autosusqèti-

shc
Oi akribeÐc timèc thc mèshc timăc, thc autosummetablhtìthtac kai thc autosusqètishc mporoÔn na upologi-
stoÔn eĹn to sÔnolo twn ulopoiăsewn eÐnai gnwstì. DiaforetikĹ mporoÔn na ektimhjoÔn apì pollèc anexĹr-
thtec ulopoiăseic. ParolautĹ, sthn anĹlush qronoseirÿn mìno mia ulopoÐhsh eÐnai diajèsimh. ParakĹtw
exetĹzontai oi sunjăkec kĹtw apì tic opoÐec oi posìthtec autèc mporoÔn na ektimhjoÔn apì mèsec timèc wc
proc to qrìno.
1.2.1 EktÐmhsh Mèshc Timăc

Mia ektÐmhsh thc mèshc timăc µ = E{Xt } miac stĹsimhc diergasÐac eÐnai h mèsh timă deÐgmatoc:
N
1
µ̂ = Xt (1.7)
N t=1
Idiìthtec:
a) AmerolhyÐa (Unbiasedness):
N
1 1
E{µ̂} = E{Xt } = ·N ·µ=µ (1.8)
N t=1 N
b) Sunèpeia (Consistency):
N
N

2 1 1
V ar(µ̂) = E{(µ̂ − µ) } = E Xt − µ Xs − µ
N t=1 N s=1
N N
N N
1 1
= E (X t − µ) (X s − µ) = E{(Xt − µ)(Xs − µ)}
N2 t=1 s=1
N 2 t=1 s=1
N N N N
1 γo
= Cov[X t , X s ] = (t−s)
N 2 t=1 s=1 N 2 t=1 s=1
∆
OrÐzoume: κ = t − s kai h parapĹnw sqèsh gÐnetai:
N
−1 N
−1
γo γo |κ|
V ar(µ̂) = (N − | κ |)κ = (1 − )κ (1.9)
N2 N N
κ=−(N −1) κ=−(N −1)
Tìte: limN →∞ V ar(µ̂) = 0 ⇔ limN →∞ E{(µ̂ − µ)2 } = 0 to opoÐo sunepĹgetai sÔgklish upì thn mèsh
tetragwnikă ènnoia.
Mia eparkăc sunjăkh ÿste na isqÔei autì to apotèlesma eÐnai κ → 0 kajÿc κ → ∞. PrĹgmati, autì
1
sunepĹgetai ìti: ∀ε > 0 upĹrqei No :| κ |< 4ε ∀κ > No
Gi ’ autì gia N > No + 1 èqoume:

1 |κ| 1 N
−1 | κ | 2 N−1

(1 − )κ ≤ 1− κ ≤ | κ |≤
N κ N N N N κ=0
κ=−(N −1)
No N −1 No
2 2 2 1
| κ | + | κ |≤ | κ | + ε ≤ ε
N κ=0 N N κ=0 2
κ=No +1
epilègontac N arketĹ megĹlo ètsi ÿste o prÿtoc ìroc sthn anisìthta na eÐnai epÐshc mikrìteroc apì ε/2.
Autì deÐqnei ìti ìtan → 0 kajÿc κ → ∞ èqoume: limN →∞ V ar(µ̂) = 0.
H diergasÐa se autăn thn perÐptwsh lègetai ergodikă wc proc th mèsh timă.
H sunjăkh gia thn ergodikìthta wc proc th mèsh timă (κ → 0 kajÿc κ → ∞) diaisjhtikĹ lèei ìti oi
timèc thc diergasÐac anamènetai na eÐnai asusqètistec, tìte kĹpoia nèa plhroforÐa mporeÐ upì sunjăkh na
prostejeÐ ètsi ÿste h mèsh timă wc proc to qrìno na proseggÐsei th sunolikă mèsh timă.
1.2.2 EktÐmhsh SunĹrthshc Autosummetablhtìthtac

àstw ta dedomèna {Xt }N
t=1 apì mia ulopoÐhsh, oi parakĹtw dÔo ektimăseic qrhsimopoioÔntai:
N −κ
1
γ̂κ = (Xt − µ̂)(Xt+κ − µ̂) (1.10)
N t=1
N
−κ
1
γ̂ˆκ = (Xt − µ̂)(Xt+κ − µ̂) (1.11)
N − κ t=1
Idiìthtec:
a) AmelolhyÐa:
àqoume:
N
−κ N
−κ
(Xt − µ̂)(Xt+κ − µ̂) = [(Xt − µ) − (µ̂ − µ)][(Xt+κ − µ) − (µ̂ − µ)]
t=1 t=1
N
−κ N
−κ
= (Xt − µ)(Xt+κ − µ) − (µ̂ − µ) (Xt − µ)
t=1 t=1

∼
=(N −κ)(µ̂−µ)
N
−κ
−(µ̂ − µ) (Xt+κ − µ) +(N − κ)(µ̂ − µ)2
t=1

∼
=(N −κ)(µ̂−µ)
N
−κ
∼
= (Xt − µ)(Xt+κ − µ) − (N − κ)(µ̂ − µ)2
t=1
1.2. EKTIMHSH MESHS TIMHS, AUTOSUMMETABLHTOTHTAS KAI AUTOSUSQETISHS 13
Tìte:
κ N −κ
E{γ̂κ } ∼
= γκ − · γκ − ( ) V ar(µ̂) (1.12)
N N
epÐdrash thc
ektimătriac µ̂
E{γ̂ˆκ } ∼
= γκ − V ar(µ̂) (1.13)

epÐdrash thc
ektimătriac µ̂
Parathrăseic:
1. Ăra kai oi duo ektimătriec den eÐnai amerìlhptec. An agnoăsoume ton ìro Var(µ̂) pou anti-
proswpeÔei thn epÐdrash thc ektimătriac µ̂, h γ̂ˆκ gÐnetai amerìlhpth, enÿ h γ̂κ paramènei
mh amerìlhpth.
2. GenikĹ h γ̂κ èqei megalÔterh merolhyÐa apì thn γ̂ˆκ , kurÐwc ìtan to κ eÐnai megĹlo se sqèsh
me to N. Gi ’ autì to lìgo, gia dedomèno N, sthn anĹlush twn qronoseirÿn qrhsimopoieÐtai
κ ≤ N/4. ParolautĹ, eĹn h diergasÐa eÐnai ergodikă wc proc th mèsh timă dhladă Var(µ̂) →
0 kajÿc N → ∞ (mia eparkăc sunjăkh gi ’ autì eÐnai κ → 0 kajÿc κ → ∞ ìpwc èqoume
dei), kai oi duo ektimătriec gÐnontai asumptwtikĹ amerìlhptec.
3. H ektimătria γ̂κ èqei, gia sugkekrimènouc tÔpouc diergasiÿn, mikrìtero mèso tetragwnikì
sfĹlma apì thn γ̂ˆκ .
4. Epiplèon h γ̂κ eÐnai pĹnta hmijetikĹ orismènh, ìpwc kai h γκ , enÿ h γ̂ˆκ ìqi aparaÐthta.
Epomènwc h γ̂κ qrhsimopoieÐtai stic perissìterec periptÿseic.
b) Sunèpeia: ätan h diergasÐa akoloujeÐ kanonikă katanomă isqÔei ìti:

∞
1
Cov(γ̂κ , γ̂κ+j ) ∼
= (γi γi+j + γi+κ+j γi−κ ) (1.14)
N
i=−∞
∞
1 2
Var(γ̂κ ) ∼
= (γi + γi+κ γi−κ ) (1.15)
N
i=−∞
kai
∞

1
Cov(γ̂ˆκ , γ̂ˆκ+j ) ∼
= (γi γi+j + γi+κ+j γi−κ ) (1.16)
N−κ
i=−∞
∞

1
Var(γ̂ˆκ ) ∼
= (γi2 + γi+κ γi−κ ) (1.17)
N−κ
i=−∞
Ăra h diasporĹ thc γ̂ˆκ eÐnai megalÔterh apì thc γ̂κ . Sthn pragmatikìthta, eÐnai profanèc ìti h Var(γ̂ˆκ )
mporeÐ na eÐnai shmantikă gia megĹla κ.
Mia eparkăc sunjăkh gia na eÐnai h γ̂κ sunepăc katĹ thn mèsh tetragwnikă ènnoia (kai h diergasÐa ergodikă
wc proc thn autosummetablhtìthta) eÐnai h autosummetablhtìthta na eÐnai apìluta ajroÐsimh, dhladă:
∞

| γi |< ∞ (1.18)
i=−∞
Tìte:
lim V ar(γ̂κ ) = 0
N →∞
2
1.2.3 EktÐmhsh thc SunĹrthshc Autosusqètishc

H ektimoÔmenh ACF eÐnai:
N −κ
γ̂κ t=1 (Xt − µ̂)(Xt+κ − µ̂)
ˆκ = = N (κ = 0, 1, 2, ...) (1.19)
2
t=1 (Xt − µ̂)
γ̂o
ìpou:
N
1
µ̂ = Xt
t=1
N
Gia stĹsimh diergasÐa pou akoloujeÐ kanonikă katanomă èqei apodeiqjeÐ ìti gia κ > 0 kai κ + j > 0:
∞
1
Cov(ˆκ , ˆκ+j ) ∼
= (i · i+j + i+κ+j · i−κ − 2 · κ · i · i−κ−j − 2 · κ+j · i · i−κ + 2 · κ · κ+j · 2i )
N
i=−∞
(1.20)
Gia megĹlo N h ˆκ akoloujeÐ kanonikă katanomă me mèsh timă κ kai diasporĹ:
∞
1 2
κ ) ∼
Var(ˆ = (i + i+κ · i−κ − 4 · κ · i · i−κ + 2 · 2κ · 2i )
N
i=−∞
kai gia diergasÐa ìpou κ = 0 gia κ > m, sÔmfwna me thn prosèggish katĹ Bartlett h parapĹnw sqèsh gÐnetai:
1
Var(ˆ κ ) ∼
= (1 + 2 · 21 + 2 · 22 + ... + 2 · 2m ) (1.21)
N
Sthn pragmatikìthta ta i eÐnai Ĺgnwsta kai antikajÐstantai apì tic ektimătriec ˆi , opìte èqoume gia megĹla
κ thn parakĹtw tupikă apìklish ˆκ :

1
σˆκ = (1 + 2 · 21 + 2 · 22 + ... + 2 · 2m ) (1.22)
N
Gia na elègxoume gia leukì jìrubo qrhsimopoioÔme th sqèsh:

1
σˆκ = (1.23)
N
Tìte me pijanìthta sfĹlmatoc 5% èqoume:

ˆκ Nai → Leukìc Jìruboc
< 1.96
σˆκ äqi → Mh Leukìc Jìruboc
SunĹrthshc Merikăc Autosusqètishc

Gia leukă Stoqastikă DiergasÐa h diasporĹ thc φ̂κκ eÐnai:
1
V ar(φ̂κκ ) ∼
= (1.24)
N
Gia ton èlegqo leukoÔ jorÔbou qrhsimopoioÔme th sqèsh:

1
σφ̂κκ = (1.25)
N
1.3. PROBLHMA EFARMOGHS: STOQASTIKH TALANTWSH DOKOU 15
1.3 Prìblhma Efarmogăc: Stoqastikă TalĹntwsh DokoÔ

1.3.1 Eisagwgă
To peÐrama. Sto peÐrama pou pragmateuìmaste skopìc eÐnai h sqoqastikă montelopoÐhsh miac dokoÔ. Gia to
skopì autì qrhsimopoieÐtai h peiramatikă diĹtaxh tou sqămatoc 1.4. H dokìc sthrÐzetai se tèssera shmeÐa.
DiegeÐretai sto èna Ĺkro (katĹ thn katakìrufh dieÔjunsh) mèsw hlektromagnhtikoÔ diegèrth me katakìrufh
stoqastikă (yeudotuqaÐa) dÔnamh. DÔo epitaqunsiìmetra katagrĹfoun tic timèc thc katakìrufhc epitĹqunshc
se dÔo diaforetikĹ shmeÐa katĹ măkoc thc dokoÔ. Ta sămata twn epitaqunsiomètrwn (èxodoi) kajÿc kai autì
thc efarmozìmenhc dÔnamhc (eÐsodoc), afoÔ enisqujoÔn kai filtrarisjoÔn katĹllhla, katagrĹfontai mèsw
sustămatoc sullogăc dedomènwn se PC (arqeÐo vibr.dat).
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([FLWHU 3RZHU )LOWHU 6LJQDO

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Sqăma 1.4: Peiramatikă diĹtaxh.
Ta sămata. äla ta sămata (efarmozìmenh dÔnamh kai katakìrufec epitaqÔnseic) enisqÔontai mèsw katĹllh-
lou enisqută (power amplifier), filtrĹrontai mèsw bajuperatoÔ (low pass) analogikoÔ fÐltrou me suqnìthta
apokopăc (cutoff frequency) fc = 170Hz kai en suneqeÐa diakritopoioÔntai me suqnìthta deigmatolhyÐac (sa-
mpling frequency) fs = 500Hz (perÐodoc deigmatolhyÐac Ts = 0.002sec). Ta telikĹ diakritopoihmèna sămata
faÐnontai sto Sqăma 1.5.
4
Input signal
−2
0 0.5 1 1.5 2 2.5 3 3.5 4
Time (sec)
5
Output 1
−5
0 0.5 1 1.5 2 2.5 3 3.5 4
Time (sec)
4
2
Output 2
−2
−4
0 0.5 1 1.5 2 2.5 3 3.5 4
Time (sec)
Sqăma 1.5: StoqastikĹ sămata eisìdou (dÔnamhc) kai exìdwn (epitaqÔnsewn).

1.3.2 ProergasÐa
To săma to opoÐo ja epexergasjoÔme eÐnai h prÿth epitĹqunsh (output 1). AkoloujoÔme thn parakĹtw pro-
ergasÐa:
(a) EktimĹtai kai afaireÐtai h mèsh timă tou sămatoc.
(b) GÐnetai kanonikopoÐhsh tou sămatoc pollaplasiĹzontĹc to me katĹllhla epilegmèno jetikì arijmì oÔtwc
ÿste na eurÐsketai se sugkekrimènh (koină gia ìla ta sămata) zÿnh timÿn, p.q. (-10,10) ă (-100,100). H
kanonikopoÐhsh aută gÐnetai gia thn apofugă pijanÿn arijmhtikÿn problhmĹtwn.
(g) Tèloc to săma qwrÐzetai se dÔo tmămata: To prÿto tmăma eÐnai măkouc Ne = 2000 dedomènwn kai o-
nomĹzetai tmăma ektÐmhshc (estimation set) (Sqăma 1.6) enÿ to deÔtero tmăma eÐnai măkouc Nv = 48 dedomènwn
kai onomĹzetai tmăma elègqou egkurìthtac (validation set) (Sqăma 1.7).
Estimation Set
10
2
Output 1
−2
−4
−6
−8
−10
0 0.5 1 1.5 2 2.5 3 3.5 4
Time (sec)
Sqăma 1.6: GrĹfhma tou sămatoc sto pedÐo tou qrìnou (tmăma ektÐmhshc).
Validation Set
5
1
Output 1
−1
−2
−3
−4
−5
4 4.01 4.02 4.03 4.04 4.05 4.06 4.07 4.08 4.09
Time (sec)
Sqăma 1.7: GrĹfhma tou sămatoc sto pedÐo tou qrìnou (tmăma elègqou egkurìthtac).
1.3.3 Săma TalĹntwshc wc UlopoÐhsh Stoqastikăc DiergasÐac (PedÐo qrìnou - Auto-

summetablhtìthtac)
Empeirikă SunĹrthsh Puknìthtac Pijanìthtac (istìgramma)
Gia ton upologismì thc
√ empeirikăc sunĹrthshc puknìthtac pijanìthtac (σ.p.p.) qwrÐzoume thn perioqă timÿn
thc epitĹqunshc se N Ðsa tmămata kai en suneqeÐa dhmiourgoÔme to antÐstoiqo istìgramma suqnotătwn
(Sqăma 1.8) (entolă Matlab: hist.m)
180
160
140
120
frequency
100
80
60
40
20
0
−10 −8 −6 −4 −2 0 2 4 6 8 10
Output 1
Sqăma 1.8: Empeirikă σ.p.p. (istìgramma).
To istìgramma tou Sqămatoc 1.8 deÐqnei na proseggÐzei ikanopoihtikĹ thn kampÔlh thc kanonikăc katano-
măc. Autì apoteleÐ mia prÿth epoptikă èndeixh ìti to săma endèqetai na akoloujeÐ kanonikă katanomă.
Sth sunèqeia ektimoÔntai oi ropèc thc qronoseirĹc: h mèsh timă (ropă 1hc tĹxhc), h diasporĹ kai h tupikă
apìklish (ropă 2hc tĹxhc), h loxìthta (ropă 3hc tĹxhc).
Gia th sugkekrimènh qronoseirĹ paÐrnoume (entolèc Matlab: mean.m, var.m, std.m, skewness.m):
Mèsh timă: µ = E{Xt } = 1.7564e − 016
DiasporĹ: Var(Xt ) = E{(Xt − µ)2 } = 5.2901

Tupikă apìklish: σXt = E{(Xt − µ)2 } = 2.3
Loxìthta: µ3 = E{(Xt − µ)3 } = 0.053
äpwc faÐnetai h mèsh timă eÐnai praktikĹ mhdèn (h timă thc aggÐzei ta ìria tou arijmhtikoÔ sfĹlmatoc
tou MATLAB). H mikră timă thc loxìthtac eÐnai èna epiplèon stoiqeÐo gia thn kanonikìthta thc qronoseirĹc.
ànac akìma èlegqoc gia thn kanonikìthta thc katanomăc eÐnai to diĹgramma tou Sqămatoc 1.9 (entolă Matlab:
normplot.m).
Normal Probability Plot
0.999
0.997
0.99
0.98
0.95
0.90
0.75
Probability
0.50
0.25
0.10
0.05
0.02
0.01
0.003
0.001
−10 −8 −6 −4 −2 0 2 4 6 8 10
Data
Sqăma 1.9: àlegqoc kanonikăc katanomăc.
àan h qronoseirĹ akoloujeÐ kanonikă katanomă tìte to grĹfhma ja prèpei na eÐnai grammikì. KĹje Ĺllh
katanomă prokaleÐ kampulìthtec sto grĹfhma. àtsi apì to diĹgramma tou Sqămatoc 1.9, to opoÐo eÐnai sqedìn
grammikì, faÐnetai ìti h en lìgw qronoseirĹ akoloujeÐ thn kanonikă katanomă me ikanopoihtikă akrÐbeia.
EktÐmhsh Anhgmènhc Autosummetablhtìthtac
Me qrăsh katĹllhlhc ektimătriac gÐnetai ektÐmhsh thc anhgmènhc autosummetablhtìthtac (autocorrelation

function, acf) κ . Epiplèon sto grĹfhma èqoun topojethjeÐ statistikĹ ìria shmantikìthtac se epÐpedo sfĹl-
matoc 5% gia ton èlegqo thc statistikăc shmantikìthtac tou ekĹstote κ (entolă Matlab: ∗acf wn.m)
0.5
A.C.F ( ρ )
κ
−0.5
−1
0 10 20 30 40 50 60 70 80 90 100
Lag
Sqăma 1.10: Anhgmènh autosummetablhtìthta.
EktÐmhsh Merikăc Autosusqètishc

Me qrăsh katĹllhlhc ektimătriac gÐnetai ektÐmhsh thc sunĹrthshc merikăc autosusqètishc (partial autocorre-
lation function, pacf) φκκ . Epiplèon sto grĹfhma èqoun topojethjeÐ statistikĹ ìria shmantikìthtac se epÐpedo
sfĹlmatoc 5% gia ton èlegqo thc statistikăc shmantikìthtac tou ekĹstote φκκ (entolă Matlab: ∗pacf.m)
1
)
0.5
κκ
P.A.C.F. ( Φ
−0.5
−1
0 10 20 30 40 50 60 70 80 90 100
Lag
Sqăma 1.11: Merikă autosusqètish.
àlegqoc Upojèsewc LeukoÔ JorÔbou

Apì ta Sqămata 1.10 kai 1.11 gÐnetai safèc ìti se kamÐa perÐptwsh den perièqetai entìc twn statisikÿn orÐwn
to 95% twn timÿn thc anhgmènhc autosummetablhtìthtac ă thc merikăc autosusqètishc. àtsi h upìjesh gia
leukìthta tou sămatoc aporrÐptetai.
àlegqoc Upojèsewc LeukoÔ JorÔbou gia thn Efarmozìmenh DÔnamh

Gia ton èlegqo autì kataskeuĹzontai ta diagrĹmmata anhgmènhc autosumetablhtìthtac kai merikăc autosu-
sqètishc me ta statistikĹ ìria shmantikìthtac se epÐpedo sfĹlmatoc 5% ìpwc faÐnontai sta sqămata 1.12
kai 1.13 antÐstoiqa
äpwc faÐnetai apì ta grafămata thc anhgmènhc autosummetablhtìthtac sto sqăma 1.12 kai thc merikăc
autosusqètishc sto sqăma 1.13, arketèc timèc kai twn dÔo sunartăsewn xepernoÔn katĹ polÔ ta statistikĹ
ìria kai h upìjesh gia leukìthta thc eisìdou aporrÐptetai se epÐpedo empistosÔnhc 95%.
0.5
A.C.F. ( ρ )
κ
−0.5
−1
0 10 20 30 40 50 60 70 80 90 100
Lag
Sqăma 1.12: Anhgmènh autosummetablhtìthta sămatoc èisìdou.
0.5
)
κκ
P.A.C.F. (Φ
−0.5
−1
0 10 20 30 40 50 60 70 80 90 100
Lag
Sqăma 1.13: Merikă autosusqètish sămatoc èisìdou.
Qrăsimec routÐnec MATLAB

KefĹlaio 2
Stoqastikèc DiergasÐec sto PedÐo

Suqnotătwn
2.1 AnĹlush Sunartăsewn DiakritoÔ Qrìnou

2.1.1 Orjogÿniec Sunartăseic
2π
JewreÐste tic sunartăseic: ej N κt κ = 0, 1, 2, ..., N − 1
t = 0, 1, 2, ..., N − 1
Oi sunartăseic autèc eÐnai orjogÿniec.

Apìdeixh:
PrĹgmati, èqoume:
N
−1 N
−1 2π
2π 2π ej N κN − 1
ej N κt = (ej N κ )t = 2π = 0 κ = 0 epeidă ej2πκ = 1
t=0 t=0 ej N κ − 1
N
−1
2π
ej N κt = N κ=0
t=0
Epomènwc èqoume:
N
−1 N
−1
j 2π 2π
j 2π N κ=
N κt −j N t
e e = e N (κ−)t =
t=0 t=0
0 κ =
φκ (t) φ∗
(t)
pou apodeiknÔei thn orjogwniìthta. 2
2.1.2 AnĹlush Fourier Peperasmènhc AkoloujÐac

àstw Xt (t = 0, 1, 2, ..., N − 1) peperasmènh akoloujÐa. H akouloujÐa aută orÐzei èna shmeÐo se N-diĹstato
dianusmatikì qÿro, kai mporeÐ na grafeÐ san o grammikìc sunduasmìc kĹpoiwn dianusmĹtwn bĹsewc. Kajÿc
se N-diĹstato dianusmatikì qÿro opoiadăpote N orjogÿnia dianÔsmata apoteloÔn bĹsh, oi sunartăseic:
2π
ej N κt t ∈ [0, N − 1], κ = 0, 1, 2, ..., N − 1
apoteloÔn bĹsh. Epomènwc:
N −1
1 2π
Xt = G(κ)ej N κt t ∈ [0, N − 1] (2.1)
N κ=0
21
22 KEFALAIO 2. STOQASTIKES DIERGASIES STO PEDIO SUQNOTHTWN
ìpou oi suntelestèc dÐnontai apì th sqèsh:
N
−1
2π
G(κ) = Xt · e−j N κt κ ∈ [0, N − 1] (2.2)
t=0
Apìdeixh:
Allagă tou deÐkth Ĺjroishc se kai antikatĹstash sthn prÿth sqèsh dÐnoun:
N −1 N −1 N −1 N −1
1 2π 2π 1 2π 2π 1
Xt = X · e−j N κ · ej N κt = X · ·e−j N κ · ej N κt = · Xt · N = Xt
N κ=0 N κ=0
N
=0 =0
H anĹlush aută onomĹzetai SeirĹ Fourier thc Xt .
G(κ) κ ∈ [0, N − 1]: Suntelestèc Fourier
2π
N κ κ ∈ [0, N − 1]: Suqnìthtec Fourier
Sqăma 2.1: Suqnìthtec Fourier.
G(0) 1
N −1
N = N t=0 Xt : timă d.c. ă mèsh timă thc akoloujÐac
Enallaktikă parĹstash:
àstw:
G(κ) = α(κ) + jb(κ) κ ∈ [0, N − 1] α(κ), b(κ) ∈ R (2.3)
Tìte:
1 2π
N −1
2π
Xt = α(κ) + jb(κ) · cos κt + j sin κt
N κ=0 N N
1 2π
N −1
2π 2π 2π
= α(κ) cos κt − b(κ) sin κt + jb(κ) cos κt + jα(κ) sin κt
N κ=0 N N N N
N −1
1 2π 2π
⇒ Xt = [α(κ) cos κt − b(κ) sin κt] t ∈ [0, N − 1] (2.4)
N κ=0 N N
2.1. ANALUSH SUNARTHSEWN DIAKRITOU QRONOU 23
epeidă to fantastikì mèroc prèpei na mhdenÐzetai. Prokeimènou na ikanopoieÐtai o periorismìc autìc prèpei:
b(1) = −b(N − 1) α(1) = α(N − 1)

..
.
b(κ) = −b(N − κ) α(κ) = α(N − κ)
Oi parapĹnw sunjăkec onomĹzontai Sunjăkec SummetrÐac.
Oi suntelestèc Fourier mporoÔn na upologistoÔn wc exăc:
N
−1 2π 2π
α(κ) + jb(κ) = Xt · cos κt − j sin κt
t=0
N N
N
−1 N
−1
2π 2π
= Xt cos κt − j Xt sin κt
t=0
N t=0
N
oÔtwc ÿste:
N
−1
2π
α(κ) = Xt · cos κt (2.5)
t=0
N
N
−1
2π
b(κ) = − Xt · sin κt (2.6)
t=0
N
ShmeÐwsh: Opoiadăpote peperasmènh akoloujÐa mporeÐ na ekfrasteÐ san grammikìc sunduasmìc

migadikÿn ekjetikÿn sunartăsewn ă, enallaktikĹ, hmitìnwn kai sunhmitìnwn. 2
2.1.3 AnĹlush Fourier Periodikăc AkoloujÐac

(Diakritìc Metasqhmatismìc Fourier; Discrete Fourier Transform)
[Diakritìc + periodikìc qrìnoc ⇔ Diakrită + periodikă suqnìthta]
àstw periodikă akoloujÐa: Xt = Xt+N ìpou N: perÐodoc. Basizìmenoi sta prohgoÔmena apotelèsmata
mporoÔme na ekfrĹsoume thn akoloujÐa Xt , t ∈ [0, N − 1] san upèrjesh migadikÿn ekjetikÿn sunartăsewn:
N −1
1 2π
Xt = G(κ)ej N κt (2.7)
N κ=0
N
−1
2π
G(κ) = Xt · e−j N κt (2.8)
t=0
Oi migadikèc ekjetikèc sunartăseic eÐnai periodikèc me perÐodo N. Epomènwc èqoume ìti oi suntelestèc
Fourier eÐnai periodikoÐ me thn Ðdia perÐodo:
G(κ) = G(κ + N )
kai oi parapĹnw ekfrĹseic isqÔoun ∀ t, ìqi mìno gia t ∈ [0, N − 1].
2π
: jemeliÿdhc suqnìthta
N
2π
κ : k-tĹxewc armonikă suqnìthta
N
Idiìthtec
(a) Grammikìthta
αXt + bYt ⇔ aG(κ) + bF (κ) (2.9)
∀ a, b ∈ R G(κ) ⇔ Xt
F (κ) ⇔ Yt
(b) Sunèlixh sto qrìno
Xt ∗ Yt ⇔ G(κ) · F (κ) (2.10)
Apìdeixh:
N
−1
∆
Xt = Xt ∗ Yt = X · Yt−
=0
kai o diakritìc metasqhmatismìc Fourier:
N −1
N −1 N −1
N −1
2π
2π 2π
X(κ) = X Yt− e−j N κt = X Yt− · e−j N κ(t−) e−j N κ
t=0 =0 =0 t=0

F (κ)
N
−1
2π
= F (κ) X · e−j N = F (κ) · G(κ)
=0
(g) Sunèlixh sth suqnìthta
N −1
1 1
Xt · Yt ⇔ G(κ)∗ F (κ) = G()F (κ − )
N N
=0
(d) Idiìthtec summetrÐac

Gia pragmatikă akoloujÐa Xt me diakritì metasqhmatismì Fourier G(κ):
Re [G(κ)] = α(κ) = Re [G(N − κ)] = α(N − κ) (2.11)
Im [G(κ)] = b(κ) = −Im [G(N − κ)] = −b(N − κ) (2.12)
| G(κ) |=| G(N − κ) | (2.13)
arg G(κ) = − arg G(−κ) (2.14)

Enèrgeia kai IsqÔc:
Gia periodikì săma, h enèrgeia pou sqetÐzetai me mia perÐodo eÐnai:
N
−1
Xt2 = Enèrgeia
t=0
PaÐrnontac thn èkfrash tou DiakritoÔ MetasqhmatismoÔ Fourier gia Xt kai pollaplasiĹzontac me Xt èqoume:
N
−1 N −1 N −1 N −1 N −1 N −1
1 j 2π 1
j 2π 1
Xt2 = Xt G(κ)e N κt
= G(κ) Xt e N κt
= | G(κ) |2 ⇒
t=0
N t=0 κ=0 N κ=0 t=0
N κ=0

G∗ (κ)
N
−1 N −1
1
Xt2 = | G(κ) |2 Sqèsh Parseval (2.15)
t=0
N κ=0
H isqÔc orÐzetai wc h enèrgeia anhgmènh ston monadiaÐo qrìno, kai epomènwc èqoume:
N −1 N −1
1 2 1
IsqÔc = X = 2 | G(κ) |2 (2.16)
N t=0 t N κ=0
H akoloujÐa N12 | G(κ) |2 (κ = 0, 1, ..., N −1) onomĹzetai fĹsma isqÔoc (power spectrum) kai perigrĹfei
pwc h sunolikă isqÔc katanèmetai se diĹforec suqnìthtec.
ParĹdeigma:
perÐodoc N = 3
N −1 2π 2 2π
Xt = N1 κ=0 G(κ)ej N κt = 13 κ=0 G(κ)ej 3 κt
2
G(0) = t=0 Xt e−j0t = 1 + 2 + 3 = 6
2 2π 2π 2π 4π
G(1) = t=0 Xt e−j 3 2t = 1e−j 3 0 + 2e−j 3 + 3e−j 3
2 2π 4π 8π
G(2) = t=0 Xt e−j 3 2t = 1 + 2e−j 3 + 3e−j 3
FĹsma isqÔoc:
2
2.1.4 AnĹlush Fourier Mh Periodikăc AkoloujÐac - Met/mìc z

[Diakritìc + mh periodikìc qrìnoc ⇔ suneqăc + periodikă suqnìthta]
àstw mh periodikă akoloujÐa Xt me peperasmèno arijmì mh mhdenikÿn timÿn
N−1 N−1
Xt = 0 t ∈ [− , ] Xt = 0 : diaforetikĹ
2 2
(qwrÐc periorismì thc genikìthtac to N upetèjh perittì).
OrÐzoume tìte thn periodikă sunĹrthsh (akoloujÐa) Yt wc exăc: Yt+·N = Xt ìpou − N 2−1 ≤ t ≤ N −1
2 kai
= 0, ±1, ±2, ... pou eÐnai periodikă me perÐodo N.
H Yt mporeÐ na analujeÐ, katĹ ta gnwstĹ, katĹ Fourier wc exăc:
(N −1)/2
1 2π
Yt = G(κ) · ej N κt
N
κ=−(N −1)/2
(N −1)/2 ∞
2π
2π
G(κ) = Yt · e−j N κt = Xt · e−j N κt
t=−(N −1)/2 t=−∞

lìgw tou ìti Xt ≡0
ektìc tou [− N 2−1 , N 2−1 ]
∞

∆
OrÐzoume tÿra: G(ω) = Xt e−jωt
t=−∞
2π 2π
opìte: G(κ) = G(ω = ·κ) ∆ω =
N
N
∆ω
Epomènwc èqoume:
(N −1)/2
1
Yt = G(κω) · ejωκt
N
κ=−(N −1)/2
(N −1)/2
1
= G(κω) · ejωκt · ω ·
2π
κ=−(N −1)/2
Gia N → ∞ èqoume: Yt → Xt ω → 0, kai to parapĹnw Ĺjroisma metatrèpetai se oloklărwma:

+∞ 2π
1 jωκt 1
Xt = lim Yt = lim G(κω)e ω = G(ω)ejωt dω
N →∞ ω→0 2π 2π 0
κ=−∞
Epomènwc èqoume:
2π
1
Xt = G(ω)ejωt dω (2.17)
2π 0
+∞

G(ω) = Xt e−jωt (2.18)
t=−∞
Parathrăseic:
+∞
1. Dedomènou tou ìti h sunĹrthsh G(ω) = t=−∞ Xt · e−jωt eÐnai periodikă wc proc w me
perÐodo 2p, kai to autì isqÔei gia thn ejωt , ta ìria oloklărwshc mporoÔn na epilegoÔn wc
akoloÔjwc: π
1
Xt = G(ω) · ejωt dω
2π −π
2. To parapĹnw zeÔgoc metasqhmatismÿn apedeÐqjh gia th diakrită akoloujÐa Xt t = ..., −2,
− 1, 0, 1, 2, ... (perÐodoc deigmatolhyÐac = 1). EĹn h perÐodoc deigmatolhyÐac eÐnai Ts , ătoi:
Xt t = ..., −2Ts , −Ts , 0, Ts , 2Ts , ... to zeÔgoc metasqhmatismÿn grĹfetai wc exăc:
2π
Ts Ts
Xt = G(ω)ejωTs t dω (2.19)
2π 0
+∞

G(ω) = Xt e−jωTs t (2.20)
t=−∞
ìpou Ts : perÐodoc deigmatolhyÐac

3. EÐnai fanerì ìti o metasqhmatismìc G(ω) mporeÐ enallaktikĹ na orisjeÐ wc:
+∞ π
1 −jωt
G(ω) = Xt e ⇔ Xt = G(ω)ejωt dω
2π t=−∞ −π
kai:
+∞ π
1 −jωt 1
G(ω) = √ Xt e ⇔ Xt = √ G(ω)ejωt dω
2π t=−∞ 2π −π
4. Sqèsh metaxÔ G(ω) kai G(κ)

äpwc èqoume ădh diapistÿsei: G(κ) = G(ω = 2π N κ). Epomènwc oi suntelestèc Fourier miac
periodikăc akoloujÐac me perÐodo N isoÔntai me touc suntelestèc Fourier thc akoloujÐac
pou apoteleÐtai apì mÐa mìno perÐodo thc arqikăc kai eÐnai mhdèn se ìla ta Ĺlla shmeÐa,
π
sta shmeÐa κ N κ = 0, 1, 2, ..., N − 1 tou monadiaÐou kÔklou.

= 0 t ∈ [0, M − 1]
Xt
= 0 t ∈ [0, M − 1]
Yt+·N = Xt t ∈ [0, M − 1] = 0, ±1, ±2, ...

perÐodoc N=M
Xt ↔ G(ω) ω ∈ [0, 2π]

Yt ↔ G(κ) = G(ω = 2π
N κ) κ ∈ [0, N − 1]
5. Sthn parapĹnw anĹlush h akoloujÐa Xt upetèjh ìti èqei peperasmèno arijmì mh mhdenikÿn
ìrwn. To zeÔgoc metasqhmatismoÔ pĹntwc isqÔei kai sthn perÐptwsh pou o arijmìc twn mh
mhdenikÿn ìrwn eÐnai Ĺpeiroc. Sthn perÐptwsh ìmwc aută prèpei na exetasjeÐ h sÔgklish
thc seirĹc orismoÔ.
Mia ikană sunjăkh sÔgklishc eÐnai:
∞

| Xt |< ∞ (apìluth ajroisimìthta)
t=−∞
ă kai h asjenèsterh sunjăkh:
∞

Xt2 < ∞ (tetragwnikă ajroisimìthta)
t=−∞
Sqèsh Parseval
∞ ∞ ∞

1 2π
1 2π
Enèrgeia = Xt2 = Xt G(ω)e jωt
dω = jωt
Xt e G(ω)dω
t=−∞ t=−∞
2π 0 2π 0 t=−∞

G(−ω)=G∗ (ω)
2π 2π
1 1
= G∗ (ω)G(ω)dω = | G(ω) |2 dω
2π 0 2π 0
ìpou G∗ (ω) eÐnai h suzugăc thc G(ω). Epomènwc:
∞
2π
1
Xt2 = | G(ω) |2 dω (2.21)
t=−∞
2π 0
H sunĹrthsh:
| G(ω) | : FĹsma ă FĹsma PlĹtouc
(Spectrum or amplitude spectrum)
| G(ω) |2 : Energeiakì FĹsma ă SunĹrthsh puknìthtac energeiakoÔ fĹsmatoc

(Energy spectrum or energy spectral density function)
ParĹdeigma: Xt = ( 12 )|t| t = 0, ±1, ±2, ...
Xt
0
−4 −3 −2 −1 0 1 2 3 4
t
Ikană sunjăkh:
∞
∞ ∞ ∞
1 1 1 1
| Xt |= ( )|t| = 1 + 2 · ( )t = 1 + ( )t = 1 + 1 =1+2=3<∞
t=−∞ t=−∞
2 t=1
2 t=0
2 1− 2
Epomènwc o met/mìc Fourier ja eÐnai:
∞ −1 ∞
1 1 1
G(ω) = ( )|t| · e−jωt = ( )−t · e−jωt + 1 + ( )t · e−jωt
t=−∞
2 t=−∞
2 t=1
2
∞ ∞ ∞ ∞
1 1 1 1 1 1
= ( ejω )t + 1 + ( e−jω )t = ejω ( ejω )t + 1 + e−jω ( e−jω )t
t=1
2 t=1
2 2 t=0
2 2 t=0
2
1 jω 1 1 −jω 1 ejω e−jω
= e + 1 + e = 1 + +
2 1 − 12 ejω 2 1 − 12 e−jω 2 − ejω 2 − e−jω
2(ejω + e−jω ) − 2 4 cos ω − 2
= 1+ jω −jω
=1+ 0 ≤ ω ≤ 2π
5 − 2(e + e ) 5 − 4 cos ω
2
G(ω)
0
0
ω π
2
ParĹdeigma: Xt = (− 12 )|t| t = 0, ±1, ±2, ...
Xt
−1 t
−5 0 5
Parìmoia me thn prohgoÔmenh perÐptwsh:

∞
∞ ∞
1 1 1
G(ω) = (− )|t| · e−jωt = (− ejω )t + 1 + (− e−jω )t
t=−∞
2 t=1
2 t=1
2
ejω e−jω 4 cos ω + 2 3
= 1− jω
− =1− = 0 ≤ ω ≤ 2π
2+e 2 + e−jω 5 + 4 cos ω 5 + 4 cos ω
G(ω)
0
π
ω
2
2.2 AnĹlush Sunartăsewn SuneqoÔc Qrìnou

2.2.1 AnĹlush Fourier Periodikÿn Sunartăsewn
(Seirèc Fourier; Fourier series)
[Suneqăc + periodikìc qrìnoc ⇔ diakrită suqnìthta]
àstw sunĹrthsh suneqoÔc qrìnou Xt pou eÐnai periodikă me perÐodo T:
X(t) = X(t + T )
2π
Jemeliÿdhc suqnìthta: ωo = T
Prìtash: JewroÔme thn omĹda twn armonikĹ sqetizìmenwn migadikÿn ekjetikÿn sunartăsewn:
ejκωo t κ = 0, ±1, ±2, ...
Oi sunartăseic autèc eÐnai periodikèc me perÐodo T.

EpÐshc eÐnai orjogÿniec se opoiodăpote diĹsthma măkouc T.
2.2. ANALUSH SUNARTHSEWN SUNEQOUS QRONOU 31
Apìdeixh:
2π
ejκωo (t+T ) = ejκωo t ejκωo ωo = ejκωo t · 1
EpÐshc:
T T
jκωo t −jωo t j(κ−)ωo t T κ=
e e dt = e dt =
0 0 0 κ =
fκ (t) f ∗ (t)
MporoÔme epomènwc na parastăsoume thn sunĹrthsh Xt wc:
∞

X(t) = G(κ) · ejκωo t (2.22)
κ=−∞
H sÔgklish thc seirĹc autăc prèpei na eÐnai omoiìmorfh (uniform). Ikanèc sunjăkec gia autì èqoun pro-
tajeÐ apì ton Dirichlet.
Sunjăkec Dirichlet gia periodikă X(t): Peperasmènh periodikă sunĹrthsh me peperasmèno arijmì akrìta-
twn se kĹje perÐodo kai peperasmèno arijmì asuneqeiÿn.
Tìte h seirĹ Fourier sugklÐnei sthn X(t) se kĹje shmeÐo sunèqeiac, kai ston mèso ìro tou dexioÔ kai
aristeroÔ orÐou gia kĹje shmeÐo asunèqeiac kai epitrèpetai h oloklărwsh katĹ ìrouc:
∞

X(t) · e−jωo t = G(κ) · ejκωo t e−jωo t ⇒
κ=−∞
T ∞ T
X(t)e−jωo t dt = G(κ) · ej(κ−)ωo t dt ⇒
0 κ=−∞ 0
⎧

⎪
⎨ = 0 gia κ =
⎪
⎩= 0 gia κ =
T
X(t)e−jωo t dt = T · G() ⇒
0
T
1
G(κ) = X(t) · e−jκωo t dt (2.23)
T 0
Sqèsh Parseval:
∞
∞ ∞
T T T
2 jκωo t
X (t)dt = X(t) G(κ) · e dt = G(κ) · X(t)ejκωo t dt = T · | G(κ) |2
0 0 κ=−∞ κ=−∞ 0 κ=−∞
T ·G∗ (κ)
ătoi:
T ∞

Enèrgeia = X 2 (t)dt = T · | G(κ) |2 (2.24)
0 κ=−∞
ParĹdeigma:
Ja qrhsimopoiăsoume thn morfă thc anĹlushc se hmÐtona kai sunhmÐtona. H morfă aută prokÔ-
ptei apì thn migadikă me thn antikatĹstash:
G(κ) = α(κ) + jb(κ)
opìte èqoume:
∞
∞

X(t) = α(κ) · cos(κωo t) − b(κ) · sin(κωo t)
κ=−∞ κ=−∞
ìpou: T
1
α(κ) = X(t) cos(κωo t)dt
T 0
T
1
b(κ) = − X(t) sin(κωo t)dt
T 0
Sto sugkekrimèno parĹdeigma èqoume b(κ)=0 ∀ κ ex aitÐac thc artiìthtac thc sunartăsewc X(t).
EpÐshc:
2π
1 π
α(0) = X(t)dt =
2π 0 2

π π
1 1 (−1)κ − 1 − κ22π κ : perittìc
α(κ) = t · cos(κt)dt = t · cos(κt)dt = =
2π −π π 0 κ2 π 0 κ : Ĺrtioc
Epomènwc ja èqoume:
π 2 cos(κt) π 4 cos(κt)
X(t) = − = −
2 π κ2 2 π κ2
κ: perittìc κ: perittìc, jetikìc 2
ParĹdeigma:
àqoume:

1 T /4
2π A sin κπ
G(κ) = A · e−j T κt
dt = · κπ 2
T −T /4 2 2
kai h anĹptuxh eÐnai:
∞
A sin κπ 2π
X(t) = · κπ 2 · cos(κ t)
κ=−∞
2 2 T
2
2.2. ANALUSH SUNARTHSEWN SUNEQOUS QRONOU 33
G(κ) 5
−1
−2
−10 −5 0 5
κ10
2.2.2 AnĹlush Fourier Mh Periodikÿn Sunartăsewn

(Metasqhmatismìc Fourier)
[Suneqăc qrìnoc ⇔ suneqăc suqnìthta]
JewreÐste th sunĹrthsh X(t):

= 0 − T2 ≤ t ≤ T2
X(t)
= 0 diaforetikĹ
OrÐzoume tìte th sunĹrthsh:
y(t) = X(t) − T2 ≤ t ≤ T
2
y(t + κT ) = y(t) κ = ±1, ±2, ±3, ...
Epeidă h y(t) eÐnai periodikă me perÐodo T ja èqoume:
∞
∆ 2π
y(t) = G(κ)ejκωo t ωo =
κ=−∞
T
T T
1 2 1 2
G(κ) = y(t) · e−jκωo t dt = X(t) · e−jκωo t dt
T − T2 T − T2
Antikajistÿntac th deÔterh sthn prÿth èqoume:
∞ ∞

ωo
T
2
jκωo t −jκωo u
y(t) = G(κ)e = x(u) · e du · ejκωo t
κ=−∞ κ=−∞
2π − T2
∞ T2 ∞
ωo jκωo (t−u) 1
= [ x(u) · e du] = H(κωo )ωo
κ=−∞
2π − T2 2π κ=−∞

H(κωo )
Kajÿc T → ∞ y(t) → X(t) ωo → 0, epomènwc:

+∞
1
X(t) = lim y(t) = H(ω)dω
T →∞ 2π −∞
ìpou: +∞
H(ω) = lim H(κωo ) = x(u) · ejκωo (t−u) du
T →∞ −∞
Epomènwc:
+∞ +∞
1
X(t) = x(u) · e−juω du ·ejωt dω ⇒
2π −∞ −∞

G(ω)
AntÐstrofoc Met/smoc Fourier:
+∞
1
X(t) = · G(ω) · ejωt dω (2.25)
2π −∞
Met/smoc Fourier:
+∞
G(ω) = X(t) · e−jωt dt (2.26)
−∞
Enallaktikèc morfèc:
+∞ +∞
1
X(t) = G(ω) · ejωt dω ⇔ G(ω) = X(t) · e−jωt dt
−∞ 2π −∞
+∞ +∞
1 1
X(t) = √ G(ω) · ejωt dω ⇔ G(ω) = √ X(t) · e−jωt dt
2π −∞ 2π −∞
ShmeÐwsh: Sunjăkec Dirichlet ikanèc gia thn Ôparxh tou Met/mou Fourier
Sthn parapĹnw anĹptuxh tou met/smou F ourier upetèjh ìti h X(t) eÐnai mhdèn gia t ∈ [−T /2, T /2].
An kai ta apotelèsmata isqÔoun gia kĹpoiec sunartăseic pou eÐnai mh mhdenikèc se ìlo to R, den
èqoun ìlec autèc met/smì F ourier. Mia qrăsimh omĹda ikanÿn sunjhkÿn gia thn Ôparxh tou
met/mou sthn perÐptwsh aută èqei protajeÐ apì ton Dirichlet:
+∞
1. X(t) apìluta oloklhrÿsimh, ătoi: −∞ | X(t) | dt < ∞
2. X(t) èqei peperasmèno arijmì akrìtatwn kai asuneqeiÿn se opoiodăpote peperasmèno diĹsth-
ma. 2
Sqèsh Parseval
+∞ +∞ +∞
1
Enèrgeia = X 2 (t)dt = G(ω) · ejωt dωX(t)dt
−∞ −∞ 2π −∞
+∞ +∞
1
= G(ω) · dω X(t) · ejωt dt
2π ω=−∞ t=−∞

G∗ (ω)
+∞
1
= | G(ω) |2 dω
2π −∞
ătoi:
+∞ +∞
1
X 2 (t)dt = | G(ω) |2 dω Sqèsh Parseval (2.27)
−∞ 2π −∞
2.3. TO FASMA (POWER SPECTRUM) 35
ParĹdeigma:
1
X(t)
0
−2 −1 0 1 2
t
+∞ 0 1
G(ω) = X(t) · e−jωt dt = (1 + t) · e−jωt dt + (1 − t) · e−jωt dt
−∞ −1 0
0 1
1 1 1 1 2
= (1 + t + ) · e−jωt + (1 − t − ) · e−jωt = (1 − cos ω)
−jω jω −1 −jω jω 0 ω2
4 ω
= · sin2
ω2 2
G(ω) 1
0.75
0.5
0.25
0
−20 −4π −2π 0 2π 4π ω
2.3 To FĹsma (Power Spectrum)

2.3.1 GenikĹ perÐ FĹsmatoc
Orismìc: àstw stoqastikă diergasÐa me apìluta ajroÐsimh sunĹrthsh autosummetablhtìthtac
(perÐptwsh diakritoÔ qrìnou) ă sunĹrthsh autosummetablhtìthtac pou plhroÐ tic sunjăkec Di-
richlet gia thn Ôparxh met/smou Fourier (perÐptwsh suneqoÔc qrìnou). Wc fĹsma (fĹsma isqÔoc)
anafèretai o katĹ perÐptwsh katĹllhloc met/moc Fourier thc sunĹrthshc autosummetablhtìth-
tac. Ÿtoi:
Diakritìc qrìnoc:
∞

S(ω) = γκ · e−jωκ (2.28)
κ=−∞
2π
1
γκ = S(ω) · ejωκ dω (2.29)
2π 0
Suneqăc qrìnoc:
+∞
S(ω) = γ(τ ) · e−jωτ dτ (2.30)
−∞
+∞
1
γ(τ ) = S(ω) · ejωτ dω (2.31)
2π −∞
Paratărhsh: H artiìthta thc sunĹrthshc autosummetablhtìthtac sunepĹgetai tic parakĹtw

enallaktikèc morfèc:
Diakritìc qrìnoc:
∞

S(ω) = γκ · cos(ωκ) (2.32)
κ=−∞
2π
1
γκ = S(ω) · cos(ωκ)dω (2.33)
2π 0
Suneqăc qrìnoc:
+∞
S(ω) = γ(τ ) · cos(ωτ )dτ (2.34)
−∞
+∞
1
γ(τ ) = S(ω) · cos(ωτ )dω (2.35)
2π −∞
2
Idiìthtec thc S(ω)
1. H S(ω) eÐnai pragmatikă mh-arnhtikă.
2. H S(ω) eÐnai Ĺrtia: S(ω) = S(−ω)

Sth diakrită perÐptwsh h S(ω) eÐnai kai periodikă:
S(ω) = S(ω + 2π)
Epomènwc to grĹfhmĹ thc sthn perÐptwsh aută parousiĹzetai sunăjwc sto diĹsthma [0,p].
3. (a) Diakritìc qrìnoc:

2π
1
γo = S(ω) · dω (2.36)
2π 0
(b) Suneqăc qrìnoc:

+∞
1
γ(0) = S(ω) · dω (2.37)
2π −∞
Ÿtoi to fĹsma S(ω) mporeÐ na ermhneujeÐ san h anĹlush thc diasporĹc thc stoqastikăc diergasÐac.
O ìroc S(ω) · dω eÐnai epomènwc h suneisforĹ sthn diasporĹ twn stoiqeÐwn ekeÐnwn thc diergasÐac me
suqnìthtec sto diĹsthma (ω, ω + dω).
4. To fĹsma kai h autosummetablhtìthta apoteloÔn èna zeÔgoc Fourier. H mia sunĹrthsh kajorÐzetai
epomènwc monadikĹ apì thn Ĺllh.
ParĹdeigma: àstw stoqastikă diergasÐa diakritoÔ qrìnou me autosummetablhtìthta:

|κ| |κ|
γκ = d1 · λ1 + d2 · λ2 ìpou κ = 0, ±1, ±2, ... kai | λ1 |< 1, | λ2 |< 1.
To fĹsma upologÐzetai wc exăc:
∞
∞
∞

−jωκ |κ| −jωκ |κ|
S(ω) = γκ · e = d1 · λ1 ·e + d2 · λ2 · e−jωκ
κ=−∞ κ=−∞ κ=−∞
∞ ∞
∞ ∞

−jω κ +jω κ −jω κ +jω κ
= d1 1 + (λ1 · e ) + (λ1 · e ) + d2 1 + (λ2 · e ) + (λ2 · e )
κ=1 κ=1 κ=1 κ=1
∞ ∞

= d1 1 + λ1 · e−jω (λ1 · e−jω )κ + λ1 · ejω (λ1 · ejω )κ
κ=0 κ=0
∞ ∞

−jω −jω κ jω jω κ
+d2 1 + λ2 · e (λ2 · e ) + λ2 · e (λ2 · e )
κ=0 κ=0

λ1 e−jω λ1 ejω λ2 e−jω λ2 ejω
= d1 1 + + + d 2 1+ +
1 − λ1 e−jω 1 − λ1 ejω 1 − λ2 e−jω 1 − λ2 ejω
2
ParĹdeigma: Grammikì kuklikì montèlo (linear cyclical model)
M

Xt = αi · sin(ωi t + Θi ) t = 0, ±1, ±2, ... − π ≤ ωi ≤ π (1 ≤ i ≤ M )
i=1
Θi : omoiìmorfa katanemhmènec sto diĹsthma [-p,p] kai anexĹrthtec.
M
M
π
1
E{Xt } = αi · E{sin(ωi t + θ)} = αi · sin(ωi t + θi )dθi = 0
i=1 i=1
2π −π
M
M

γκ = E{Xt Xt+κ } = αi αj · E{sin(ωi t + θ) · sin(ωj (t + κ) + θ)}
i=1 j=1
M

= αi2 · E{sin(ωi t + θ) · sin(ωi (t + κ) + θ)}
i=1
M
1 2
= α · E{cos(ωi κ) − cos(ωi (2t + κ) + 2θ)}
2 i=1 i
M
1 2
= α cos(ωi κ) κ = 0, ±1, ±2, ...
2 i=1 i
ParathroÔme ìti h γκ den eÐnai apìluta ajroÐsimh. Epiqeirÿntac upologismì tou met/smoÔ z
autăc èqoume:
∞
∞
M
1 2
S(ω) = γκ · e−jωκ = { α cos(ωi κ)} · e−jωκ
κ=−∞ κ=−∞
2 i=1 i
h opoÐa me:
1 jωi κ
cos(ωi κ) = [e + e−jωi κ ]
2
dÐnei:
M ∞ M
1 2 j(ωi −ω)κ αi2
S(ω) = αi [e + e−j(ωi +ω)κ ] = · [δ(ωi − ω) + δ(ωi + ω)] · 2π
4 i=1 κ=−∞ i=1
4
ìpou δ(·) h sunĹrthsh dèlta tou Dirac (“kroustikă sunĹrthsh” ).
To fĹsma autì eÐnai gnwstì san “diakritì fĹsma” (discrete specrum) ă “fĹsma grammÿn” (line spectrum). H
diadikasÐa thc morfăc autăc eÐnai problèyimh epakribÿc apì pareljoÔsec timèc thc kai onomĹzetai kajori-
stikă (deterministic).
ShmeÐwsh: Oi sunartăseic 1/2p kai d(w) apoteloÔn zeÔgoc met/smoÔ z. PrĹgmati, oi sqèseic tou
met/smoÔ z eÐnai: π
1
Xt = G(ω) · ejωt dω
2π −π
∞

G(ω) = Xt · e−jωt
t=−∞
H prÿth dÐnei gia G(ω) = δ(ω):

π
1 1
Xt = δ(ω) · ejωt dω =
2π −π 2π
kai epomènwc, sÔmfwna me thn deÔterh:

∞ ∞
1 −jωt
δ(ω) = e ⇒ e−jωt = 2πδ(ω)
2π t=−∞ t=−∞
2
ParĹdeigma: Leukìc jìruboc

a) Suneqăc qrìnoc:
2
γ(τ ) = σW · δ(τ )
+∞
2
S(ω) = σW · δ(τ ) · e−jωτ · dτ = σW
2
−∞
b) Diakritìc qrìnoc:
2
γκ = σW · δκ
+∞

2
S(ω) = (σW · δκ ) · e−jωκ = σW
2
κ=−∞
ParĹdeigma: FĹsma DiergasÐac MA(1)
Xt = Wt − θ · Wt−1 t ∈ (−∞, +∞)
2
E{Wt } = 0 E{Wt Ws } = σW · δt,s T : perÐodoc deigmatolhyÐac
⎧
⎪ 2 2
⎨(1 + θ ) · σW κ=0
2
γκ = θ · σ W κ = ±1
⎪
⎩
0 | κ |> 1
O met/mìc z thc autosummetablhtìthtac dÐnei:

+∞

S(ω) = γκ · e−jωT κ = θ · σW
2 −jωT
e 2
+ θ · σW · ejωT + (1 + θ2 ) · σW
2
κ=−∞
2
= 2 · θ · σW (e−jωT + ejωT )/2 + (1 + θ2 )σW
2
= {2 · θ · cos(ωT ) + (1 + θ2 )} · σW
2
2
ParĹdeigma: FĹsma DiergasÐac AR(1)
2
Xt − φ · Xt−1 = Wt t ∈ (−∞, +∞) E{Wt } = 0 E{Wt Ws } = σW · δt,s
| φ |< 1 (sunjăkh stasimìthtac) T : perÐodoc deigmatolhyÐac
2
σW
γκ = φ|κ| (∀κ)
1 − φ2
O met/mìc z thc autosummetablhtìthtac dÐnei:
+∞
2 +∞

σW
S(ω) = γκ · e−jωT κ = φ|κ| · e−jωT κ
κ=−∞
1 − φ2 κ=−∞
2 −1
∞
σW −κ −jωT κ
= { φ · e + 1 + φκ · e−jωT κ }
1 − φ2 κ=−∞ κ=1
2 ∞ ∞
σW jωT κ
= { (φe ) +1+ (φe−jωT )κ }
1 − φ2 κ=1 κ=1
2 ∞ ∞
σW jωT jωT κ −jωT
= {φe (φe ) + 1 + φe (φe−jωT )κ }
1 − φ2 κ=0 κ=0
2
σW 1 1
= {φejωT + 1 + φe−jωT } = ...
1 − φ2 1 − φejωT 1 − φe−jωT
2
σW
=
1 − 2φ cos(ωT ) + φ2
2
2
σW
Paratărhsh: limφ→1 S(ω) = 2(1−cos(ωT ))
h opoÐa sthn perioqă tou mhdenìc (ω → 0) dÐnei: limω→0 limφ→1 S(ω) = ∞
Epeidă h diergasÐa eÐnai mh stĹsimh gia φ = 1, gÐnetai antilhptì ìti sumperiforĹ tou tÔpou:
limω→0 S(ω) = ∞ endèqetai na upodeiknÔei mh stasimìthta. 2
ParĹdeigma: Stoqastikì săma se jìrubo.
JewreÐste metrăsimo săma Xt pou apoteleÐtai apì săma Yt kai jìrubo Wt , ătoi:
Xt = Yt + Wt
àstw Yt , Wt anexĹrthtec metaxÔ touc stoqastikèc diergasÐec

Yt = A me E{A} = 0 E{A2 } = σ 2 (∀t)
Wt : leukìc jìruboc me E{Wt } = 0 E{Wt2 } = σW
2
EpijumoÔme na upologÐsoume to fĹsma thc metrăsimhc stoqastikăc diergasÐac Xt .

àqoume:
E{Xt } = E{A} + E{Wt } = 0
E{Xt+κ Xt } = E{(A + Wt+κ )(A + Wt )} = E{A2 } + E{Wt+κ Wt } ⇒ γκx = σ 2 + γκW
Epomènwc h Xt eÐnai stĹsimh upì thn eureÐa ènnoia.

O met/mìc z thc parapĹnw dÐnei:
Sxx (ω) = σ 2 2πδ(ω) + Snn (ω) ⇒
Sxx (ω) = σ 2 2πδ(ω) + σW

2
δ(ω): dèlta tou Dirac
2.3.2 Eisagwgă sthn EktÐmhsh FĹsmatoc

DojeÐshc thc qronoseirĹc Xt (0 ≤ t ≤ N − 1) to periodìgramma (periodogram) orÐzetai apì th sqèsh:
1 2 1 N 2
−1
2π 2π
IN (κ · )= X(κ) = Xt · e−j N κt (0 ≤ κ ≤ N − 1) (2.38)
N N N t=0
ìpou X(κ) o diakritìc met/mìc Fourier thc Xt (0 ≤ t ≤ N − 1).
Parathrăseic:
1. H parapĹnw sqèsh orismoÔ mporeÐ na genikeujeÐ gia kĹje suqnìthta w (antÐ twn suqnotătwn
Fourier κ· 2πN ) upojètontac Xt = 0 t ∈ [0, N −1] kai antikajistÿntac ton diakritì met/smì
Fourier me ton met/mì z:
1 2 1 N 2
−1

IN (ω) = X(ω) = Xt · e−jωt (−π ≤ ω ≤ π) (2.39)
N N t=0
2. ErmhneÐa tou periodogrĹmmatoc

JewreÐste thn ektimătria thc autosummetablhtìthtac:
N −1−|κ|
1
γ̂xx (κ) = Xt Xt+κ (2.40)
N t=0
ApodeiknÔetai ìti to periodìgramma apoteleÐ diakritì met/mì Fourier (ă met/mì z) thc ekti-
mătriac γ̂xx (κ), ătoi:
N
−1
IN (ω) = γ̂xx (κ) · e−jωκ (2.41)
κ=−(N −1)
Apìdeixh:
N −1−|κ|
1 1
γ̂xx (κ) = Xt Xκ−(−t) = · Xκ ∗ X−κ
N t=0
N
ìpou h prĹxh ∗ dhlwnei sunèlixh.

O met/mìc z thc parapĹnw dÐnei:
1 1 2

Z[γ̂xx (κ)] = · X(ω) · X ∗ (ω) = X(ω) = IN (ω)
N N
z
dedomènou ìti gia Xt ↔ X(ω) isqÔei X−t ↔ X ∗ (ω). Stic ekfrĹseic autèc o ekjè-
thc ∗ upodhlÿnei migadikă suzugă posìthta.
PrĹgmati:

X(ω) = X(ejω ) = Xt e−jωt
t
Ăra

X−t e−jωt = Xt ejωt = X(e−jω ) = X ∗ (ω)
t t
2.3.3 Mèjodoi ExomĹlunshc tou PeriodogrĹmmatoc

A. Mèjodoc Bartlett - Mèsh timă periodogrammĹtwn (Averaging Periodograms)
H diasporĹ tou periodogrĹmmatoc meiÿnetai me mèsh timă anexartătwn periodogrammĹtwn.
àstw Xt t ∈ [0, N − 1]. QwrÐzoume ta dedomèna se κ tmămata (segments), kajèna măkouc L. Tìte:
N = κ · L. SqhmatÐzoume ta tmămata:
(i)
Xt = Xt+iL−L t ∈ [0, L − 1] i ∈ [1, κ] (2.42)
UpologÐzoume ta κ periodogrĹmmata:
1 (i) −jωt 2

L−1
(i)
IL (ω) = X e i ∈ [1, κ] (2.43)
L t=0 t
(i)
Upojètontac ìti γxx (κ) ≈ 0 gia | κ |> L, eÐnai logikì na upojèsoume ìti ta periodogrĹmmata IL (ω) eÐnai
metaxÔ touc anexĹrthta. To fĹsma tìte ektimĹtai wc:
κ
1 (i)
B(ω) = I (ω) (2.44)
κ i=1 L
Paratărhsh: H diakrisimìthta (resolution) thc fasmatikăc ektimătriac B(w) eÐnai 1/L kÔkloi
ana deÐgma. EÐnai safèc ìti gia auxhmènh diakrisimìthta apaiteÐtai megĹlo L, enÿ gia meÐwsh thc
diasporĹc megĹlo κ. Oi apaităseic autèc eÐnai profanÿc antikrouìmenec. Mia strathgikă pou a-
koloujeÐtai suqnĹ sthn prĹxh eÐnai o upologismìc pollÿn ektimăsewn me diadoqikĹ auxanìmeno L
(meioÔmeno κ). Efìson h ektÐmhsh paÔsei na allĹzei shmantikĹ kajÿc to L auxĹnei, antilambanì-
maste ìti h diakrisimìthta eÐnai eparkăc (èqei apokalufjeÐ h fasmatikă leptomèreia eparkÿc). H
strathgikă aută onomĹzetai "kleÐsimo parajÔrou"(window closing) kai prèpei na qrhsimopoieÐtai
me prosoqă lìgw thc aÔxhshc thc diasporĹc pou sunepĹgetai h aÔxhsh tou L. 2
B. Mèjodoc twn Blackman kai Tukey
H mh ikanopoihtikă sumperiforĹ tou periodogrĹmmatoc ofeÐletai sthn mh ikanopoihtikă sumperiforĹ thc

ektimătriac γ̂xx (κ) gia megĹla κ (mikrìc arijmìc ìrwn upeisèrqetai sto Ĺjroisma s’ aută thn perÐptwsh).
Mia dunată antimetÿpish tou problămatoc autoÔ mporeÐ na eÐnai h qrăsh suntelestÿn barÔthtac pou dÐnoun
meiwmènh shmasÐa sta megĹla κ.
MajhmatikĹ odhgoÔmaste se fasmatikă ektÐmhsh thc morfăc:
N
−1
ŜBT (ω) = w(κ) · γ̂xx (κ) · e−jωκ (2.45)
κ=−(N −1)
ìpou w(κ) eÐnai mia pragmatikă akoloujÐa apokaloÔmenh parĹjuro kajustèrhshc (lag window) ă parĹjuro
autosummetablhtìthtac. H parapĹnw ektimătria onomĹzetai fasmatikă ektimătria twn Blackman kai Tukey.
Idiìthtec tou w(κ):

α. 0 ≤ w(κ) ≤ w(0) ≡ 1
β. w(−κ) = w(κ)
γ. w(κ) = 0 gia | κ |> M
Parathrăseic:
1. Fasmatikă ErmhneÐa thc ŜBT (ω). Dedomènou ìti o pollaplasiasmìc antistoiqeÐ se sunèlixh
ston met/mì Fourier èqoume ìti:
π
1
ŜBT (ω) = W (ω − x) · IN (x)dx (2.46)
2π −π
ìpou:
N
−1
W (ω) = Z[w(κ)] = w(κ) · e−jω
κ=−(N −1)
IN (ω) = Z[γ̂xx (κ)] : periodìgramma

Epomènwc h fasmatikă ektimătria twn Blackman-Tukey antistoiqeÐ se exomĹlunsh tou perio-
dogrĹmmatoc mèsw sunèlixhc me katĹllhlo fasmatikì parĹjuro (spectral window).
ParathreÐste ìti to fasmatikì parĹjuro kai to parĹjuro autosummetablhtìthtac apote-
loÔn zeÔgoc met/moÔ z:
z
w(κ) ↔ W (ω)
2. EĹn epijumoÔme h ektimătria ŜBT (ω) na eÐnai mh arnhtikă, ătoi:
ŜBT (ω) ≥ 0 (∀ω)
ja prèpei h akouloujÐa w(κ) · γ̂xx (κ) na eÐnai mh arnhtikĹ orismènh.

Gia thn ektimătria γ̂xx (κ) pou eÐnai mh arnhtikĹ orismènh, autì sunepĹgetai parĹjuro au-
tosummetablhtìthtac w(κ) mh arnhtikĹ orismèno ă isodÔnama mh arnhtikì fasmatikì pa-
rĹjuro W (ω). Ÿtoi:
W (ω) ≥ 0 (∀ω) ⇔ w(κ) : mh arnhtikĹ orismènh.
2
TupikĹ ParĹjura
1. Orjogÿnio parĹjuro (rectangular window)

R 1 | κ |≤ M sin(ωM + ω/2)
w (κ) = W R (ω) = (2.47)
0 | κ |> M sin(ω/2)
R
w (κ) 25
WR(ω)
1
20
0.8
15
0.6
10
0.4
5
0.2
0
0
−5
−20 0 20 −4 0 4
−M M −π π
κ ω
2. ParĹjuro Bartlett

B 1 − |κ|
M | κ |≤ M
w (κ) = (2.48)
0 | κ |> M
2
1 sin(ωM/2)
W B (ω) = (2.49)
M sin(ω/2)
1 500
R R
w (κ) G (ω)
0.75
0.5 250
0.25
0 0
−15
−M
0 M 15 −4 −π 0 π 4
κ ω
3. ParĹjuro Blackman-Tukey

T 1 − 2 · α + 2 · α · cos(πκ/M ) | κ |≤ M
w (κ) = (2.50)
0 | κ |> M
sin[(ω − π/M )(M + 1/2)] sin[ω · (M + 1/2)]
W T (ω) = α · + (1 − α) · +
sin[(ω − π/M )/2] sin(ω/2)
sin[(ω + π/M )(M + 1/2)]
+α · (2.51)
sin[(ω + π/M )/2]
Gia a=0.23 èqoume to parĹjuro Hamming.
Gia a=0.25 èqoume to parĹjuro Hanning.
1 12
wT(κ) WT(ω)
10
0.8
0.6
6
4
0.4
0.2
0
0 −2
−15 −M 0 M 15 −4 −π 0 π 4
κ ω
4. ParĹjuro Parzen
⎧
⎪ 2 3
⎨1 − 6(κ/M ) + 6(| κ | /M ) | κ |≤ M/2
p
w (κ) = 2(1− | κ | /M )3 M/2| κ |≤ M (2.52)
⎪
⎩
0 | κ |> M
Gia Ĺrtio M:
4 !
p 3 sin(ωM/4) 2 2
W (ω) = · 1 − [sin(ω/2)] (2.53)
4M 3 12 sin(ω/2) 3
1 8
wP(κ) WP(ω)
0.8
6
0.6
0.4
2
0.2
0 0
−15 −M 0 M 15 −4 −π 0 π 4
κ ω
G. Mèjodoc Welch
H mèjodoc Welch basÐzetai sto periodìgramma allĹ qrhsimopoieÐ parĹjura dedomènwn kai epikaluptìmenh
tmhmatopoÐhsh (segmentation). To posostì epikĹluyhc (overlap) suqnĹ epilègetai 50% ă 75%.
àstw qronoseirĹ Xt t ∈ [0, N − 1], ătoi măkouc N. QwrÐzoume ta dedomèna se κ tmămata (segments),
kajèna măkouc L, me proÿjhsh kĹje tmămatoc katĹ D dedomèna. Tìte:
N = L + (κ − 1) · D
OrÐzoume thn qronoseirĹ tou i tmămatoc wc:
(i)
Xt = Xt+(i−1)D t ∈ [0, L − 1], i = 1, 2, ..., κ
Gia kĹje tètoia qronoseirĹ upologÐzoume to tropopoihmèno periodìgramma:
1 2
L−1
(i) (i)
IL (ω) = wt · Xt · e−jωt (−π ≤ ω ≤ π) (2.54)
L t=0
ìpou wt parĹjuro dedomènwn (data window) t ∈ [0, L − 1]
To fĹsma Welch upologÐzetai wc:
κ
1 (i)
Ŝw (ω) = I (ω) (2.55)
κ i=1 L
Paratărhsh: Ta parĹjura dedomènwn prokÔptoun apì ta parĹjura autosummetablhtìthtac me

metakÐnhsh dexiĹ katĹ M (oÔtwc ÿste na eÐnai mh mhdenikĹ gia timèc sto [0,2M]) kai antikatĹstash
tou M me (L − 1)/2 (tou L thc mejìdou Welch upotijèmenou perittoÔ). O met/mìc Fourier eÐnai
o anaferìmenoc sthn mèjodo Blackman − Tukey allĹ pollaplasiasmènoc me e−jωM lìgw thc
metakÐnhshc dexiĹ katĹ M (M edÿ thc mejìdou Blackman − Tukey). 2

2.4.1 To Săma TalĹntwshc sto PedÐo Suqnotătwn
H metĹbash apì to pedÐo tou qrìnou sto pedÐo suqnotătwn basÐzetai ston metasqhmatismì Fourier. SunhjÐzetai
na deÐqnetai to diĹgramma tou mètrou kai thc fĹshc se sunĹrthsh me thn suqnìthta. To eÔroc suqnotătwn pou
dÐnei o diakritìc Fourier (DFT) eÐnai apì mhdèn èwc th suqnìthta deigmatolhyÐac (fs ). Lìgw ìmwc summetrÐac
(artiìthtac tou mètrou tou DFT) ta grafămata deÐqnontai èwc fs /2 (Sqămata 2.2 kai 2.3). Gia ton DFT èqoun
qrhsimopoihjeÐ 2000 shmeÐa, etsi lambĹnontai 2000 suqnìthtec. Qrăsimec ìmwc eÐnai oi misèc, ftĹnontac mèqri
ta 250Hz (fs /2) me apotèlesma h epitugqanìmenh diakrisimìthta wc proc th suqnìthta na eÐnai 0.25Hz.
1000
900
800
700
600
Amplidude
500
400
300
200
100
0
0 50 100 150 200 250
Frequency (Hz)
Sqăma 2.2: GrĹfhma mètrou tou DFT.
1
Phase (rad)
−1
−2
−3
−4
0 50 100 150 200 250
Frequency (Hz)
Sqăma 2.3: GrĹfhma fĹshc tou DFT.
Apì ta parapĹnw grafămata (entolèc Matlab: fft.m, ginput.m) mporoÔme na ektimăsoume grafikĹ (pro-
seggistikĹ) tic suqnìthtec thc dokoÔ wc exăc:
fr = 74.86 Hz
fr = 99.81 Hz
fr = 142.99 Hz
2.4.2 Săma TalĹntwshc wc UlopoÐhsh Stoqastikăc DiergasÐac (PedÐo Suqnotătwn)

Periodìgramma
Mia prÿth ektimătria tou fĹsmatoc thc stoqastikăc diergasÐac dÐnetai apì to periodìgramma (Sqăma 2.4).
60
40
20
Magnitude ( dB )
−20
−40
−60
−80
−100
0 50 100 150 200 250
Frequency ( Hz )
Sqăma 2.4: Periodìgramma tou sămatoc.
Apì to periodìgramma (Sqăma 2.4) ektimÿntai (proseggistikĹ) oi parakĹtw suqnìthtec:
fr = 72.94 Hz
fr = 96.93 Hz
fr = 140.12 Hz
EktÐmhsh FĹsmatoc me thn mèjodo Welch
40
20
0
Spectrum ( dB )
−20
−40
−60
−80
0 50 100 150 200 250
Frequency ( Hz )
Sqăma 2.5: EktÐmhsh fĹsmatoc me thn mèjodo Welch.
To fĹsma ektimĹtai mèsw thc mejìdou Welch (entolă Matlab: psd.m) sto Sqăma 2.5. H ektÐmhsh aută èqei
prokÔyei me qrăsh parajÔrou (time window) Hamming me măkoc 128 kai epikĹluyh (overlap) 64. Gia ton FFT
qrhsimopoiăjhkan 2000 shmeÐa (me prosjăkh mhdenikÿn apo to 129 èwc to 2000). Ektimÿntai (grafikĹ) oi
parakĹtw suqnìthtec:
fr = 71.98 Hz
fr = 97.41 Hz
fr = 140.12 Hz
EktÐmhsh FĹsmatoc me thn mèjodo Blackman-Tukey

Mia Ĺllh enallaktikă mèjodoc gia thn ektÐmhsh tou fĹsmatoc eÐnai h mèjodoc Blackman-Tukey (entolă Matlab:
spa.m).
40
30
20
10
Spectrum ( dB )
−10
−20
−30
−40
−50
−60
0 50 100 150 200 250
Frequency ( Hz )
Sqăma 2.6: EktÐmhsh fĹsmatoc me thn mèjodo Blackman-Tukey.
H ektÐmhsh fĹsmatoc tou Sqămatoc 2.6 prokÔptei me qrăsh parajÔrou Hamming măkouc 128 dedomènwn.
En suneqeÐa mporoÔn grafikĹ na ektimhjoÔn oi suqnìthtec thc dokoÔ:
fr = 71.98 Hz
fr = 97.41 Hz
fr = 139.64 Hz
SugkrÐnontac ta diagrĹmmata twn SqhmĹtwn 2.5 kai 2.6 sto Sqăma 2.7, diapistÿnetai ìti dÐnoun ousiastikĹ
tic Ðdiec epikratoÔsec suqnìthtec gia to săma, kĹti to opoÐo ătan Ĺllwste kai anamenìmeno.
40
Welch
Blackman
20
0
Spectrum ( dB )
−20
−40
−60
−80
0 50 100 150 200 250
Frequency ( Hz )
Sqăma 2.7: EktÐmhsh fĹsmatoc me thn mèjodo Blackman-Tukey kai Welch.

KefĹlaio 3
StĹsimec Stoqastikèc DiergasÐec:

Montèla ARMA
3.1 H Genikă Morfă Grammikăc StĹsimhc Stoqastikăc DiergasÐac

O Wold apèdeixe ìti mia stĹsimh stoqastikă diadikasÐa pou den perièqei kajoristikă sunistÿsa mporeÐ na
grafeÐ sthn parakĹtw morfă (parĹstash Wold; Wold decomposition/representation; parĹstash kinhtoÔ mèsou
ìrou; Moving Average (MA) representation)
Xt = Wt + G1 Wt−1 + G2 Wt−2 + ... ⇐⇒
∞
∆
Xt = Gj Wt−j Go = 1 (3.1)
j=0
ìpou upotÐjetai ìti h mèsh timă thc Xt eÐnai mhdèn (èqei afairejeÐ eĹn eÐnai mh mhdenikă), kai h akoloujÐa
Wt eÐnai akoloujÐa leukoÔ jorÔbou me mhdenikă mèsh timă, ătoi:
2
E{Wt } = 0 E{Wt−i Wt−j } = δij · σW (3.2)
2
ìpou σW eÐnai h diasporĹ thc akoloujÐac Wt , kai δij to dèlta tou Kronecker:

0 i = j
δij =
1 i=j
Parathrăseic:
1. H parapĹnw parĹstash MA noeÐtai ìti isqÔei san ìrio katĹ thn ènnoia thc mèshc tetragw-
nikăc timăc (mean square limit)
2. H akoloujÐa Gj apoteleÐ barutikă akoloujÐa. EÐnai profanèc ìti h parĹstash Wold apo-
teleÐ sunèlixh Xt = Gt ∗ Wt . 2
Mèsh timă thc Xt .
MporoÔme na pĹroume thn majhmatikă mèsh timă thc parĹstashc MA upì thn proôpìjesh ìti:
∞

| Gj |< ∞ (3.3)
j=0
kai èqoume, katĹ ta anamenìmena:

E{Xt } = 0 (3.4)
51
52 KEFALAIO 3. STASIMES STOQASTIKES DIERGASIES: MONTELA ARMA
DiasporĹ thc Xt .
TetragwnÐzontac thn parĹstash MA kai paÐrnontac majhmatikă mèsh timă èqoume:

∞
∞
∞
∞
E{Xt2 } = E{ Gj Wt−j Gκ Wt−κ } = Gj Gκ E{Wt−j Wt−κ }
j=0 κ=0 j=0 κ=0
∞

upì thn proôpìjesh, bebaÐwc, thc sunjăkhc | Gj |< ∞ .
j=0
2
Epeidă ìmwc: E{Wt−j Wt−κ } = δjκ · σW h parapĹnw grĹfetai:
∞

E{Xt2 } = 2
G2j · σW (3.5)
j=0
Autosummetablhtìthta thc Xt .
∞
∞

γκ = E{Xt Xt+κ } = E{ Gi Wt−i Gj Wt−j+κ }
i=0 j=0
∞
∞
= Gi Gj E{Wt−i Wt−j+κ } [upì thn proôpìjesh thc sunjăkhc (3.3)]
i=0 j=0
∞
∞ ∞

2 2
= G i Gj σ W δi,−κ+j =⇒ γκ = Gi Gi+κ σW (3.6)
i=0 j=0 i=0
Anhgmènh autosummetablhtìthta κ .
∞
i=0 Gi Gi+κ

Kajÿc κ = γκ /γ0 : κ = ∞ 2 (3.7)
i=0 Gi
Stasimìthta thc Xt (upì thn eureÐa ènnoia).

Apì tic sqèseic (3.4) kai (3.5) eÐnai
∞ safèc ìti tìso h mèsh timă ìso kai h diasporĹ eÐnai anexĹrthtec tou
qrìnou, kai peperasmènec efìson j=0 | Gj |< ∞, h opoÐa kai sunepĹgetai thn anagkaÐa gia peperasmènh
∞
diasporĹ sunjăkh j=0 G2j < ∞.
EpÐshc kai h autosummetablhtìthta γκ eÐnai anexĹrthth tou qrìnou, kai arkeÐ, epomènwc, na eÐnai pepe-
rasmènh. Apì thn anisìthta Schwartz1 èqoume:
∞

2
| γκ |=| E{Xt Xt+κ } |≤ Var(Xt ) · Var(Xt+κ ) = σW G2j
j=0
kai eÐnai epomènwc kai aută peperasmènh upì thn proôpìjesh thc sunjăkhc 3.3.
Epomènwc, gia stasimìthta èqoume:
≤ Var(X)·Var(Y) ⇔| xy |≤ 1 Apìdeixh: E{[(αX + Y) − (αµx + µy )]2 } = α2 · Var(X)+

1 ShmeÐwsh: Anisìthta Schwartz Cov2 (X, Y)
2αCov(X, Y) + Var(Y) ≥ 0∀α ∈ R. Epomènwc h diakrÐnousa tou poluwnÔmou: ∆ = 4 · Cov2 − 4 · Var(X)Var(Y) ≤ 0.

3.1. H GENIKH MORFH GRAMMIKHS STASIMHS STOQASTIKHS DIERGASIAS 53
Sunjăkh Stasimìthtac:
∞

| Gj |< ∞ (3.8)
j=0
Paratărhsh: äpwc ădh anafèrjhke h parĹstash MA apoteleÐ Ĺjroisma sunèlixhc twn akolou-
jiÿn Gt kai Wt , ătoi:
X t = Gt ∗ W t (3.9)
Epomènwc h qronoseirĹ Xt mporeÐ na jewrhjeÐ ìti parĹgetai apì grammikì, diakritoÔ qrìnou sÔsthma me
barutikă sunĹrthsh Gt , ìtan autì diegeÐretai apì akoloujÐa leukoÔ jorÔbou. 2
Gennătria SunĹrthsh ă SunĹrthsh MetaforĹc (Generating Function or Transfer Function).
H gennătria sunĹrthsh orÐzetai wc:
∞

∆ ∆
G(B) = Gj B j Go = 1 (3.10)
j=0
ìpou B telestăc (backshift operator): B · Xt = Xt−1 . Genikìtera B κ · Xt = Xt−κ
Qrhsimopoiÿntac ton telestă B h parĹstash MA grĹfetai wc exăc:
Xt = (1 + G1 B + G2 B 2 + ...)Wt ⇒
Xt = G(B) · Wt (3.11)
Sunjăkh stasimìthtac: Jewrÿntac ton telestă B san migadikă metablhtă, h sunjăkh stasimìthtac (3.8)
isodunameÐ me:
G(B) : analutikă gia | B |≤ 1 (3.12)
ătoi analutikìthta thc G(B) epÐ kai entìc tou monadiaÐou kÔklou sto migadikì epÐpedo (sÔgklish thc G(B)
gia | B |≤ 1).
Gennătria SunĹrthsh Autosummetablhtìthtac (Autocovariance generating function).
H gennătria sunĹrthsh autosummetablhtìthtac orÐzetai wc:
∞

∆
γ(B) = γκ · B κ (3.13)
κ=∞
H gennătria sunĹrthsh mporeÐ na upologisjeÐ wc exăc:

∞
∞

2
γ(B) = σW Gi Gi+κ · B κ
κ=−∞ i=0
∞
∞
2 ∆
= σW Gi Gj · B j−i (j = i + κ)
i=0 j=0
∞ ∞

2
= σW Gj · B j · Gi · B −i ⇒
j=0 i=0
2
⇒ γ(B) = σW · G(B) · G(B −1 ) (3.14)
ìpou qrhsimopoiăjhke h sunjăkh stasimìthtac kai to gegonìc ìti Gj = 0 (j < 0).
H gennătria sunĹrthsh anhgmènhc autosummetablhtìthtac mporeÐ na orisjeÐ wc:
∞

∆ γ(B)
(B) = κ B κ = (3.15)
κ=−∞
γo
To FĹsma (Spectrum).
Upì thn upìjesh thc stasimìthtac, to fĹsma dÐnetai apì thn sqèsh:
∞

S(ω) = γκ · e−jωκ (0 < ω < 2π) (3.16)
κ=−∞
SugkrÐnontac th sqèsh aută me thn gennătria sunĹrthsh autosummetablhtìthtac, èqoume:
S(ω) = γ(e−jω ) =| G(e−jω ) |2 ·σW

2
(3.17)
3.2 ParĹstash Autopalindrìmhshc - Antistreyimìthta

Orismènec stoqastikèc diadikasÐec mporoÔn na grafoÔn se parĹstash Autopalindrìmhshc (AutoRegressive
representation) AR:
Xt = I1 · Xt−1 + I2 · Xt−2 + ... + Wt ⇒
⇒ Xt − I1 · Xt−1 − ... = Wt (3.18)

ìpou h sunjăkh sugklÐsewc eÐnai:
∞

1+ | Ij |< ∞ (3.19)
j=1
H sunjăkh aută lègetai sunjăkh antistreyimìthtac.
H Ij (j = 0, 1, 2, ...) anafèretai wc antÐstrofh sunĹrthsh (inverse function).

3.3. MONTELA AR, MA, ARMA 55
Gennătria SunĹrthsh Antistrìfou (Inverse Generating Function).
H gennătria sunĹrthsh antistrìfou orÐzetai wc:
∞

I(B) = 1 − Ij · B j (3.20)
j=1
H parĹstash autopalindrìmhshc mporeÐ tìte na grafeÐ wc exăc:
(1 − I1 B − I2 B 2 − ...)Xt = Wt ⇒ I(B) · Xt = Wt (3.21)

Sunjăkh antistreyimìthtac: H sunjăkh antistreyimìthtac (3.19) isodunameÐ me:
I(B) : analutikă gia | B |≤ 1 (3.22)

Sqèsh metaxÔ parastĹsewn MA kai AR:
→ ParĹstash MA : Xt = G(B) · Wt (3.23)
→ ParĹstash AR : I(B) · Xt = Wt (3.24)

EÐnai profanèc ìti:
G(B) · I(B) = 1 (3.25)
3.3 Montèla AR, MA, ARMA

Ta montèla MA proèrqontai apì thn parĹstash MA ìtan diathreÐtai peperasmènoc arijmìc ìrwn. To montèlo
MA(m) (tĹxewc m) dièpetai epomènwc apì thn sqèsh:
Xt = Wt − θ1 W1 − ... − θm Wt−m ⇔
⇔ Xt = (1 − θ1 B − θ2 B 2 − ... − θm B m ) · Wt (3.26)
Ta montèla AR proèrqontai apì thn parĹstash AR ìtan diathreÐtai peperasmènoc arijmìc ìrwn. To
montèlo AR(n) (tĹxewc n) dièpetai apì th sqèsh:
Xt − φ1 Xt−1 − ... − φn Xt−n = Wt ⇔
⇔ (1 − φ1 B − ... − φn B n ) · Xt = Wt (3.27)
Ta montèla ARMA apoteloÔn sunduasmì twn dÔo prohgoumènwn tÔpwn. To montèlo ARMA(n, m) dièpetai
apì th sqèsh:
Xt − φ1 Xt−1 − ... − φn Xt−n = Wt − θ1 Wt−1 − ... − θm Wt−m ⇔
⇔ (1 − φ1 B − ... − φn B n ) · Xt = (1 − θ1 B − θ2 B 2 − ... − θm B m ) · Wt (3.28)

OrÐzontac ta poluÿnuma:
∆
Φ(B) = 1 − φ1 B − ... − φn B n (3.29)
∆
Θ(B) = 1 − θ1 B − θ2 B 2 − ... − θm B m (3.30)
Θ(B) Φ(B)
èqoume: Φ(B) · Xt = Θ(B) · Wt ⇒ Xt = Φ(B) · Wt kai Wt = Θ(B) · Xt
Epomènwc:
Θ(B)
G(B) = (3.31)
Φ(B)
Φ(B)
I(B) = (3.32)
Θ(B)
me thn proôpìjesh, bèbaia, ìti h prokÔptousa I(B) eÐnai analutikă gia | B |≤ 1.
Oi ekfrĹseic autèc upodeiknÔoun ìti ta montèla AR, MA, ARMA ousiastikĹ parametropoioÔn, mèsw
peperasmènou arijmoÔ paramètrwn, tic parastĹseic AR kai MA stĹsimhc stoqastikăc diergasÐac. Me ton
trìpo autì h stoqastikă diergasÐa perigrĹfetai apì n + m paramètrouc, n paramètrouc ă m paramètrouc
(perÐptwsh montèlou ARMA, AR, MA antÐstoiqa) antÐ thc apeÐrwn ìrwn seirĹc pou apaitoÔn oi parastĹseic
AR kai MA.
3.4 Upologismìc Qarakthristikÿn twn Montèlwn ARMA

àna montèlo ARMA mporeÐ na grafteÐ wc exăc:
Xt − φ1 Xt−1 − ... − φn Xt−n = Wt − θ1 Wt−1 − ... − θm Wt−m

2
ìpou Wt ∼ N ID(0, σW ). EĹn qrhsimopoiăsoume ton telestă B èqoume:
(1 − φ1 B − ... − φn B n ) · Xt = (1 − θ1 B − θ2 B 2 − ... − θm B m ) · Wt
OrÐzontac ta poluÿnuma:
∆
Φ(B) = 1 − φ1 B − ... − φn B n
∆
Θ(B) = 1 − θ1 B − ... − θm B m
èqoume:
Xt Θ(B)
Φ(B) · Xt = Θ(B) · Wt ⇒ =
Wt Φ(B)
pou apoteleÐ thn sunĹrthsh metaforĹc tou montèlou.
OrÐzoume to poluÿnumo G(B) wc exăc:
∞
∆ Θ(B)
G(B) = Go + G1 B + G2 B 2 + ... = Gj · B j = (3.33)
j=0
Φ(B)
H akoloujÐa {Gj }∞
j=0 onomĹzetai SunĹrthsh Green. ParathroÔme ìti pĹnta Go = 1.
3.4. UPOLOGISMOS QARAKTHRISTIKWN TWN MONTELWN ARMA 57
3.4.1 Upologismìc thc Barutikăc SunĹrthshc

Mèjodoc 1h: SÔmfwna me thn sqèsh (3.33) prokÔptei apì thn diaÐresh twn poluwnÔmwn Θ(B) kai Φ(B).
Mèjodoc 2h: Apì th sqèsh (3.33) èqoume:
Φ(B) · G(B) = Θ(B)

Exisÿnontac touc suntelestèc twn poluwnÔmwn èqoume:
Go = 1
G1 − φ1 Go = −θ1
G2 − φ1 G1 − φ2 Go = −θ2
G3 − φ1 G2 − φ2 G1 − φ3 Go = −θ3
..
.
Gm − φ1 Gm−1 − ... − φm Go = −θm
Gm+1 − φ1 Gm − ... − φm G1 − φm+1 Go = 0

..
.
Gj − φ1 Gj−1 − ... − φn Gj−n = 0
ìpou upojèsame ìti n > m.
Mèjodoc 3h: AnalÔoume to poluÿnumo Φ(B) ìpwc faÐnetai parakĹtw:
Φ(B) = (1 − λ1 B)(1 − λ2 B)...(1 − λn B) (3.34)

Tìte h G(B) grĹfetai wc exăc gia (n > m):
n
Θ(B) g1 g2 gn gκ
G(B) = = + + ... + = (3.35)
Φ(B) 1 − λ1 B 1 − λ2 B 1 − λn B κ=1
1 − λκ B
ìpou λκ oi rÐzec tou qarakthristikoÔ poluwnÔmou ă tou poluwnÔmou AR. En suneqeÐa:
n
∞
∞
n ∞

G(B) = gκ (λκ B)j = ( gκ λjκ )B j = Gj B j (3.36)
κ=1 j=0 j=0 κ=1 j=0
Apì thn exÐswsh aută prokÔptei:

n

Gj = gκ λjκ (j = 0, 1, 2, ...) (3.37)
κ=1
Ta upìloipa gκ dÐnontai apì thn sqèsh:

Θ(B)
gκ = · (1 − λκ B)
Φ(B) B=λ−1
κ
ShmeÐwsh: Efìson Go = 1 ta upìloipa gκ den eÐnai algebrikÿc anexĹrthta allĹ ikanopoioÔn thn sqèsh:
Go = g1 + g2 + ... + gn = 1 2
3.4.2 Upologismìc thc AntÐstrofhc SunĹrthshc

Gia èna montèlo ARMA orÐzoume to poluÿnumo
∞
∆ Φ(B)
I(B) = −Io − I1 B − I2 B 2 − ... = − Ij · B j = (3.38)
j=0
Θ(B)
H akoloujÐa {+Ij }∞
j=0 onomĹzetai antÐstrofh sunĹrthsh tou montèlou ARMA
ParathroÔme ìti pĹnta Io = −1.
Mèjodoc 1h: SÔmfwna me thn sqèsh (3.38) prokÔptei apì thn diaÐresh twn poluwnÔmwn Φ(B) kai Θ(B).
Mèjodoc 2h: Apì th sqèsh (3.38) èqoume:
Θ(B) · I(B) = Φ(B)

exisÿnontac touc suntelestèc twn poluwnÔmwn èqoume:
Io = −1
I1 − θ1 Io = φ1
I2 − θ1 I1 − θ2 Io = φ2
I3 − θ1 I2 − θ2 I1 − θ3 Go = φ3
..
.
Im − θ1 Im−1 − ... − θm Io = φm
Im+1 − θ1 Im − ... − θm I1 − θm+1 Io = 0

..
.
Ij − θ1 Ij−1 − ... − θn Ij−n = 0
ìpou upojèsame ìti n > m.

Mèjodoc 3h: AnalÔoume to poluÿnumo Θ(B) ìpwc faÐnetai parakĹtw:
Θ(B) = (1 − ν1 B)(1 − ν2 B)...(1 − νm B) (3.39)

tìte h I(B) grĹfetai wc exăc gia n < m:
m
Φ(B) h1 h2 hm hκ
I(B) = = + + ... + = (3.40)
Θ(B) 1 − ν1 B 1 − ν2 B 1 − νm B κ=1
1 − νκ B
ìpou νκ oi rÐzec tou poluwnÔmou MA. En suneqeÐa:
m
∞
∞
m ∞

I(B) = hκ (νκ B)j = ( hκ νκj )B j = − Ij B j (3.41)
κ=1 j=0 j=0 κ=1 j=0
Apì thn exÐswsh aută prokÔptei:

m

Ij = − hκ νκj (j = 0, 1, 2, ...) (3.42)
κ=1
3.4. UPOLOGISMOS QARAKTHRISTIKWN TWN MONTELWN ARMA 59
Ta upìloipa hκ dÐnontai apì thn sqèsh:

Φ(B)
hκ = · (1 − νκ B)
Θ(B) −1
B=νκ
ShmeÐwsh: Efìson Io = −1 ta upìloipa hκ den eÐnai algebrikÿc anexĹrthta allĹ ikanopoioÔn

thn sqèsh: Io = h1 + h2 + ... + hm = −1 2
3.4.3 Upologismìc thc SunĹrthshc Autosusqètishc

Mèjodoc 1h: àstw èna montèlo ARMA:
Xt − φ1 Xt−1 − ... − φn Xt−n = Wt − θ1 Wt−1 − ... − θm Wt−m

2
ìpou Wt ∼ N ID(0, σW ). IsodÔnama:
Xt = φ1 Xt−1 + ... + φn Xt−n + Wt − θ1 Wt−1 − ... − θm Wt−m

An pollaplasiĹsoume th parapĹnw sqèsh me Xt+κ kai pĹroume th mèsh timă èqoume:
E{Xt Xt+κ } = φ1 E{Xt−1 Xt−κ } + ... + φn E{Xt−n Xt−κ }+
+E{Wt Xt−κ } − θ1 E{Wt−1 Xt−κ } − ... − θm E{Wt−m Xt−κ } (3.43)

Efìson jewrăsoume mhdenikă mèsh timă èqoume:
γκ = E{Xt Xt+κ }
EpÐshc apì th sqèsh (3.33) èqoume ìti
∞ ∞ ∞
Xt
= Gj · B j ⇒ X t = Gj · Wt−j ⇒ Xt−κ = Gj · Wt−j−κ
Wt j=0 j=0 j=0
Tìte:
∞ ∞

0 κ>
E{Wt− Xt−κ } = E{Wt− Gj · Wt−j−κ } = Gj · E{Wt− Wt−j−κ } = 2
(3.44)
j=0 j=0
G−κ · σW κ≤
Apì tic sqèseic (3.44) kai (3.43) èqoume:

2 2 2
γκ = φ1 γκ−1 + ... + φn γ|κ−n| + G−κ σW − θ1 G1−κ σW − ... − θm Gm−κ σW (3.45)
ìpou Gj = 0 gia j < 0. H sqèsh (3.45) mporeÐ na grafteÐ gia κ = 0, 1, 2, ... wc exăc:
2
γo = φ1 γ1 + ... + φn γn + σW [1 − θ1 G1 − ... − θm Gm ]
2
γ1 = φ1 γo + ... + φn γn−1 + σW [−θ1 − θ2 G1 − ... − θm Gm−1 ]
..
.
2
γm = φ1 γm−1 + ... + φn γ|n−m| + σW [−θm ]
γm+1 = φ1 γm−2 + ... + φn γ|n−m−1|

..
.
γκ = φ1 γκ−1 + ... + φn γ|κ−n| (κ ≥ m + 1)
Mèjodoc 2h: Gia ton upologismì thc sunĹrthshc autosummetablhtìthtac enìc montèlou ARMA me n > m
se kleistă morfă èqoume:
⎧
⎛ ∞ ⎞⎫
⎨ ∞ ⎬ ∞
∞
∆
γκ = E{Xt Xt+κ } = E Gi Wt−i ⎝ Gj Wt−κ−j ⎠ = Gi Gj E{Wt−i Wt−κ−j }
⎩ ⎭
i=0 j=0 i=0 j=0
∞
∞
2
= Gi Gj δi−(κ+j) σW
i=0 j=0
⎛ ⎞
∞

= ⎝ Gκ+j Gj ⎠ σW
2
(3.46)
j=0
Qrhsimopoiÿntac th sqèsh:
n

Gκ = g1 λκ1 + ... + gn λκn = gi λκi
i=1
H sqèsh (3.46) gÐnetai:

⎛
n
n ⎞ ⎧ ⎫
∞ ⎨n
n ∞
⎬
γκ = ⎝ gi λji g λκ+j ⎠ σW
2
= g g λ
i
κ
(λ λ
i )j
σ2 ⇒
⎩ ⎭ W
j=0 i=1 =1 i=1 =1 j=0
n
n
1
⇒ γκ = gi g λκ · σ2 (3.47)
i=1 =1
1 − λi λ W
ă
n
n
1
γκ = gi g · λκ σW
2
⇒
i=1
1 − λi λ
=1
n

⇒ γκ = d · λκ (3.48)
=1
ìpou orÐzoume:
n
2
∆ σW
d = gi g (3.49)
i=1
1 − λi λ
H diasporĹ γo mporeÐ na grafeÐ wc exăc:
γo = d1 + d2 + ... + dn (3.50)
KefĹlaio 4
Mh StĹsimec Stoqastikèc
DiergasÐec
4.1 Mh Stasimìthta sth Mèsh Timă

DÔo tÔpoi montèlwn pou eÐnai katĹllhloi gia tic periptÿseic autèc eÐnai:
A. Montèla Kajoristikÿn TĹsewn (Deterministic Trend models)

Xt = αo + α1 t + Wt ìpou αo , α1 : kajoristikèc stajerèc kai Wt : qronoseirĹ leukoÔ jorÔbou
ă genikìtera:
p

Xt = ακ tκ + Wt (4.1)
κ=0
kai:
p

Xt = m + (αj cos ωj t + βj sin ωj t) + Wt (4.2)
j=1
B. Montèla Stoqastikÿn TĹsewn kai Diaforèc (Stochastic Trend models)
Se orismènec periptÿseic mh-stĹsimec qronoseirèc sumperifèrontai parìmoia se diaforetikèc perioqèc tou

qrìnou, me thn exaÐresh ufistĹmenwn diaforÿn stic mèsec timèc touc. Autì to eÐdoc mh-stasimìthtac eÐnai
gnwstì wc omogenèc (omogenăc mh-stasimìthta (homogeneous non-stationarity)).
Apì thn fÔsh thc omogenoÔc mh-stasimìthtac èqoume ìti h topikă sumperiforĹ thc qronoseirĹc eÐnai
anexĹrthth tou ekĹstote epipèdou (mèshc timăc). EĹn loipìn dhlÿsoume san Y(B) ton telestă AR pou
perigrĹfei th sumperiforĹ thc qronoseirĹc ja èqoume:
Ψ(B) · (Xt + c) = Ψ(B) · Xt gia opoiadăpote stajerĹ c

to opoÐo sunepĹgetai:
Ψ(B) = (1 − B)d · Φ(B) (4.3)
61
62 KEFALAIO 4. MH STASIMES STOQASTIKES DIERGASIES
ìpou d > 0 kai Φ(B): stĹsimo AR poluÿnumo.

Epomènwc mÐa omogenÿc mh-stĹsimh qronoseirĹ mporeÐ na metatrapeÐ se stĹsimh paÐrnontac katĹllhlec
diaforèc thc. Ÿtoi h Xt eÐnai mh-stĹsimh allĹ h (1 − B)d · Xt eÐnai stĹsimh.
4.2 Oloklhrwmèna Montèla ARMA (Montèla ARIMA)

GenikĹ h seirĹ twn diaforÿn (1 − B)d · Xt ja akoloujeÐ èna stĹsimo montèlo ARMA(n, m). Epomènwc genikĹ
mporoÔme na èqoume:
Φ(B) · (1 − B)d · Xt = θo + Θ(B) · Wt 2

Wt ∼ N ID(0, σw ) (4.4)
ìpou
Φ(B) = 1 − φ1 B − φ2 B 2 − ... − φn B n
Θ(B) = 1 − θ1 B − θ2 B 2 − ... − θm B m
To montèlo autì anafèretai wc ARIMA(n, d, m) (Integrated Autoregressive Moving Average model) tĹxewn
(n, d, m).
H parĹmetroc θo diadramatÐzei xeqwristì rìlo stic periptÿseic d = 0 (stasimìthta) kai d = 0 (mh-

stasimìthta).
PrĹgmati, to montèlo ARIMA(n, d, m) grĹfetai kai wc exăc:
θo Θ(B)
Xt = d
+ ·Wt (4.5)
(1 − B) · Φ(B) (1 − B)d · Φ(B)

apìkrish se bhmatikă eÐsodo θo apìkrish sthn tuqaÐa eÐsodo Wt

Kajoristikìc ìroc Stoqastikìc ìroc
DiakrÐnoume dÔo periptÿseic:
(α) d = 0 : Sthn perÐptwsh aută to montèlo eÐnai eustajèc, kai:
θo
E{Xt } = µt =
Φ(B)
MetĹ thn ekpnoă tou metabatikoÔ mèrouc thc apìkrishc autăc (jewrÿntac, p.q. arqikă qronikă stigmă
t = −∞) ja èqoume:
θo
µt = µ = const = ⇒ 1 − φ1 µ − ... − φn µ = θo ⇒
Φ(B)
=⇒ θo = (1 − φ1 − φ2 − ... − φn )µ (4.6)
Autì bèbaia mporeÐ na deiqjeÐ kai wc exăc: EĹn h qronoseirĹ Xt −µ akoloujeÐ to montèlo Φ(B)·(Xt −µ) =
Θ(B) · Wt ja èqoume:
Φ(B) · Xt = Φ(B) · µ + Θ(B) · Wt ⇒

4.2. OLOKLHRWMENA MONTELA ARMA (MONTELA ARIMA) 63
⇒ Φ(B) · Xt = (1 − φ1 − ... − φn ) · µ +Θ(B) · Wt (4.7)

θo
(β) d = 0 : Sthn perÐptwsh aută to montèlo den eÐnai eustajèc (sugkekrimèna kaneÐc apì touc dÔo ìrouc thc
apìkrishc den eÐnai). O prÿtoc de ìroc (o kajoristikìc) ja dÿsei apìkrish thc morfăc:
αo + α1 t + α2 t2 + .... + αd td
Gia ton lìgo autì sthn perÐptwsh d = 0 o ìroc θo pou dhmiourgeÐ thn kajoristikă apìkrish onomĹzetai
ìroc kajoristikăc tĹsewc (deterministic trend term).
ParĹdeigma: ARIMA(0, 1, 0) (TuqaÐo BĹdisma - Random Walk)

(1 − B)Xt = Wt ⇔ Xt = Xt−1 + Wt : Aplì tuqaÐo BĹdisma
(1 − B)Xt = θo + Wt ⇔ Xt = Xt−1 + θo + Wt : TuqaÐo BĹdisma me kajoristikă tĹsh -

Random Walk with drift
2
4.3 Mh-Stasimìthta DiasporĹc kai Autosummetablhtìthtac

4.3.1 DiasporĹ kai Autosummetablhtìthta Montèlwn ARIMA
Mia stoqastikă diergasÐa stĹsimh wc proc th mèsh timă den eÐnai anagkaÐa stĹsimh kai wc proc thn dia-
sporĹ/autosummetablhtìthta. EĹn ìmwc eÐnai mh-stĹsimh wc proc th mèsh timă ja eÐnai anagkastikĹ mh-
stĹsimh wc proc thn diasporĹ/autosummetablhtìthta. äpwc exhgăjhke h mèsh timă twn montèlwn ARIMA
exartĹtai apì ton qrìno. To Ðdio isqÔei kai gia th diasporĹ/autosummetablhtìthta.
ParĹdeigma: jewreÐste to montèlo IMA(1, 1):
(1 − B)Xt = (1 − θB)Wt ⇒
⇒ Xt = Xt−1 + Wt − θWt−1
Me diadoqikă antikatĹstash, jewrÿntac ton qrìno to wc arqikì èqoume:

Xt = Xt−1 + Wt − θWt−1
= Xt−2 + Wt + (1 − θ)Wt−1 − θWt−2

..
.
= Xto + Wt + (1 − θ)Wt−1 + ... + (1 − θ)Wto +1 − θWto
AntÐstoiqa:
Xt−κ = Xto + Wt−κ + (1 − θ)Wt−κ−1 + ... + (1 − θ)Wto +1 − θWto
Epomènwc, gia dojènta Xto , Wto (kajorismènec posìthtec):

2
Var(Xt ) = 1 + (t − to − 1) · (1 − θ)2 · σW
2
Var(Xt−κ ) = 1 + (t − κ − to − 1) · (1 − θ)2 · σW
2
Cov(Xt−κ , Xt ) = (1 − θ) + (t − κ − to − 1) · (1 − θ)2 · σW 2
Parathrăseic:
1. H diasporĹ Var(Xt ) tou montèlou IMA(1, 1) metabĹlletai me to qrìno, sugkekrimèna auxĹ-

netai grammikĹ me to qrìno.
2. Var(Xt ) = Var(Xt−κ ).
3. H sundiakÔmansh Cov(Xt−κ , Xt ) exartĹtai apì ton qrìno t.
4. EĹn t − to 1 ja èqoume:
[(1 − θ) + (t − κ − to − 1)(1 − θ)2 ]σW

2
(Xt−κ , Xt ) = 2
[1 + (t − to − 1)(1 − θ) ] [1 + (t − κ − to − 1)(1 − θ)2 ]1/2 σW
2 1/2
[(t − to )(1 − θ)2 ]σW2

∼
≈ 2 =1
(t − to )(1 − θ)
Autì shmaÐnei ìti h (Xt−κ , Xt ) teÐnei argĹ sto mhdèn gia auxanìmeno κ. 2
4.3. MH-STASIMOTHTA DIASPORAS KAI AUTOSUMMETABLHTOTHTAS 65
4.3.2 MetasqhmatismoÐ StajeropoÐhshc thc DiasporĹc

EÐnai fanerì ìti den eÐnai dunatìn ìla ta eÐdh mh-stasimìthtac na antimetwpisjoÔn me diaforèc. UpĹrqoun,
gia parĹdeigma, qronoseirèc pou eÐnai stĹsimec wc proc thn mèsh timă allĹ mh-stĹsimec wc proc thn diasporĹ.
àna tètoio prìblhma suqnĹ antimetwpÐzetai me epituqÐa mèsw metasqhmatismÿn stajeropoÐhshc thc diasporĹc
(variance stabilizing transformations). JewreÐste thn arketĹ koină perÐptwsh ìpou h diasporĹ metabĹlletai
anĹloga me kĹpoia sunĹrthsh thc mèshc timăc:
Var(Xt ) = c · f(µt ) (4.8)

ìpou: c > 0, f (·) : jetikă sunĹrthsh, µt = E{Xt }.
AnazhtoÔme metasqhmatismì T (·) oÔtwc ÿste h metasqhmatismènh qronoseirĹ T (Xt ) na èqei stajeră
diasporĹ. Gia thn epÐlush tou problămatoc proseggÐzoume th sunĹrthsh (met/mou) T (Xt ) me seirĹ Taylor
enìc ìrou gÔrw apì to shmeÐo µt :
T (Xt ) T (µt ) + T (µt ) · (Xt − µt )

ìpou T (µt ) eÐnai h prÿth parĹgwgoc thc T (Xt ) upologismènh gia Xt = µt . PaÐrnontac th diasporĹ thc
parapĹnw èqoume:
Var[T(Xt )] [T (µt )]2 · Var(Xt ) = c · [T (µt )]2 · f(µt )

Prokeimènou na epitÔqoume stajeră diasporĹ thc metasqhmatismènhc qronoseirĹc prèpei na èqoume:

1 1
T (µt ) = ⇒ T (µt ) = · dµt
f (µt ) f (µt )
Epomènwc o apaitoÔmenoc metasqhmatismìc eÐnai:

1
T (Xt ) = · dXt (4.9)
f (Xt )
Eidikèc periptÿseic:
a)
Var(Xt ) = c · µt

1
T (Xt ) = √ · dXt = 2 · Xt
Xt
√
Epomènwc o met/mìc T (Xt ) = Xt mporeÐ na qrhsimopoihjeÐ.
b)
Var(Xt ) = c · µ2t

1
T (Xt ) = · dt = ln Xt
Xt2
Epomènwc o met/mìc T (Xt ) = ln Xt mporeÐ na qrhsimopoihjeÐ.
g)
Var(Xt ) = c · µ4t

1 1
T (Xt ) = · dXt = −
4
Xt Xt
1
Epomènwc o met/mìc T (Xt ) = Xt mporeÐ na qrhsimopoihjeÐ.
Met/moc Box − Cox: Genikìtera, gia thn stajeropoÐhsh thc diasporĹc qrhsimopoieÐtai o metasqhmatismìc
twn Box kai Cox:
Xtλ − 1
T (Xt ) = l: parĹmetroc met/mou (4.10)
λ
Merikèc tupikèc timèc tou l kai oi antÐstoiqoi metasqhmatismoÐ:
λ = −1 T (Xt ) = 1/Xt
√
λ = −0.5 T (Xt ) = 1/ Xt
λ=0 T (Xt ) = ln Xt
√
λ = 0.5 T (Xt ) = Xt
λ=1 T (Xt ) = Xt monadiaÐoc met/moc
Parathrăseic:
1. Oi met/smoÐ stajeropoÐhshc thc diasporĹc orÐzontai gia jetikèc qronoseirèc. Autì den apote-
leÐ praktikì periorismì kajìti ènac stajerìc arijmìc mporeÐ na prostejeÐ se mia qronoseirĹ
aujaÐreta, qwrÐc na metabĹlei thn domă thc (autosummetablhtìthta).
2. Efìson eÐnai anagkaÐoc, ènac met/moc stajeropoÐhshc thc diasporĹc prèpei na prohghjeÐ
opoiasdăpote Ĺllhc anĹlushc (upologismìc diaforÿn, klp).
3. SuqnĹ ènac met/mìc stajeropoÐhshc thc diasporĹc odhgeÐ se kalÔterh prosèggish kanonikì-
thtac (h met/nh qronoseirĹ akoloujeÐ akribèstera thn kanonikă katanomă).
4. O met/mìc twn Box kai Cox mporeÐ na qrhsimopoihjeÐ me Ĺgnwsth parĹmetro l, h bèltisth
timă thc opoÐac mporeÐ na ektimhjeÐ apì ta dedomèna. 2
Empeirikă anagnÿrish apaitoÔmenou metasqhmatismoÔ: ànac praktikìc trìpoc eÐnai na qwrisjoÔn ta de-
domèna se periìdouc (tmămata) kai na dhmiourghjeÐ grĹfhma mèshc timăc-eÔrouc gia kĹje tmăma. To eÔroc
orÐzetai wc h max − min timă se kĹje tmăma.
KefĹlaio 5
JewrÐa Prìbleyhc
5.1 Eisagwgă
To Prìblhma: Dojeisÿn parathrăsewn Xt , Xt−1 , Xt−2 jèloume na problèyoume thn timă thc qronoseirĹc
thn qronikă stigmă t + ( = 1, 2, 3, ...).
H prìbleyh aută onomĹzetai prìbleyh bhmĹtwn ă prìbleyh me orÐzonta . SumbolÐzetai de wc:
X̂t ( ) ă X̂t+/t (5.1)
Problèyeic mporoÔn na upologistoÔn epÐ th bĹsh diafìrwn krithrÐwn. To plèon sÔnhjec eÐnai ekeÐno
tou ElĹqistou Mèsou TetragwnikoÔ SfĹlmatoc (Minimum Mean Square Error, MMSE). SÔmfwna me autì wc
bèltisth prìbleyh epilègetai ekeÐnh gia thn opoÐa to mèso tetragwnikì sfĹlma:
E{(X̂t+ − X̂t ( ))2 } (5.2)
eÐnai elĹqisto.
Gia thn prìbleyh elĹqistou mèsou tetragwnikoÔ sfĹlmatoc isqÔei to exăc jeÿrhma:
Jeÿrhma: H prìbleyh X̂t ( ) thc Xt+ , pou eÐnai bèltisth katĹ thn ènnoia tou mèsou tetragwni-
koÔ sfĹlmatoc dÐnetai apì th sqèsh:
t
X̂t ( ) = E{Xt+ /X−∞ } (5.3)
t
ătoi isoÔtai me th mèsh timă thc Xt+ upì th sunjăkh gnwstÿn dedomènwn X−∞ = {..., Xt−2 , Xt−1 , Xt }.
Apìdeixh: JewreÐste to kritărio mèsou tetragwnikoÔ sfĹlmatoc:
J = E{(X̂t+ − X̂t ( ))2 }
Qrhsimopoiÿntac thn idiìthta exomĹlunshc (smoothing) thc mèshc timăc upì sunjăkh: E{E{X/F}} =
E{X}, èqoume:
J = EX−∞t {Et+1,... {(X̂t+ − X̂t ( ))2 /X−∞
t
}}
t
Gia dojènta dedomèna X−∞ to parapĹnw kritărio elaqistopoieÐtai ìtan elaqistopoieÐtai h posì-
thta:
E{(X̂t+ − X̂t ( ))2 /X−∞

t
}
67
68 KEFALAIO 5. JEWRIA PROBLEYHS
H posìthta aută mporeÐ na grafeÐ wc exăc:
E{(X̂t+ − X̂t ( ))2 /X−∞

t
} = E{Xt+ 2 t
/X−∞ t
} − 2X̂t ( )E{Xt+ /X−∞ } + X̂t2 ( )
2 2
t 2 t t
= X̂t ( ) − E{Xt+ /X−∞ } + E{Xt+ /X−∞ } − E{Xt+ /X−∞ }
H posìthta aută elaqistopoieÐtai wc proc X̂t ( ) akribÿc ìtan:
t
X̂t ( ) = E{Xt+ /X−∞ }
5.2 Prìbleyh ElaqÐstou Mèsou TetragwnikoÔ SfĹlmatoc

Jewrăste th qronoseirĹ Xt pou akoloujeÐ montèlo ARMA(n, m):
Φ(B) · Xt = Θ(B) · Wt (5.4)

to montèlo autì mporeÐ na grafteÐ sthn morfă thc anĹptuxhc Wold:
∞

Xt = G(B) · Wt = Wt + Gj Wt−j (5.5)
j=1
Gia ton upologismì thc prìbleyhc X̂t ( ) xanagrĹfoume thn parapĹnw èkfrash metatopismènh bămata
mprostĹ:
Xt+ = G(B) · Wt+ = Wt+ + G1 · Wt+−1 + ... + G−1 · Wt+1 + G · Wt + G+1 · Wt−1 + ... (5.6)

t
PaÐrnontac mèsh timă upì sunjăkh E{·/X−∞ } ≡ Et {·} (prosèxte th deÔterh morfă pou apoteleÐ sunto-
mografÐa) amfotèrwn twn melÿn thc parapĹnw èqoume:
∞

X̂t ( ) = Et {Xt+ } = Gj · Wt+−j Prìbleyh bhmĹtwn (5.7)
j=
kajìti lìgw thc anexarthsÐac thc akoloujÐac leukoÔ jorÔbou {Wt } èqoume:
Et {Wt+j } = E{Wt+j } = 0 gia j ≥ 1 (5.8)

enÿ:
Et {Wt+j } = Wt+j gia j = 0 (5.9)

t
H teleutaÐa sqèsh isqÔei epeidă ta ...,Wt−2 , Wt−1 , Wt eÐnai gnwstĹ gia dedomèna X−∞ ìpwc deÐqnei h sqèsh
tou montèlou ARMA:
Φ(B)
Wt = · Xt (5.10)
Θ(B)
To sfĹlma prìbleyhc pou antistoiqeÐ sthn X̂t ( ) eÐnai profanÿc Ðso me to prÿto (peperasmènou plăjouc)
Ĺjroisma sthn èkfrash thc Xt+ , ătoi:
−1

Ŵt ( ) = Gj · Wt+−j = Xt+ − X̂t ( ) (5.11)
j=0
5.3. UPOLOGISMOS TWN PROBLEYEWN 69
Apì th sqèsh aută gÐnetai fanerì ìti to sfĹlma Ŵt ( ) akoloujeÐ montèlo MA( − 1). H mèsh timă kai h
diasporĹ tou Ŵt ( ) upologÐzontai wc exăc:
E{Ŵt ( )} = 0 (5.12)
Ăra h X̂t ( ) eÐnai amerìlhpth ektimătria thc Xt+ .
−1

Var Ŵt ( ) = G2j · σW
2
(5.13)
j=0
EĹn de h qronoseirĹ eÐnai kanonikă (Gaussian) tìte ta 95% pijanojewrhtikĹ ìria prìbleyhc (forecast limits)
èqoun wc exăc:
! !
X̂t ( ) − 1.96 Var Ŵt ( ) ≤ Xt+ ≤ X̂t ( ) + 1.96 Var Ŵt ( ) (5.14)
Paratărhsh: To sfĹlma prìbleyhc gia èna băma ( = 1) prokÔptei:
Ŵt (1) = Wt+1 = Xt+1 − X̂t (1) (5.15)
kai apoteleÐtai apì th qronoseirĹ leukoÔ jorÔbou pou parĹgei thn parathroÔmenh qronoseirĹ
Xt . Epomènwc h qronoseirĹ leukoÔ jorÔbou èqei diplă shmasÐa:
(α) ApoteleÐ thn qronoseirĹ pou parĹgei thn parathroÔmenh Xt (dierqìmenh mèsw tou montèlou
ARMA.
(β) ApoteleÐ th qronoseirĹ twn sfalmĹtwn prìbleyhc pou gÐnontai gia èna băma ( = 1). 2
5.3 Upologismìc twn Problèyewn

5.3.1 Epanalhptikă Mèjodoc wc proc ton OrÐzonta Prìbleyhc
àstw to montèlo ARMA(n, m):
Xt − φ1 · Xt−1 − . . . − φn · Xt−n = Wt − θ1 · Wt−1 − . . . − θm · Wt−m (5.16)

Gia qrìno t + h parapĹnw èkfrash dÐnei:
Xt+ = φ1 · Xt+−1 + . . . + φn · Xt+−n + Wt+ − θ1 · Wt+−1 − . . . − θm · Wt+−m (5.17)

PaÐrnontac th majhmatikă mèsh timă upì th sunjăkh gnwstÿn ìrwn qronoseirĹc mèqri kai th qronikă
stigmă t, èqoume:
X̂t ( ) = X̂t+/t = Et {Xt+ } = φ1 · Et {Xt+−1 } + . . . + φn · Et {Xt+−1 } + Et {Wt+ }−
−θ1 · Et {Wt+−1 } + . . . + θm · Et {Xt+−m } (5.18)

ìpou:
Et {Xt+−i } = X̂ ( − i) − i > 0, i = 1, 2, . . . , n (5.19)
Et {Xt+−i } = Xt+−i −i≤0 (5.20)
Et {Wt+−i } = 0 − i > 0, i = 1, 2, . . . , m (5.21)
Et {Wt+−i } = Wt+−i = Xt+−i − X̂t+−i−1 (1) −i≤0 (5.22)
H mhdenikă mèsh timă upì sunjăkh mellontikÿn Wt ofeÐletai sthn anexarthsÐa twn Wt h opoÐa sunepĹ-
getai ìti:
Et {Wt+−i } = E{Wt+−i } = 0 (5.23)

H sqèsh thc prìbleyhc mporeÐ epomènwc na xanagrafeÐ wc exăc:
X̂( ) = φ1 · X̂t ( − 1) + . . . + φn · X̂t ( − n) − θ · Wt − . . . − θm · Wt+−m (5.24)

−m≤0
me thn proôpìjesh ìti:
X̂t ( − i) = Xt+−i gia − i ≤ 0 (i = 1, 2, . . . , n) (5.25)

Parathrăste ìti h sqèsh eÐnai epanalhptikă wc proc tic problèyeic, kai sundèei problèyeic pou gÐnontai
thn Ðdia qronikă stigmă allĹ me diaforetikì orÐzonta. H sqèsh aută paristĹnei epomènwc dunamikì sÔsthma
me qarakthristikì poluÿnumo to Φ(B).
5.3.2 Epanalhptikă Mèjodoc wc proc ton Qrìno (BĹsh Prìbleyhc)

Prìbleyh Enìc Bămatoc (Qronikìc OrÐzontac = 1)
JewreÐste th diergasÐa ARMA(n, m):
Φ(B) · Xt = Θ(B) · Wt (5.26)

me:
Θ(B)
G(B) = G(0) = 1 (5.27)
Φ(B)
Φ(B)
I(B) = I(0) = 1 (5.28)
Θ(B)
H anĹptuxh katĹ Wold thc Xt+1 dÐnei:
∞
∞

Xt+1 = Gi · Wt−i+1 = Wt+1 + Gi · Wt−i+1 (5.29)
i=0 i=1
GnwrÐzontac th qronoseirĹ gia ìlouc touc qrìnouc mèqri kai ton parìnta t, gnwrÐzoume ìla ta antÐstoiqa
Wi (i ≤ t) epeidă:
Wi = Xi − X̂i−1 (1) (5.30)

Epomènwc, paÐrnontac Et {·} thc anĹptuxhc èqoume:
∞

X̂t (1) = Gi · Wt−i+1 = [G(B) − 1] · Wt+1 = [G(B) − 1] · G−1 (B) · Xt+1 ⇒
i=1
G(B) · X̂t (1) = [G(B) − 1] · Xt+1 (5.31)

Antikajistÿntac G(B) = Θ(B)/Φ(B) paÐrnoume:
Θ(B) · X̂t (1) = [Θ(B) − Φ(B)] · Xt+1 (5.32)

5.3. UPOLOGISMOS TWN PROBLEYEWN 71
; W + Q (% ) - F(% ) ; W
Q(% )
Sqăma 5.1: Domikì diĹgramma dunamikoÔ sustămatoc prìbleyhc epÐ th bĹsei protèrwn parathrăsewn
ă isodÔnama (gia n > m):
X̂t (1) − θ1 · X̂t−1 (1) − . . . − θm · X̂t−m (1) =
= (θ1 − φ1 ) · Xt + . . . + (θm − φm ) · Xt−m+1 − φm+1 · Xt−m − . . . − φn · Xt−n+1 (5.33)
Parathrăseic:
1. Prìbleyh epÐ th bĹsei protèrwn parathrăsewn.
Apì ta parapĹnw èqoume:
∞

X̂t (1) = [G(B) − 1]·G−1 (B)·Xt+1 = 1 − G−1 (B) ·Xt+1 = [1 − I(B)]·Xt+1 = Ij ·Xt−j+1 ⇒
j=1
∞

⇒ X̂t (1) = Ij · Xt−j+1 (5.34)
j=1
ParathroÔme epomènwc ìti h prìbleyh katĹ èna băma apoteleÐtai apì to algebrikì Ĺjroi-
sma twn parathrăsewn. Oi suntelestèc barÔthtac eÐnai oi timèc thc antÐstrofhc sunĹrthshc.
2. H exÐswsh thc prìbleyhc: Θ(B) · X̂t (1) = [Θ(B) − Φ(B)] · Xt+1 apoteleÐ exÐswsh duna-
mikoÔ sustămatoc me qarakthristikì poluÿnumo Θ(B). AnaparistĹmeno se morfă domikoÔ
diagrĹmmatoc to dunamikì autì sÔsthma èqei wc faÐnetai sto sqăma 5.1. 2
Prìbleyh BhmĹtwn (Qronikìc OrÐzontac = )

àqoume:
⎛ ⎞
∞
∞
−1 ∞

Xt+ = Gj · Wt+−j = Gj · B j · Wt+ =⎝ Gj · B j + B · Gj · B j− ⎠ ·Wt+ (5.35)
j=0 j=0 j=0 j=

Θ(B) ∆ D(B)
G(B)= Φ(B) =F (B)+B · Φ(B)
ìpou ta poluÿnuma F (B), D(B) eÐnai thc morfăc:

−1

F (B) = 1 + fj B j (5.36)
j=1
q

D(B) = do + dj B j q = max(n − 1, m − ) (5.37)
j=1
kai upologÐzontai apì thn tautìthta:
Θ(B) = F (B) · Φ(B) + B · D(B) (5.38)

;W ' (% ) ;A W l
Q(% )
Sqăma 5.2: Domikì diĹgramma dunamikoÔ sustămatoc prìbleyhc bhmĹtwn.
PaÐrnontac mèsh timă upì sunjăkh thc sqèshc pou dÐnei to Xt+ èqoume:
D(B) D(B) D(B) Φ(B)

X̂t ( ) = B · · Wt+ = · Wt = · · Xt ⇒
Φ(B) Φ(B) Φ(B) Θ(B)
D(B)
⇒ X̂t ( ) = · Xt Mh epanalhptikă morfă (5.39)
Θ(B)
ă isodÔnama:
Θ(B) · X̂t ( ) = D(B) · Xt Epanalhptikă morfă (5.40)
To antÐstoiqo sfĹlma prìbleyhc dÐnetai apì to enapomènon tmăma tou Xt+ :
Ŵt+/t = Ŵt ( ) = F (B) · Wt+ = Wt+ + f1 · Wt+−1 + . . . + f−1 · Wt+1 (5.41)
EÐnai profanèc ìti to sfĹlma prìbleyhc akoloujeÐ montèlo MA( − 1). H mèsh timă tou sfĹlmatoc eÐnai:
E{Ŵt+/t } = 0 (5.42)
kai h diasporĹ tou:

⎛ ⎞
−1
Var Ŵt+/t = ⎝ fj2 ⎠ · σW
2
(5.43)
j=1
Sth perÐptwsh pou h qronoseirĹ eÐnai kanonikă (Gaussian) èqoume ta parakĹtw 95% pijanojewrhtikĹ
ìria stic problèyeic:
!
X̂t ( ) ± 1.96 Var Ŵt+/t (5.44)
Parathrăseic:
1. EÐnai profanèc apì ton orismì tou poluwnÔmou F (B) ìti oi suntelestèc tou sumpÐptoun me
touc antÐstoiqouc thc sunĹrthshc Green (barutikăc), ătoi:
fj = Gj j = 0, 1, 2, . . . , − 1
2. H exÐswsh prìbleyhc: Θ(B) · X̂t ( ) = D(B) · Xt apoteleÐ exÐswsh dunamikoÔ sustămatoc

me qarakthristikì poluÿnumo Θ(B).
AnalutikĹ, h exÐswsh prìbleyhc èqei wc exăc:
X̂t ( ) − θ1 · X̂t ( ) − . . . − θm · X̂t−m ( ) = d0 · Xt + d1 · Xt−1 + . . . + dn−1 · Xt−(n−1) (5.45)
2
5.4. ANANEWSH TWN PROBLEYEWN 73
5.4 Ananèwsh twn Problèyewn

GnwrÐzoume ìti:
X̂t+1 ( ) = G · Wt+1 + G+1 · Wt + G+2 · Wt−1 + . . .
X̂t ( + 1) = +G+1 · Wt + G+2 · Wt−1 + . . . (5.46)

Epomènwc:
X̂t+1 ( ) = X̂t ( + 1) + G · Wt+1 (5.47)

kai epeidă:
Wt+1 = Xt+1 − X̂t (1) (5.48)

èqoume thn parakĹtw sqèsh pou ananeÿnei thn prìbleyh gia thn timă Xt++1 metĹ thn paratărhsh Xt+1 :

X̂t+1 ( ) = X̂t ( + 1) + G · Xt+1 − X̂t (1) (5.49)
5.5 Telikèc Problèyeic (Eventual Forecasts)

Apì thn epanalhptikă wc proc ton orÐzonta mèjodo prìbleyhc èqoume gia > max(n, m):
X̂t ( ) − φ1 · X̂t ( − 1) − . . . − φn · X̂t ( − n) = 0 (5.50)

Epomènwc problèyeic pou èqoun gÐnei thn Ðdia qronikă stigmă t gia orÐzontec > max(n, m) ikanopoioÔn
to omogenèc AR tmăma tou montèlou ARMA. IkanopoioÔn dhladă thn parapĹnw omogenă exÐswsh diaforÿn.
EÐnai de qarakthristikì ìti oi parĹmetroi tou MA tou montèlou epidroÔn stic problèyeic mìno gia braqeÐc
orÐzontec . TÐjetai, eÔloga, tÿra kai to parakĹtw erÿthma:
PoiĹ ja eÐnai h telikă prìbleyh X̂t ( ) gia → ∞ dedomènwn kĹpoiwn arqikÿn (gia mikrĹ ) problèyewn?
H apĹnthsh sto erÿthma eÐnai ìti h X̂t ( ) gia > max(n, m) apoteleÐ lÔsh thc parapĹnw omogenoÔc
exÐswshc diaforÿn kai dÐnetai apì th sqèsh:
X̂t ( ) = bt10 · λ1 + bt20 · λ2 + . . . + btn0 · λn (5.51)
Φ(B) = (1 − λ1 B) · (1 − λ2 B) . . . (1 − λn B) λi = λj (5.52)
ìtan o bajmìc pollaplìthtac kĹje pìlou eÐnai èna. Oi stajerèc bt10 , bt20 , . . . , btn0 exartÿntai apì to qrìno t
pou gÐnontai oi problèyeic kai tic arqikèc problèyeic (gia mikrĹ ). Se perÐptwsh pou kĹpoioc pìloc, èstw λ1
èqei bajmì pollaplìthtac m h lÔsh thc omogenoÔc ja eÐnai:

X̂t ( ) = bt10 + bt11 · + . . . + bt1(m−1) · m−1 · λ1 + bt20 · λ2 + . . . + bt(n−m)0 · λn−m (5.53)
m
Φ(B) = (1 − λ1 B) · (1 − λ2 B) · . . . · (1 − λn−m B) (5.54)
Oi stajerèc sthn exÐswsh aută exartÿntai kai pĹli apì to qrìno t pou gÐnontai oi problèyeic kai tic arqikèc
problèyeic. ParathreÐste ìti oi telikèc problèyeic teÐnoun sto mhdèn kajÿc → ∞ efìson h qronoseirĹ
eÐnai stĹsimh:
X̂t ( ) → 0 gia → ∞ (stĹsimh qronoseirĹ)

kajìti:
| λi |< 1 ∀i
ApenantÐac h X̂t ( ) mporeÐ na sugklÐnei se mh mhdenikì arijmì ă kai na mhn sugklÐnei gia → ∞ eĹn h
qronoseirĹ den eÐnai stĹsimh.
KefĹlaio 6
Stoqastikă MontelopoÐhsh
6.1 Anagnÿrish kai EktÐmhsh Montèlwn ARIMA

JewreÐste èna genikì montèlo ARIMA(n, d, m):
d
(1 − φ1 B − ... − φn B n ) (1 − B) Xt = θ0 + (1 − θ1 B − ... − θm B m ) Wt (6.1)
O ìroc anagnÿrish montèlou anafèretai sth mejodologÐa anagnÿrishc tuqÿn apaitoÔmenwn metasqhmati-
smÿn (metasqhmatismÿn diaforÿn kai stajeropoÐhshc thc diasporĹc), ston entopismì ă ìqi thc kajoristikăc
paramètrou θ0 (parĹmetroc kajoristikăc tĹsewc) ìtan d ≥ 1, kai ston entopismì twn tĹxewn n, m.
DojeÐshc miac qronoseirĹc (dedomènwn) en gènei akoloujoÔme thn parakĹtw diadikasÐa anagnÿrishc:
Băma 1: DhmiourgÐa grafămatoc thc qronoseirĹc kai epilogă metasqhmatismÿn.

Elègqoume to grĹfhma gia tĹseic, epoqikìthtec, lĹjh (outliers), metaballìmenh diasporĹ, k.o.k. Prÿ-
ta efarmìzontai metasqhmatismoÐ stajeropoÐhshc thc diasporĹc kai en suneqeÐa metasqhmatismoÐ diaforÿn
(efìson apaitoÔntai). SuqnĹ gia th stajeropoÐhsh thc diasporĹc apaiteÐtai logarijmikìc metasqhmatismìc.
Genikìtera qrhsimopoieÐtai o metasqhmatismìc twn Box kai Cox me katĹllhla epilegmènh timă tou l.
Băma 2: Upologismìc anoigmènhc autosummetablhtìthtac kai merikăc autosusqètishc. Kajorismìc perai-

tèrw metasqhmatismÿn diaforÿn.
Ean h autosummetablhtìthta meiÿnetai polÔ argĹ (an kai oi timèc thc den eÐnai aparaÐthto na eÐnai megĹle-
c) kai h merikă autosusqètish mhdenÐzetai metĹ th diaforĹ k = 1 endeqomènwc na apaiteÐtai metasqhmatismìc
diaforÿn. ànac Ĺlloc parĹgontac pou upodhlÿnei anĹgkh gia metasqhmatismì diaforÿn eÐnai h Ôparxh i-
squroÔ akrìtatou (korufăc) sto fĹsma thc qronoseirĹc kai kontĹ sth mhdenikă suqnìthta. ToÔto epeidă to
fĹsma thc stoqastikăc diadikasÐac:
(1 − φ · B) Xt = Wt (6.2)
2
Var (Wt ) = σW
DÐnetai apì th sqèsh:
1
S (ω) = · σ2 0≤ω≤π (6.3)
1 + φ2 − 2φ cos ω W
kai teÐnei sthn posìthta:
2
σW
kajÿc φ → 1
2 − 2 cos ω
H opoÐa apeirÐzetai gia ω → 0+ .
75
76 KEFALAIO 6. STOQASTIKH MONTELOPOIHSH
GenikĹ gia na apomakrunjeÐ h omogenăc mh-stasimìthta mporeÐ na qreiasjeÐ metasqhmatismìc diaforÿn

anwtèrac tĹxewc:
d
(1 − B) Xt (6.4)
Stic perissìterec praktikèc efarmogèc d = 0, 1 ă 2.
Paratărhsh: Epilogă metasqhmatismoÔ stajeropoÐhshc thc diasporĹc.

Gia thn epilogă tou plèon katĹllhlou metasqhmatismoÔ (sumperilambanomènou kai tou mona-
diaÐou, gia l=1) mporeÐ kaneÐc na qrhsimopoiăsei ton metasqhmatismì Box − Cox gia diĹforec
timèc tou l (l=-1,-0.5, 0, 0.5, 1). MporeÐ en suneqeÐa na upologÐsei (ektimăsei) thn diasporĹ thc
ekĹstote metasqhmatismènhc qronoseirĹc:
1 2
N
S (λ) = · T Xt − µ̂ (6.5)
N t=1
ìpou:
Xtλ − 1
T (Xt ) = (6.6)
λ
µ̂: ektÐmhsh mèshc timăc thc metasqhmatismènhc qronoseirĹc
kai na epilèxei ton metasqhmatismì (timă tou l) pou dÐnei elĹqisto S (λ) (diasporĹ). 2
Băma 3: Arqikă ektÐmhsh twn tĹxewn AR kai MA thc metasqhmatismènhc stasÐmou qronoseirĹc.
H arqikă ektÐmhsh twn tĹxewn AR kai MA gÐnetai me upologismì thc anhgmènhc summetablhtìthtac kai
merikăc autosusqètishc. Autèc sugkrÐnontai me tic antÐstoiqec jewrhtikèc sunartăseic gnwstÿn montèlwn gia
mia prÿth ektÐmhsh twn tĹxewn.
ShmeÐwsh: Gia thn ektÐmhsh enìc montèlou ARIMA apaitoÔntai katĹ elĹqisto, 50 perÐpou para-
thrăseic (N = 50). H autosummetablhtìthta kai h merikă autosusqètish upologÐzontai to polÔ
se N/4 timèc (lags).
Băma 4: Tèst gia thn anĹgkh prosjèsewc sto montèlo ìrou kajoristikăc tĹsewc θ0 ìtan d > 0.
ànac trìpoc elègqou thc anĹgkhc gia θ0 = 0 eÐnai na sumperilhfjeÐ sthn ektÐmhsh kai na exetĹsoume eĹn
h prokatarktikă tou ektÐmhsh eÐnai shmantikă. Autì pĹntwc gÐnetai mìno an èqoume lìgo na pisteÔoume ìti
h metasqhmatismènh qronoseirĹ èqei kajoristikă tĹsh. ànac enallaktikìc trìpoc elègqou ègkeitai sto na
ektimăsoume thn mèsh timă µx kai thn tupikă apìklish σµx autăc wc exăc:
N
1
µ̂x = Xt (6.7)
N t=1
∞ ∞
γˆ0 1 1
σ̂µ2 x = ˆj = γˆj = γ (B = 1) (6.8)
N j=−∞ N j=−∞ N
d
ìpou γ (B) h gennătria sunĹrthsh autosummetablhtìthtac thc Xt kai Xt = (1 − B) Xt h metasqhmatismènh
qronoseirĹ.
Bèbaia sthn prĹxh h σµ2x ektimĹtai wc exăc:
σ̂ 2 γ̂
(6.9)
µx = N0 1+2ˆ1 +2ˆ2 +...+2ˆk
ìpou ˆ1 , ..., ˆk eÐnai ektimăseic twn k prÿtwn shmantikÿn timÿn thc anhgmènhc autosummetablhtìthtac thc
Xt . En suneqeÐa exetĹzetai h shmantikìthta tou lìgou σ̂µ̂µx .
x
6.2. EKTIMHSH MONTELWN ARMA 77
EĹn o lìgoc eÐnai shmantikìc tìte ja prèpei na sumperilĹboume parĹmetro θ0 (kajoristikă tĹsh). Autì
de qreiĹzetai an o lìgoc den eÐnai shmantikìc. Pio sugkekrimèna h shmantikìthta tou lìgou σ̂µ̂µx exetĹzetai
x
mèsw tou elègqou thc upojèsewc:
H0 : µx = 0
µ̂x
Dedomènou ìti o lìgoc akoloujeÐ katanomă t me f bajmoÔc eleujerÐac (f = N ), h upìjesh H0 aporrÐptetai
σ̂µx
me bebaiìthta l (epÐpedo empistosÔnhc l, ătoi pijanìthta lĹjouc l) eĹn:
| µ̂x |
≥ tλ/2 (6.10)
σˆµx
äpou tλ eÐnai h 100 (1 − λ) % krÐsimh timă katanomăc t me ton proanaferjènta arijmì bajmÿn eleujerÐac. Sto
Sqăma 6.1 faÐnetai h sunĹrthsh puknìthtac pijanìthtac thc katanomăc t, ìpou f (−t) = f (t) kai P r [t ≤ tλ ] =
λ.
Sqăma 6.1: SunĹrthsh puknìthtac pijanìthtac katanomăc t.
6.2 EktÐmhsh Montèlwn ARMA

AfoÔ h domă enìc montèlou ARMA(n, m), pou tairiĹzei sta metasqhmatismèna dedomèna, èqei anagnwristeÐ,
to epìmeno băma eÐnai h ektÐmhsh twn paramètrwn tou:
φ = [φ1 φ2 ... φn ]T (6.11)
θ = [θ1 θ2 ... θm ]T (6.12)
2
σW = E{Wt2 } (6.13)
µ = E{Xt } (6.14)
Autì sunăjwc gÐnetai ektimÿntac th mèsh timă m thc qronoseirĹc kai qrhsimopoiÿntac tic metrăseic (para-
thrăseic) Xt (t = 1, 2, 3, ..., N ) apì tic opoÐec èqei afairejeÐ h mèsh timă. UpĹrqoun arketèc mèjodoi ektÐmhshc
twn paramètrwn tou montèlou apì ta dedomèna. Sto keÐmeno autì ja periorisjoÔme se merikèc apì autèc pou
jewroÔntai basikèc.
6.2.1 H Mèjodoc twn Ropÿn (Method of Moments)

H mèjodoc aută qrhsimopoieÐtai kurÐwc gia montèla AR. JewreÐste gia, parĹdeigma, montèlo AR(n):
Xt − φ1 · Xt−1 − ... − φn · Xt−n = Wt (6.15)

Gia thn ektÐmhsh tou φ qrhsimopoieÐtai h idiìthta tou montèlou autoÔ:
γk = φ1 · γk−1 + φ2 · γk−2 + ... − φk · γk−n (k ≥ 1) (6.16)

apì thn opoÐa prokÔptoun oi gnwstèc exisÿseic twn Yule-Walker gia k = 1, 2, ..., n:
γ1 = φ1 · γ0 + φ 2 · γ1 + ··· + φn · γn−1
γ2 = φ1 · γ1 + φ 2 · γ0 + ··· + φn · γn−2
.. .. .. ..
. . . .
γn = φ1 · γn−1 + φ2 · γn−2 + ··· + φ n · γ0
⎡ ⎤ ⎡ ⎤ ⎡ ⎤
γ1 γ0 γ1 ... γn−1 φ1
⎢ γ2 ⎥ ⎢ γ1 γ0 ... γn−2 ⎥ ⎢ φ2 ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥
⇔⎢ .. ⎥=⎢ .. .. .. ⎥ · ⎢ .. ⎥ (6.17)
⎣ . ⎦ ⎣ . . . ⎦ ⎣ . ⎦
γn γn−1 γn−2 . . . γ0 φn

exisÿseic Yule-Walker
Oi exisÿseic autèc qrhsimopoioÔntai gia thn ektÐmhsh tou dianÔsmatoc φ metĹ thn antikatĹstash twn γi me
tic ektimăseic touc γ̂i (i = 0, 1, 2, ..., n).
Gia montèla ARMA(n, m) qrhsimopoioÔntai oi sqèseic:

2
γ0 = φ1 · γ1 + φ2 · γ2 + ··· + φn · γn + σW [1 − θ1 G1 − . . . − θm Gm ]
2
γ1 = φ1 · γ0 + φ2 · γ1 + ··· + φn · γn−1 + σW [−θ1 − θ2 G1 − . . . − θm Gm−1 ]
.. .. .. ..
. . . .
2
γm = φ1 · γm−1 + φ2 · γm−2 + ··· + φn · γm−n + σW [−θm ]
γm+1 = φ1 · γm + φ2 · γm−1 + ··· + φn · γm−n
.. .. .. ..
. . . .
γm+n = φ1 · γm+n−1 + φ2 · γm+n−2 + ··· + φn · γm
(6.18)
Oi teleutaÐec n ex autÿn apoteloÔn grammikì sÔsthma wc proc to Ĺgnwsto diĹnusma φ, oi de prÿtec m + 1
2
mporoÔn na epilujoÔn, en suneqeÐa, wc proc to diĹnusma θ kai σW . Gia ton skopì autì aparaÐthth eÐnai h
antikatĹstash twn G1 , G2 , ..., Gm me ekfrĹseic pou apoteloÔn sunartăseic twn φ, θ. Oi exisÿseic pou telikĹ
prokÔptoun wc proc θ eÐnai pĹntwc mh grammikèc.
Shmeiÿnetai pĹntwc ìti h mèjodoc twn ropÿn eÐnai idiaÐtera euaÐsjhth se arijmhtikĹ sfĹlmata prosèg-
gishc (rounding errors) kai parèqei sqetikĹ mikră akrÐbeia. Gia to lìgo autì sunăjwc qrhsimopoieÐtai san
mèjodoc proektÐmhshc twn paramètrwn.
6.2.2 Mèjodoc SfĹlmatoc Prìbleyhc (Prediction Error Method)

H mèjodoc prìbleyhc sfĹlmatoc basÐzetai sthn elaqistopoÐhsh kĹpoiac jetikăc bajmwtăc sunĹrthshc thc
akoloujÐac prìbleyhc enìc bămatoc. Ÿtoi, eĹn parastăsoume wc p to diĹnusma twn upì ektÐmhsh paramètrwn,
h ektimătria sunĹrthsh p̂ sthn perÐptwsh aută orÐzetai wc:
( )
1
N T
∆
p̂ = arg min Ŵt 1/p p = φT θT (6.19)
N t=1
ìpou:
N : arijmìc dedomènwn
Ŵt (1/p) : sfĹlma prìbleyhc enìc bămatoc (pou apoteleÐ sunĹrthsh tou p tou montèlou)
(·) : bajmwtă jetikă sunĹrthsh

Ανεστραµµένο
µοντέλο
Wt Θ0 ( B) Xt Θ( B , p ) Ŵt (1/p)
Φ 0 ( B) Φ( B , p )
Σύστηµα S
Ελαχιστοποίηση Κριτηρίου
(∆ιαδικασία Εκτίµησης)
Μη παρατηρήσιµο Παρατηρήσιµο
Sqăma 6.2: Domikì diĹgramma diadikasÐac ektÐmhshc.
Gia thn katanìhsh thc mejìdou autăc jewreÐste ìti dedomèna èqoun paraqjeÐ apì to pragmatikì montèlo
ARMA(n, m) (ìpou onomĹzetai sÔsthma):

S : Φo (B) · Xt = Θo (B) · Wt 2
Wt ∼ N ID 0, σW (6.20)
(To sÔmbolo “o” qrhsimopoieÐtai gia na xeqwrÐzei to pragmatikì sÔsthma apì upoyăfia montèla). To sÔsthma
S eÐnai sthn pragmatikìthta Ĺgnwsto ston analută-ektimhtă. Skopìc de thc ektÐmhshc eÐnai h epilogă ekeÐnou
tou montèlou (dianÔsmatoc twn paramètrwn p), apì thn tĹxh twn upoyăfiwn montèlwn:
2

M : Φ (B, p) · Xt = Θ (E, p) · Ŵt (1/p) Ŵt (1/p) ∼ N ID 0, σW (6.21)
pou plèon katĹllhla tairiĹzei sto sÔsthma S. Sthn parapĹnw exÐswsh thc tĹxhc twn upoyăfiwn montèlwn
to diĹnusma p epitrèpetai na pĹrei ìlec tic apodektèc (gia stasimìthta kai antistreyimìthta) timèc twn
antÐstoiqwn paramètrwn.
Φ (B, p) = 1 − φ1 · B − φ2 · B 2 − . . . − φn · B n (6.22)
Θ (B, p) = 1 − θ1 · B − θ2 · B 2 − . . . − θm · B m (6.23)
Xt : qronoseirĹ parathrăsewn
Ŵt (1/p) : sfĹlma prìbleyhc enìc bămatoc pou antistoiqeÐ sto montèlo me diĹnusma paramètrwn p.
DiagrammatikĹ h ektÐmhsh mèsw thc mejìdou sfĹlmatoc prìbleyhc mporeÐ na parastajeÐ wc faÐnontai sto
Sqăma 6.2.
To montèlo M (p) èqei epilegeÐ apì thn tĹxh twn upoyhfÐwn montèlwn M gia sugkekrimènh timă tou p.
Sto parapĹnw domikì diĹgramma fantasteÐte to montèlo M (p) san rujmizìmeno (tunable), mèsw rÔjmishc
twn paramètrwn tou p. H diadikasÐa ektÐmhshc diadramatÐzei akribÿc autì to rìlo, mèsw thc elaqistopoÐ-
hshc tou krithrÐou sfĹlmatoc prìbleyhc. Epilègei dhladă to diĹnusma p oÔtwc ÿste to montèlo M (p) na
parĹgei to mikrìtero (katĹ thn ènnoia tou krithrÐou) sfĹlma prìbleyhc.
EÐnai fanerì ìti, efìson oi tĹxeic tou jewroÔmenou montèlou sumpÐptoun me ekeÐnec tou sustămatoc, ja
èqoume gia p = po ( po : to diĹnusma twn paramètrwn tou sustămatoc, ătoi to swstì diĹnusma paramètrwn):
Ŵt (1/po ) = Wt : akoloujÐa leukoÔ jorÔbou (6.24)

Epomènwc ìtan to montèlo epilègetai swstĹ (M (p) ≡ S) h akoloujÐa sfĹlmatoc prìbleyhc enìc bămatoc

tou montèlou Ŵt 1/p ja gÐnei leukă, kai ja sumpèsei me thn antÐstoiqh tou sustămatoc (Wt ).
Paramènei akìmh mìno èna erÿthma sqetikĹ me thn filosofÐa thc mejìdou sfĹlmatoc prìbleyhc:
GiatÐ h elaqistopoÐhsh tou krithrÐou sfĹlmatoc prìbleyhc prèpei, anagkastikĹ, na odhgăsei sto p = po
(taÔtish tou montèlou me to sÔsthma) kai ìqi me kĹpoio Ĺllo montèlo?
H apĹnthsh eÐnai profanăc kajìti se mia tètoia perÐptwsh ja eÐqame èna montèlo diaforetikì apì ekeÐno
pou parăgage h qronoseirĹ Xt na thn problèpei kalÔtera.
To epiqeÐrhma autì mporeÐ na pistopoihjeÐ eÔkola kai majhmatikĹ wc exăc: JewreÐste th sunăjh perÐptwsh
2
ìpou h sunĹrthsh (·) epilègetai wc (·) = (·) . To kritărio pou elaqistopoieÐtai eÐnai tìte h deigmatikă
diasporĹ thc akoloujÐac Ŵt (1/p):
N
1 2
p̂ = arg min Ŵ (1/p) (6.25)
N t=1 t
JewrhtikĹ, epomènwc, elaqistopoioÔme to kritărio E{Ŵt2 (1/p)}.
AllĹ:
Φ (B, p) Θo (B)
Ŵt (1/p) = · · Wt (6.26)
Θ (B, p) Φo (B)
Gia Φ (B, p) = Φo (B) kai Θ (B, p) = Θo (B) èqoume Ŵt (1/p) = Wt kai epomènwc: E{Ŵt2 (1/p)} = σW
2
.
Aută eÐnai kai h elĹqisth timă thc E{Ŵt2 (1/p)}.
PrĹgmati, eĹn:
o Φ(B, p) = Φo (B)
p = p ⇔
Θ(B, p) = Θo (B)
tìte h sunĹrthsh metaforĹc ja analuìtan wc exăc:
Φ (B, p) Θo (B)
· = 1 + f1 B + f2 B 2 + f3 B 3 + . . .
Θ (B, p) Φo (B)
kai:
E{Ŵt2 (1/p)} = (1 + f1 + f2 + f3 + . . .) · σW
2
2
pou eÐnai posìthta anagkastikĹ megalÔterh tou σW .
ShmeÐwsh: Pollèc forèc elaqistopoieÐtai sunĹrthsh (·) thc filtrarismènhc akoloujÐac sfal-
mĹtwn prìbleyhc ŴtF (1/p), ìpou:
ŴtF (1/p) = L (B) · Ŵt (1/p) (6.27)
kai L (B) katĹllhla epilegmèno fÐltro. 2
EktÐmhsh Montèlwn AR Mèsw thc Mejìdou SfĹlmatoc Prìbleyhc

JewreÐste to montèlo:
Φ (B) · Xt = Ŵt (1) (6.28)
⇔ Xt − φ1 · Xt−1 − . . . − φn Xt−n = Ŵt (1)

OrÐzontac:
T
p = [φ1 φ2 . . . φn ] (6.29)
T
φt = [Xt−1 Xt−2 . . . Xt−n ] (6.30)
H exÐswsh tou montèlou grĹfetai wc exăc:
Xt = φTt · p + Ŵt (1/p) (6.31)

Erqìmaste tÿra sto prìblhma thc ektÐmhshc. àstw to upì ektÐmhsh sÔsthma:

S: Φo (B) · Xt = Wt 2
Wt ∼ N ID 0, σW (6.32)
ă
Xt = φTt · po + Wt (6.33)
kai M h tĹxh twn jewroÔmenwn montèlwn:

M: Φo (B, p) · Xt = Ŵt (1/p) 2
Ŵt (1/p) ∼ N ID 0, σŴ (6.34)
ă
Xt = φTt · p + Ŵt (1/p) (6.35)
SÔmfwna me th mèjodo sfĹlmatoc prìbleyhc h ektimătria p̂ ja eÐnai:
N
1 2
p̂ = arg min Ŵ (1/p) (6.36)
N t=1 t
To kritărio ektÐmhshc mporeÐ na grafeÐ wc exăc:
1 2
N N
1 2
J = Ŵt (1/p) = Xt − φTt · p (6.37)
N t=1 N t=1
Gia thn elaqistopoÐhsă tou paragwgÐzoume wc proc to diĹnusma p kai èqoume:
2
N
∂J
= Xt − φTt · p · (−φt ) (6.38)
∂p N t=1
kai jètontac ∂J
∂ p = 0 paÐrnoume tic kanonikèc exisÿseic (Normal Equations)

N

N

1 1 T
φ Xt = φφ p (6.39)
N t=1 t N t=1 t t
n×1
n×1 n×n

N
−1
N

1 1
p̂ = φ φT · φ Xt ektimătria (6.40)
N t=1 t t N t=1 t
H ektimătria aută eÐnai gnwstă wc ektimătria grammikÿn elaqÐstwn tetragÿnwn (Linear Least squares Estima-
2
tor). H diasporĹ σ̂W en suneqeÐa ektimĹtai wc exăc:
1 2
N N
1
2
σ̂W 2
= σŵ (p̂) = Ŵt (1/p̂) = Xt − φTt · p̂ (6.41)
f t=1 f t=1
ìpou:
f = arijmìc bajmÿn eleujerÐac
= (arijmìc ìrwn tou ajroÐsmatoc tetragÿnwn) - (arijmìc ektimhjeisÿn paramètrwn)

EktÐmhsh Montèlwn MA kai ARMA

Enÿ, ìpwc eÐdame, to sfĹlma prìbleyhc 1 bămatoc eÐnai grammikă sunĹrthsh tou upì ektÐmhsh dianÔsmatoc
p sthn perÐptwsh montèlou AR,
Ŵt (1/p) = Φ (B, p) · Xt = Xt − φTt · p (6.42)

autì den isqÔei gia montèla MA kai ARMA. Autì eÐnai eÔkolo na to diapistÿsei kaneÐc apì th sqèsh:
Φ (B, p)
Ŵt (1/p) = · Xt (6.43)
Θ (B, p)
pou eÐnai mh grammikì poluÿnumo wc proc Θ (B, p).
Gia ta montèla autĹ prèpei epomènwc na efarmosteÐ mia arijmhtikă epanalhptikă diadikasÐa elaqistopoÐ-
hshc tou krithrÐou:
N
1
J = ·Ŵ 2 (1/p) (6.44)
N t=1 t
To prìblhma elaqistopoÐhshc autì eÐnai gnwstì san to prìblhma twn Mh grammikÿn ElaqÐstwn Tetragÿnwn
(Non Linear Least Squares).
Mia kathgorÐa mejìdwn beltistopoÐhshc gia ton entopismì tou dianÔsmatoc p pou elaqistopoieÐ to kri-
tărio sfĹlmatoc prìbleyhc eÐnai h exăc:

p̂(i+1) = p̂(i) − µ(i) · R(i) · J p̂(i) , X1N (6.45)
ìpou:
p̂(i) : ektimătria tou p sthn epanĹlhyh i.
µ(i) : mègejoc bămatoc

Ri : pÐnakac d × d pou tropopoieÐ th dieÔjunsh anazăthshc tou elaqÐstou d = dim (p) .
∂J 2
N
J p̂(i) , X1N = =− ψ (p) · Ŵt (1/p) (6.46)
∂p N t=1 t
me:
∂ Ŵt (1/p) ∂ X̂t (1/p)

ψ t (p) = − = (6.47)
∂p ∂p
kajìti Ŵt (1/p) = Xt+1 − X̂t (1/p)
X1N = {X1 , X2 , . . . , XN } (6.48)

(i)
Shmeiÿnetai epÐshc ìti to băma µ prèpei na epilègetai oÔtwc ÿste:

J p̂(i+1) < J p̂(i) (6.49)
EpÐshc diaforetikèc epilogèc thc R(i) odhgoÔn se diaforetikèc mejìdouc, ătoi:
A. Mèjodoc Mègisthc KlÐshc (Gradient Method ă Steepest-descent Method)
R(i) = I monadiaÐoc pÐnakac (6.50)

H mèjodoc aută eÐnai arketĹ argă sthn perioqă tou elaqÐstou.
B. Mèjodoi Newton

R(i) = J p̂(i) , X1N (6.51)

ìpou J p(i) , X1N eÐnai h Hessian thc J wc proc p:
(N )
∂ 2
J 2 N
T
J p(i) , X1N = = ψ (p) · ψ t (p) + ψ t (p) · Ŵt (1/p) (6.52)
∂p · ∂pT N t=1 t t=1
ìpou:
ψ t (p) : d × d Hessian tou − Ŵt (1/p)

ătoi:
∂ 2 Ŵt (1/p)
ψ t (p) = −
∂p · ∂pT
KontĹ sto elĹqisto, p = po , h akoloujÐa Ŵt (1/p) ja eÐnai perÐpou leukă. Tìte ìmwc kai o deÔteroc ìroc
thc J ja eÐnai polÔ mikrìc, kajìti:
E{ψ t (po ) · Ŵt (1/po )} = 0

Epomènwc sth perioqă tou p = po ja èqoume:
2
N
J p(i) , X1N ≈ ψ (p) · ψ T (p) (6.53)
N t=1 t
H parapĹnw prosèggish thc J èqei to prìsjeto pleonèkthma ìti eÐnai mh arnhtikĹ orismènh, kai qrhsi-
mopoieÐtai eurèwc. H mèjodoc aută eÐnai gnwstă wc Mèjodoc Gauss-Newton ă Method of Scoring. Orismènoi
suggrafeÐc qrhsimopoioÔn thn onomasÐa Gauss-Newton ìtan µ(i) = 1, kai aposbenìmenh mèjodoc Gauss-Newton
ìtan to băma µ(i) eÐnai metaballìmeno.
Shmeiÿnetai ìti parĹ to gegonìc ìti h parapĹnw prosèggish tou J eÐnai mh arnhtikĹ orismènh, se
orismènec periptÿseic mporeÐ det (J ) ≈ 0 (singularity). Autì sumbaÐnei suqnĹ se periptÿseic uperektÐmhshc
thc tĹxhc tou jewroÔmenou montèlou. Oi teqnikèc pou upĹrqoun gia thn antimetÿpish tou problămatoc autoÔ
eÐnai genikĹ gnwstèc wc mèjodoi kanonikopoÐhshc (Regularization methods). Mia koină tètoia mèjodoc gnwstă
wc Levenberg - Marquardt, epilègei thn J wc akoloÔjwc:
2
N
J p(i) , X1N ≈ ψ (p) · ψ T (p) + δ · I (6.54)
N t=1 t
δ: mikrìc jetikìc arijmìc
I: monadiaÐoc pÐnakac
2
MetĹ thn ektÐmhsh tou dianÔsmatoc p h diasporĹ σW thc akoloujÐac leukoÔ jorÔbou ektimĹtai wc:
N
2 1
σ̂W = Ŵt (1/p̂) (6.55)
f t=1
ìpou:
f = arijmìc bajmÿn eleujerÐac =
= (arijmì ìrwn tou ajroÐsmatoc tetragÿnwn) - (arijmìc ektimhjèntwn paramètrwn)

∂ Ŵt (1/p)
Upologismìc tou dianÔsmatoc ψ t (p) = − ∂p
Gia montèlo ARMA to sfĹlma prìbleyhc enìc bămatoc dÐnetai apì th sqèsh:
Φ (B, p) · Xt = Θ (B, p) · Ŵt (1/p) (6.56)

DiaforÐzontac th sqèsh aută diadoqikĹ wc proc φκ , θκ èqoume:
∂ Ŵt (1/p) ∂ Ŵt (1/p) −1

−B κ · Xt = Θ (B, p) · ⇒ = · B κ · Xt (κ = 1, 2, . . . , n)
∂φκ ∂φκ Θ (B, p)
∂ Ŵt (1/p) ∂ Ŵt (1/p) B κ · Ŵt (1/p)

−Bκ · Ŵt (1/p) + Θ (B, p) · =0⇒ = (κ = 1, 2, . . . , m)
∂θκ ∂θκ Θ (B, p)
Epomènwc:
⎡ ⎤ ⎡ ⎤
∂ Ŵt /∂φ1 +Xt−1
⎢ .. ⎥ ⎢ .. ⎥
⎢ ⎥ ⎢ ⎥
⎢ . ⎥ ⎢ . ⎥
∂ Ŵt (1/p) ⎢ ⎥ 1 ⎢ +Xt−n ⎥
⎢ ∂ Ŵt /∂φn ⎥ ⎢ ⎥
ψ t (p) = − = −⎢ ⎥= ·⎢ ⎥ (t = 1, 2, . . . , N ) (6.57)
∂θκ ⎢ ∂ Ŵt /∂θ1 ⎥ Θ (B, p)
⎢ ⎥ ⎢ −Ŵt−1 ⎥
⎢ .. ⎥ ⎢ .. ⎥
⎣ . ⎦ ⎣ . ⎦
∂ Ŵt /∂θm −Ŵt−m
Analutikìtera o upologismìc twn ∂ Ŵt (1/p) /∂φκ kai ∂ Ŵt (1/p) /∂θκ gÐnetai epÐ th bĹsei twn wc Ĺnw
sqèsewn wc exăc. àstw gia eukolÐa o sumbolismìc:
∂ Ŵt (1/p) ∂ Ŵt (1/p)

= uκt = υtκ
∂φκ ∂θκ
kai èqoume:
Θ (B, p) · uκt = −Xt−κ ⇔ uκt = θ1 ut−1

t + . . . + θm ut−m
t − Xt−κ (6.58)
(t = 1, 2, . . . , N ) , (κ = 1, 2, . . . , N )
Θ (B, p) · υtκ = +Ŵt−κ (1/p) ⇔ uκt = θ1 υtt−1 + . . . + θm υtt−m + Ŵt−κ (1/p) (6.59)
(t = 1, 2, . . . , N ) , (κ = 1, 2, . . . , N )
Oi akoloujÐec autèc upologÐzontai epanalhptikĹ gia dojèn diĹnusma p, afoÔ bèbaia prÿta upologisjeÐ h
apaitoÔmenh akoloujÐa Ŵt (1/p) = [Φ (B, p) · Xt ] /Θ (B, p).
Idiìthtec twn Ektimhtriÿn SfĹlmatoc Prìbleyhc

EÐnai gnwstì ìti h ektimătria sfĹlmatoc prìbleyhc asumptwtikĹ (N → ∞) sugklÐnei se tuqaÐa dianusmatikă
metablhtă pou akoloujeÐ kanonikă katanomă, ătoi:
√
N · (p̂ − po ) ∈ N (0, P ) (N → ∞) (6.60)
àqoume dhladă sÔgklish se katanomă (convergence in distribution) ìpou o pÐnakac sundiasporĹc (covariance
matrix) P dÐnetai apì th sqèsh:
−1
P = E{ψ t (po ) · ψ Tt (po )} 2
· σW (6.61)
Epomènwc o pÐnakac sundiasporĹc thc ektimătriac p̂ mporeÐ na ektimhjeÐ apì th sqèsh:

( N
)−1
ˆ [p̂] = 1
∆ 1 1
Cov ψ (p̂) · ψ Tt (p̂) 2
· σ̂W = · P̂ (6.62)
N N t=1 t N
UpenjumÐzetai ìti:
∆ T
Cov [p̂] = E{[p̂ − E{p̂}] · [p̂ − E{p̂}] } = E{δp · δpT } =
⎡ ⎤
Var (δp1 ) Cov (δp1 , δp2 ) . . . Cov (δp1 , δpd )
⎢ . . . Cov (δp2 , δpd ) ⎥
= ⎣ Cov (δp2 , δp1 ) Var (δp2 ) ⎦ (6.63)
.. .. ..
. . .
ìpou:
E{p̂} → po (N → ∞) Sunèpeia (consistency)
ShmeÐwsh 1: Efìson o arijmìc dedomènwn N eÐnai ikanopoihtikĹ megĹloc ÿste na isqÔoun, me

kală prosèggish, ta parapĹnw apotelèsmata, to 95% diĹsthma empistosÔnhc gia th bajmwtă
parĹmetro pi eÐnai:
* *
p̂i − 1.96 ˆ o ˆ (p̂i )
Var (p̂i ) ≤ pi ≤ p̂i + 1.96 Var (i = 1, 2, . . . , d) (6.64)
ˆ (p̂i ) = Var
kai profanÿc, Var ˆ (δpi ).
SuqnĹ to diĹsthma empistosÔnhc miac paramètrou elègqetai gia to an perilambĹnei thn timă mhdèn,
kai eĹn autì sumbaÐnei tìte exetĹzetai to endeqìmeno h sugkekrimènh parĹmetroc na mhdenisteÐ
epakribÿc. Autì gÐnetai mèsw elègqou thc upojèsewc:
Ho : poi = pio ìpou pio h upì exètash timă (6.65)
qrhsimopoiÿntac thn statistikă posìthta:
p̂ − pio
t = *i (6.66)
ˆ (p̂i )
Var
h opoÐa akoloujeÐ katanomă t me N − (n + m + 1) bajmoÔc eleujerÐac sthn perÐptÿsh tou mo-

ntèlou ARMA(n, m). Genikìtera o arijmìc twn bajmÿn eleujerÐac eÐnai Ðsoc me ton arijmì twn
dedomènwn pou qrhsimopoioÔntai katĹ thn ektÐmhsh meÐon ton arijmì twn paramètrwn pou ekti-
măjhkan. H upìjesh Ho aporrÐptetai me bebaiìthta l (epÐpedo empistosÔnhc l, ătoi pijanìthta
lĹjouc l) eĹn:
| p̂i − pio |
* ≥ tλ/2 (6.67)
ˆ (p̂i )
Var
ìpou tλ eÐnai h 100 · (1 − λ)% krÐsimh timă katanomăc t me ton proanaferjènta arijmì bajmÿn
eleujerÐac (tλ : timă pou qarakthrÐzetai apì P r [t ≤ tλ ] = λ).
p̂ −p
Exăghsh: EĹn √ i ˆ io ∼ t [N − (n + m + 1)] tìte h posìthta aută ja brÐsketai sto diĹsthma
Var(p̂i )

tλ/2 , t1−λ/2 me pijanìthta 1-l. Ÿtoi:
| p̂ − pio |
tλ/2 ≤ *i ≤ t1−λ/2 me pijanìthta 1-l
ˆ (p̂i )
Var
| p̂ − pio |
−t1−λ/2 ≤ *i ≤ t1−λ/2 me pijanìthta 1-l
ˆ (p̂i )
Var
| p̂ − pio |
tλ/2 ≤ *i ≤ −tλ/2 me pijanìthta 1-l
ˆ (p̂i )
Var
Sqăma 6.3: σ.p.p. katanomăc t

2
+ [p̂] upologÐzetai h anhgmènh sundia-

ShmeÐwsh 2: Apo ton ektimhjènta pÐnaka sundiasporĹc Cov
kÔmansh metaxÔ twn p̂i , p̂j :
+ (p̂i , p̂j )
Cov
ˆp̂i ,p̂j = * (6.68)
+ (p̂i ) Var
Var + (p̂j )
gia thn opoÐa isqÔei:
| ˆp̂i ,p̂j |≤ 1
MegĹlh kat epilogă timă, ˆp̂i ,p̂j upodhlÿnei ìti ènac ek twn dÔo paramètrwn p̂i , p̂j den qreiĹzetai,
endeqomènwc, na sumperilhfjeÐ sto montèlo. Sthn perÐptwsh aută afaireÐtai apì to montèlo o
antÐstoiqoc ìroc kai epanalambĹnetai h ektÐmhsh. 2
6.3. ELEGQOS EGKUROTHTAS MONTELWN ARMA (MODEL VALIDATION) 87
6.3 àlegqoc Egkurìthtac Montèlwn ARMA (Model Validation)

O èlegqoc egkurìthtac ektimhjèntoc montèlou mporeÐ na gÐnei mèsw diafìrwn katĹllhlwn ergaleÐwn. äla
ousiastikĹ sthrÐzontai sthn epibebaÐwsh twn basikÿn upojèsewn pou prèpei na isqÔoun se kĹje montèlo
ARMA. MerikĹ apì ta plèon sunăjh ergaleÐa eÐnai ta akìlouja:
A. àlegqoc kanonikăc katanomăc upoloÐpwn: KataskeuĹzetai to istìgramma thc qronoseirĹc
Ŵt (1/p̂) /σ̂W kai sugkrÐnetai me thn kanonikă katanomă.
B. àlegqoc stajerăc diasporĹc upoloÐpwn: UpologÐzetai h timă tou l tou metasqhmatismoÔ Box-
Cox gia thn opoÐa to Ĺjroisma twn tetragÿnwn twn metasqhmatismènwn upoloÐpwn eÐnai elĹqisto.
G. àlegqoc leukìthtac upoloÐpwn: UpologÐzetai h anoigmènh summetablhtìthta κ kai merikă
autosusqètish Φκκ kai elègqetai h upìjesh leukoÔ jorÔbou se epÐpedo empistosÔnhc (pijanìthta
sfĹlmatoc) 5% exetĹzontac an:
√
| κ |< 1.96 N
√
| Φκκ |< 1.96 N
Epiprìsjeta tìso to κ ìso kai to Φκκ de ja prèpei na emfanÐzoun prìtupa, estw kai an eÐnai
mèsa sta proanaferjènta ìria. àna qrăsimo tèst leukìthtac eÐnai kai to legìmeno tèst Q (Q
test; portmanteau lack of fit test). To test autì qrhsimopoieÐ tic ektimhjèntec timèc thc anoigmènhc
autosummetablhtìthtac κ twn upoloÐpwn gia ton èlegqo thc upojèsewc:
Ho : 1 = 2 = . . . = κ = 0
mèsw thc statistikăc posìthtac:
K
−1
Q = N · (N + 2) · (N − κ) · ˆ2κ (6.69)
κ=1
h opoÐa akoloujeÐ proseggistikĹ katanomă X 2 (K − d) ìpou d o arijmìc twn paramètrwn pou

ektimăjhkan sto montèlo.
D. àlegqoc apaleifăc pìlwn-mhdenistÿn: SuqnĹ h Ôparxh zeÔgouc pìlou mhdenistă pou, proseg-
gistikĹ, apaleÐfontai sto montèlo eÐnai èndeixh gia thn meÐwsh twn tĹxewn tou montèlou katĹ
èna.
ShmeÐwsh: àstw ìti ektimoÔme to montèlo:
Φ (B) · Xt = Θ (B) · Ŵt (1/p)

eĹn ta ektimhjènta upìloipa akoloujoÔn montèlo:
Ŵt (1/p) = Θ (B) · Wt

ă
Φ (B) · Ŵt (1/p) = Wt
h ektÐmhsh mporeÐ na epanalhfjeÐ antÐstoiqa gia to montèlo:
Φ (B) · Xt = Θ (B) · Θ (B) · Wt
ă
Φ (B) · Φ (B) · Xt = Θ (B) · Wt
antÐstoiqa.
2
6.4 Krităria Epilogăc Montèlou

Orismènec forèc ja upĹrxoun perissìtera tou enìc eparkă montèla gia mia qronoseirĹ, enÿ se Ĺllec peri-
ptÿseic h anagnÿrish (ektÐmhsh thc tĹxhc) enìc eparkoÔc montèlou ja eÐnai polÔ dÔskolh.
Se autèc tic periptÿseic eÐnai idiaÐtera qrăsima ta krităria epilogăc montèlou pou anafèrontai parakĹtw.
Ta krităria autĹ qrhsimopoioÔn to gegonìc ìti to RSS (Ĺjroisma tetragÿnwn twn upoloÐpwn) meiÿnetai kajÿc
auxĹnetai h tĹxh tou montèlou, kai elègqoun katĹ pìso h meÐwsh aută eÐnai shmantikă ÿste na dikaiologeÐ
to auxhmèno mègejoc (diĹstash) montèlou. MerikĹ apì ta plèon gnwstĹ krităria epilogăc montèlou eÐnai ta
akìlouja:
6.4.1 àlegqoc F (F-test)

O èlegqoc autìc anafèretai se dÔo montèla, èstw ARMA(n1 , m1 ) kai ARMA(n2 , m2 ). àstw RSS1 kai RSS2
to Ĺjroisma twn tetragÿnwn twn upoloÐpwn antÐstoiqa, kai èstw d1 = n1 + m1 , d2 = n2 + m2 me d1 > d2 .
EĹn N o arijmìc twn parathrăsewn, h posìthta:

RSS2 − RSS1 RSS1
F = ÷ ∼ F (d1 − d2 , N − d1 ) (6.70)
d1 − d2 N − d1
akoloujeÐ, proseggistikĹ, katanomă F me d1 − d2 , N − d1 bajmoÔc eleujerÐac. EÐnai epomènwc dunată h

orgĹnwsh enìc elègqou gia ton èlegqo thc upojèsewc:
Ho : RSS1 = RSS2 (to montèlo 2 eparkeÐ)

se epipedo empistosÔnhc 1-l ă epÐpedo bebaiìthtac 1-l (ătoi pijanìthta lĹjouc 1-l). H upìjesh Ho aporrÐ-
ptetai, se epÐpedo empistosÔnhc 1-l, eĹn:
F > fλ (d1 − d2 , N − d1 ) (6.71)

ìpou fλ eÐnai h timă gia thn opoÐa P [f ≤ fλ ] = λ gia katanomă me touc proanaferjèntec bajmoÔc eleujerÐac:
Sqăma 6.4: σ.p.p. katanomăc f (P [f ≤ fλ ] = λ).
6.4.2 Ta Krităria AIC kai BIC

Ta krităria autĹ èqoun protajeÐ apì ton Akaike kai upologÐzontai wc exăc:
2
AIC = N · ln σ̂W + 2 (n + m) Akaike Information Criterion (6.72)
2 1
BIC = ln σ̂W + · (n + m) · ln (N ) Bayesian Information Criterion (6.73)
N
6.4. KRITHRIA EPILOGHS MONTELOU 89
ìpou:
N: diajèsimoc arijmìc dedomènwn
n: tĹxh AR
m: tĹxh MA
2
σ̂W : ektimhjăsa diasporĹ leukoÔ jorÔbou.
To montèlo pou elaqistopoieÐ to kritărio AIC ă BIC epilègetai wc bèltisto.
ShmeÐwsh: àqei deiqjeÐ ìti to AIC teÐnei na uperektimăsei thn tĹxh montèlou AR. To BIC jew-
reÐtai ligìtero pijanì na kĹnei mÐa tètoia uperektÐmhsh. 2

6.5.1 Stoqastikă MontelopoÐhsh tou Sămatoc TalĹntwshc
EktÐmhsh akoloujÐac montèlwn
Mia èndeixh gia thn apaitoÔmenh tĹxh tou montèlou, toulĹqiston ìso aforĹ to AR tmăma tou, mporoÔme
na èqoume apì to fĹsma. Efìson to fĹsma èqei treic korufèc, èqoume kai treic fusikèc suqnìthtec, pou
antistoiqoÔn se trÐa zeugĹria migadikÿn pìlwn. Ăra h elĹqisth tĹxh tou AR tmămatoc eÐnai èxi.
ArqÐzoume na ektimoÔme loipìn montèla thc morfăc ARMA(n, n) gia n=6,7,8,.... En suneqeÐa kataskeuĹ-
zoume grafămata twn sunartăsewn AIC kai BIC gia tic diaforetikèc timèc tou n, ìpwc faÐnetai sto Sqăma 6.5.
−4800
−4900
AIC ARMA(n,n)
−5000
−5100
−5200
−5300
−5400
6 7 8 9 10 11 12
n ( order of model )
−2.4
−2.45
BIC ARMA(n,n)
−2.5
−2.55
−2.6
−2.65
6 7 8 9 10 11 12
n ( order of model )
Sqăma 6.5: Krităria epilogăc montèlou thc morfăc ARMA(n, n).
äpwc faÐnetai, ta krităria faÐnetai na upodeiknÔoun to montèlo ARMA(7, 7). FaÐnetai ìmwc, ìti to
ARMA(9, 9) dÐnei kai autì arketĹ mikrèc timèc sta krităria kai mĹlista sto AIC dÐnei mikrìterh timă apì to
ARMA(7, 7), kĹti pou de sumbaÐnei me to BIC kritărio. Autì mporeÐ na exhghjeÐ an lhfjeÐ upìyin to gegonìc
ìti to AIC teÐnei na uperektimăsei thn tĹxh AR tou montèlou.
Prokatarktikìc èlegqoc tou epilegèntoc montèlou

Gia to epilegèn montèlo upologÐzoume ta exăc stoiqeÐa:
ParĹmetroi
To montèlo pou epilègetai eÐnai ARMA(7, 7):
Xt − φ1 · Xt−1 − φ2 · Xt−2 − φ3 · Xt−3 − φ4 · Xt−4 − φ5 · Xt−5 − φ6 · Xt−6 − φ7 · Xt−7 =
Wt − θ1 · Wt−1 − θ2 · Wt−2 − θ3 · Wt−3 − θ4 · Wt−4 − θ5 · Wt−5 − θ6 · Wt−6 − θ7 · Wt−7 (6.74)

Oi parĹmetroi tou montèlou thc exÐswshc (6.74) kai oi tupikèc apoklÐseic touc, ìpwc upologÐzontai sto
Matlab (entolă Matlab: armax.m) faÐnontai stouc akìloujouc pÐnakec (prosoqă sto ìti h routÐna ektimĹ ta
−φi ):
φ1 φ2 φ3 φ4 φ5 φ6 φ7
ektÐmhsh 1.3503 -2.8417 2.2168 -2.6395 1.0287 -0.7506 -0.1306
tup. apìklish 0.0346 0.0525 0.1067 0.0941 0.1063 0.0522 0.0341
PÐnakac 6.1: EktimhjeÐsec parĹmetroi tou montèlou ARMA(7,7).
θ1 θ2 θ3 θ4 θ5 θ6 θ7
ektÐmhsh -1.3826 -1.4393 -2.0094 -1.8501 -1.2954 -1.2372 -0.6545
tup. apìklish 0.0266 0.0282 0.0325 0.0421 0.0311 0.0253 0.0214
PÐnakac 6.2: EktimhjeÐsec parĹmetroi tou montèlou ARMA(7, 7).
H ektimhjeÐsa diasporĹ leukoÔ jorÔbou eÐnai:
2 RSS
σ̂W = = 0.0682
N −
ìpou:
N
−1
RSS = Ŵt2 : arijmìc ektimhjeisÿn paramètrwn (en prokeimènw =14)
t=0
En suneqeÐa exetĹzetai katĹ pìso eÐnai dunată h meÐwsh thc tĹxewc tou MA tmămatoc tou montèlou.
EpiqeireÐtai h meÐwsh tou MA ìrou kai elègqontai oi timèc twn sunartăsewn AIC kai BIC gia montèla thc
morfăc ARMA(7, m). Ta grafămata twn sunartăsewn autÿn faÐnontai sto Sqăma 6.6.
−4600
BIC ARMA(7,m)
−4800
−5000
−5200
−5400
3 4 5 6 7 8
m ( MA part)
−2.4
BIC ARMA(7,m)
−2.5
−2.6
3 4 5
m ( MA part) 6 7 8
Sqăma 6.6: Krităria epilogăc montèlou ARMA(7, m).
äpwc faÐnetai kai apì to Sqăma 6.6 mia endeqìmenh meÐwsh thc tĹxewc tou MA tmămatoc tou montèlou
den odhgeÐ se peraitèrw meÐwsh twn exetazomènwn krithrÐwn, opìte kai aporrÐptetai.
àlegqoc Egkurìthtac tou Epilegèntoc Montèlou

GrĹfhma upoloÐpwn-èlegqoc kanonikìthtac
Sto grĹfhma twn upoloÐpwn paraleÐpoume tic prÿtec 50 timèc prokeimènou na apofÔgoume fainìmena me-
tabatikăc apìkrishc. EpÐshc oi timèc autèc paraleÐpontai kai apì ta grafămata gia ton èlegqo kanonikìthtac
twn upoloÐpwn. Ta sqetikĹ grafămata faÐnontai sto Sqăma 6.7.
1.5
0.5
−0.5
−1
0 1 2 3 4 0 1 2 3 4 0
Time ( sec )
residuals Normal Probability Plot

250
.999
200 .99
.95
Probability
150 .75
.5
100 .25
.05
50 .01
.001
0
−1 0 1 2 −0.5 0 0.5 1 1.5
Sqăma 6.7: Grafămata upoloÐpwn kai èlegqoc kanonikìthtac.
Apì to Sqăma 6.7 faÐnetai ìti ta upìloipa akoloujoÔn kanonikă katanomă me ikanopoihtikă akrÐbeia.
àlegqoc leukìthtac upoloÐpwn

Gia ton èlegqo leukìthtac twn upoloÐpwn kataskeuĹzontai ta diagrĹmmata anhgmènhc autosummetablh-
tìthtac kai merikăc autosusqètishc me ta statistikĹ ìria shmantikìthtac se epÐpedo sfĹlmatoc 5% (Sqăma
6.8).
0.2
0.1
A.C.F. ( ρκ )
−0.1
−0.2
0 20 40 60 80 100 120 140 160 180 200
Lag
0.2
P.A.C.F. (Φκκ )
0.1
−0.1
−0.2
0 20 40 60 80 100 120 140 160 180 200
Lag
Sqăma 6.8: Grafămata elègqou leukìthtac upoloÐpwn.
Sta diagrĹmmata autĹ blèpoume ìti upĹrqoun kĹpoiec timèc pou eÐnai èxw apì ta ìria, oi ìpoiec ìmwc,
kai sqetikĹ lÐgec eÐnai (apÿleiec thc tĹxhc tou 5% eÐnai dikaiologhmènec), kai den uperbaÐnoun uperbolikĹ ta
ìria. àtsi telikĹ mporoÔme na poÔme ìti ta upìloipa mporoÔn na jewrhjoÔn perÐpou leukĹ.
àlegqoc apaleifăc pìlwn mhdenistÿn

Gia ton èlegqo autì kataskeuĹzoume èna diĹgramma twn pìlwn kai twn mhdenistÿn sto migadikì epÐpedo
(Sqăma 6.9).
OUTPUT # 1 NOISE INPUT # 1

1
0.8
0.6
0.4
0.2
−0.2
−0.4
−0.6
−0.8
−1
−1 −0.8 −0.6 −0.4 −0.2 0 0.2 0.4 0.6 0.8 1
Sqăma 6.9: Pìloi (x) kai mhdenistèc (o) diakritoÔ sustămatoc.
EÐnai fanerì ìti den eÐnai dunată h apaleifă pìlou me mhdenistă. EpÐshc to gegonìc ìti ìloi oi pìloi
brÐskontai entìc tou monadiaÐou kÔklou (èstw kai oriakĹ) mac exasfalÐzei kai thn eustĹjeia tou sustămatoc.
Entolèc MATLAB:
En suneqeÐa paratÐjetai endeiktikĹ mia routÐna h opoÐa arqikĹ ektimĹ montèla me Ðdia tĹxh AR kai MA
(to mègisto kai to elĹqisto dÐnontai san ta orÐsmata minar, maxar, enÿ to ìrisma z eÐnai h qronoseirĹ se
morfă iddata), upologÐzontac tautìqrona kai tic sunartăseic BIC kai AIC gia kĹje montèlo. Ta grafămata
twn dÔo krithrÐwn kataskeuĹzontai, kai o qrăsthc kaleÐtai na epilèxei to katĹ th gnÿmh tou katallhlìtero
montèlo. Sth sunèqeia epiqeireÐtai meÐwsh thc tĹxhc tou MA tmămatoc kai ektimÿntai ta antÐstoiqa montèla
(h elĹqisth tĹxh gia to MA dÐnetai apì to qrăsth), kajÿc kai oi sunartăseic BIC kai AIC. AfoÔ epilegeÐ
to katallhlìtero montèlo gÐnetai èlegqoc leukìthtac kai kanonikìthtac twn upoloÐpwn mèsw sqetikÿn dia-
grammĹtwn. Tèloc dhmiourgeÐtai kai èna grĹfhma pìlwn-mhdenistÿn gia na elegqjeÐ h dunatìthta apaleifăc
pìlwn kai mhdenistÿn. San exìdouc dÐnei to Ĺjroisma twn tetragÿnwn twn upoloÐpwn RSS, ta krităria AIC
kai BIC kai ta upìloipa res.
6.5.2 Prìbleyh tou Sămatoc TalĹntwshc
To epilegèn montèlo qrhsimopoieÐtai gia thn prìbleyh enìc bămatoc tou sămatoc tìso sto tmăma ektÐmhshc
ìso kai sto tmăma elègqou egkurìthtac (entolă Matlab: predict.m). Sto Sqăma 6.10 faÐnetai èna megejumèno
grĹfhma twn problèyewn ” x” kai twn pragmatikÿn timÿn ” o” , enÿ sto Sqăma 6.11 faÐnetai èna antÐstoiqo
grĹfhma gia to tmăma elègqou egkurìthtac.
5
Signal
−5
1 1.012 1.024 1.036 1.048 1.06 1.072
Time ( sec )
Sqăma 6.10: Sugkritikì grĹfhma problèyewn kai pragmatikÿn timÿn tou sămatoc (tmăma ektÐmhshc). Oi
orizìntiec paÔlec upodeiknÔoun ta 95% diastămata empistosÔnhc.
2
Signal
−2
−4
−6
4 4.024 4.048 4.072 4.096
Time ( sec )
Sqăma 6.11: Sugkritikì grĹfhma problèyewn (x) kai pragmatikÿn timÿn (o) tou sămatoc (tmăma elègqou
egkurìthtac). Oi orizìntiec paÔlec upodeiknÔoun ta 95% diastămata empistosÔnhc.
ExetĹzontac ta sugkritikĹ diagrĹmmata twn problèyewn faÐnetai ìti h prìbleyă tou sămatoc epÐ th bĹsei
tou montèlou eÐnai epituqăc tìso sto tmăma ektÐmhshc, allĹ to kuriìtero, kai sto tmăma elègqou egkurìthtac.
H paratărhsh aută apoteleÐ èna peistărio gia thn orjìthta thc stoqastikăc montelopoÐhshc.
6.5.3 AnĹlush tou sămatoc talĹntwshc epÐ th bĹsei tou montèlou

Upologismìc pìlwn suneqoÔc qrìnou kai qarakthristikÿn thc talĹntwshc
Apì tic ektimhjeÐsec paramètrouc AR tou montèlou upologÐzontai oi pìloi tou diakritoÔ sustămatoc (entolèc
Matlab: th2zp.m, getzp.m).
Pìloi diakritoÔ qrìnou
−0.19 ± 0.980j
0.3279 ± 0.93j
0.60 ± 0.79j
-0.1376
H metĹbash apì ton diakritì ston suneqă qrìno gÐnetai me qrìnou me bĹsh tic sqèseic:
λ = eµTs (6.75)
,
-/ 02

2
1 - . ln (λk · λ∗k ) λ k + λ ∗
k
ωnk = · + cos−1 (r/sec) (6.76)
Ts 2 2 · λk · λ∗k
,
- 2
- (ln (λk · λ∗k ))
ζk = -
- / / 002 (6.77)
. 2 λk +λ∗
∗
(ln (λk · λk )) + 4 · cos −1 √ k
∗
2· λk ·λk
äpou:
λ: pìloc sustămatoc diakritoÔ qrìnou.
µ: pìloc sustămatoc suneqoÔc qrìnou.
Ts : suqnìthta deigmatolhyÐac.
ωnk : k fusikă suqnìthta (rad/sec).
ζk : k lìgoc apìsbeshc.
Pìloi fn (Hz) ζ(%) fd (Hz) fr (Hz) Energeiakă suneisforĹ (%)
−3.63 ± 459.7j 73.17 0.79 73.16 73.16 15.93
−6.70 ± 616.0j 98.05 1.09 98.04 98.03 25.89
−2.75 ± 879.4j 139.96 0.31 139.96 139.96 45.83
PÐnakac 6.3: QarakthristikĹ suneqoÔc qrìnou
Ston parapĹnw
me fd h fusikă suqnìthta me apìsbesh
pÐnaka fn parÐstatai h fusikă suqnìthta se Hz,
(fd = fn 1 − ζ 2 ) kai me fr h suqnìthta suntonismoÔ (fr = fn 1 − 2ζ 2 ).
O pragmatikìc pìloc tou diakritoÔ sustămatoc eÐnai arnhtikìc, kai ètsi h metĹbasă tou ston suneqă
qrìno den èqei fusikă shmasÐa. Gia to lìgo autì kai oi pìloi tou suneqoÔc qrìnou eÐnai èxi kai ìqi eptĹ,
ìpwc tou diakritoÔ. Ston PÐnaka 6.3 parousiĹzontai gia to diakritì sÔsthma oi fusikèc suqnìthtec, oi lìgoi
apìsbeshc, oi fusikèc suqnìthtec me apìsbesh, oi suqnìthtec suntonismoÔ kai oi energeiakèc suneisforèc
pou antistoiqoÔn se kĹje suqnìthta.
Upologismìc parametrikoÔ fĹsmatoc

Tèloc upologÐzetai to parametrikì fĹsma (entolèc Matlab: th2ff.m,ffplot.m) kai paratÐjetai sto Sqăma 6.12.
50
0
Spectrum ( dB )
−50
−100
0 50 100 150 200 250
Frequency ( Hz )
Sqăma 6.12: Parametrikì fĹsma
Sto Sqăma 6.13 to parametrikì fĹsma sugkrÐnetai me ekeÐna pou èqoun ektimhjeÐ me tic mejìdouc Welch
kai Blackman-Tukey.
50
Welch
Blackman
Pamaretric
0
Spectrum ( dB )
−50
−100
0 50 100 150 200 250
Frequency ( Hz )
Sqăma 6.13: SÔgkrish mh parametrikÿn kai parametrikoÔ fĹsmatoc
äpwc faÐnetai to parametrikì fĹsma proseggÐzei me ikanopoihtikă akrÐbeia to mh parametrikì, prĹgma

pou apoteleÐ Ĺllh mia èndeixh gia thn epituqÐa thc montelopoÐhshc. EpÐshc kai oi suqnìthtec suntonismoÔ pou
upologÐsjhkan parametrikĹ eÐnai polÔ kontĹ se autèc pou upologÐsjhkan me th mh parametrikă mèjodo.
ParĹrthma A
Diafìrish wc proc DiĹnusma
JewreÐste diĹnusma:
T
x = [x1 x2 . . . xn ] (A.1)
kai sunartăseic:
α = f (x) : Rn → R
∆ T
y = g (x) = [y1 (x) y2 (x) . . . ym (x)] : Rn → Rm
jewroÔmenec diaforÐsimec.
OrÐzoume tic exăc prĹxeic:
A.
T
∂α ∆ ∂α ∂α ∂α
= ∇x α = ... (A.2)
∂x ∂x1 ∂x2 ∂xn

∂α ∆ ∂α ∂α ∂α
= ∇ x T α = . . . (A.3)
∂xT ∂x1 ∂x2 ∂xn
⎡ ⎤
∂2α 2
/ 0 ∂x1 ·∂x1 . . . ∂x∂1 ·∂xα
∂2α ∂ ∂α ⎢ n
⎥
= = ∇ ∇ α = ⎢ .. .. ⎥ (Hessian) (A.4)
∂x · ∂xT ∂xT ∂x x T x ⎣ . . ⎦
∂2α ∂2α
∂xn ·∂x1 . . . ∂xn ·∂xn
B. ⎡ ⎤
∂y1 ∂ym
∂x1 ... ∂x1
T
∂y ⎢ .. .. ⎥
= ∇x y T = ⎣ . . ⎦ (A.5)
∂x ∂yn ∂ym
∂x1 ... ∂xn
⎡ ∂y1 ∂y1 ⎤
∂x1 ... ∂xn
∂y ⎢ .. .. ⎥
= ∇xT y = ⎣ . . ⎦ (Jacobian thc y wc proc x) (A.6)
∂xT ∂ym ∂ym
∂x1 ... ∂xn
99
100 PARARTHMA A. DIAFORISH WS PROS DIANUSMA
EpÐ th bĹsei twn parapĹnw orismÿn èqoume tic exăc idiìthtec:
a. ∇xT x = I
b. ∇x xT = I

g. ∇x bT · x = ∇x xT · b = b

d. ∇x xT · x =2x
e. ∇x xT · A · x = A + AT · x
st. ∇x xT · A = A
z. ∇x A · xT = A
h. ∇x ∇xT [xT · A · x = A + AT
j. Paragÿgish sÔnjetwn sunartăsewn y (x) , z (x): ∇x y T · z = ∇x y T · z + ∇x z T · y
ParĹrthma B
StoiqeÐa PijanojewrÐac
B.1 Eisagwgă
Upojèste ìti pragmatopoioÔme èna peÐrama me pijanĹ apotelèsmata. KĹje peiramatikì apotèlesma kaleÐtai
pijanì endeqìmeno (ζ). H ènwsh ìlwn twn pijanÿn endeqomènwn kaleÐtai deigmatikìc qÿroc Z. H ènwsh
merikÿn endeqomènwn (p.q. èna uposÔnolo tou Z) kaleÐtai gegonìc.
Sqăma B.1: Deigmatikìc qÿroc
ParĹdeigma 1: àstw to peÐrama me pijanĹ apotelèsmata:
ζ1 (apotèlesma 1)
ζ2 (apotèlesma 2)
..
.
ζ6 (apotèlesma 6)
Deigmatikìc qÿroc Z = {ζ1 , ζ2 , ζ3 , ζ4 , ζ5 , ζ6 }

MerikĹ uposÔnola tou deigmatikoÔ qÿrou (gegonìta) eÐnai ta:
• {∅}: To adÔnato (apÐjano) gegonìc
• {Ĺrtia} = {ζ2 , ζ4 , ζ6 }
• {perittĹ} = {ζ1 , ζ3 , ζ5 }
• {apotèlesma ≤ 2} = {ζ1 , ζ2 }
• {apotèlesma = 1} = {ζ1 }
• {apotèlesmak : 1 ≤ k ≤ 6} = {ζ1 , ζ2 , ζ3 , ζ4 , ζ5 , ζ6 } = Z 2
101
102 PARARTHMA B. STOIQEIA PIJANOJEWRIAS
ParĹdeigma 2: To blăma pou faÐnetai sto sqăma B.2 mporeÐ na prosgeiwjeÐ opoudăpote metaxÔ
twn x1 kai x2 . Opìte èqoume ènan Ĺpeiro arijmì pijanÿn apotelesmĹtwn (endeqomènwn) x tetoiwn
ÿste: x1 ≤ x ≤ x2 .
Sqăma B.2: TroqiĹ blămatoc
Deigmatikìc qÿroc: Z = {x tètoio ÿste x1 ≤ x ≤ x2 }

MerikĹ uposÔnola tou Z (gegonìta):
• {∅}: To adÔnato (apÐjano) gegonìc
• {x = 2.5}: (EĹn autì den eÐnai adÔnato gegonìc, tìte x1 ≤ 2.5 ≤ x2 )
• {3 ≤ x ≤ 4}: (PĹli upojètoume x1 ≤ 3 kai x2 ≥ 4)
• {x1 ≤ x ≤ x2 } = Z 2
Sqìlia:
1. Sto prÿto parĹdeigma èqoume èna peperasmèno arijmì endeqomènwn (kajÿc kai gegonìtwn). Sto
deÔtero parĹdeigma èqoume Ĺpeiro arijmì gegonìtwn.
2. To gegonìc Z (h ènwsh ìlwn twn endeqomènwn tou deigmatikoÔ qÿrou) kaleÐtai bèbaio gegonìc.
3. Na jumĹste ìti kĹje peÐrama dÐnei èna kai mìno apotèlesma ζi . 2
Orismìc thc sqetikăc pijanìthtac: H pijanìthta P (A) enìc gegonìtoc A eÐnai to ìrio:
nA
P (A) = lim (B.1)
n→∞ n
ìpou:
nA : pìsec forèc sunèbh to gegonìc A
n: pìsec forèc pragmatopoiăjhke to peÐrama 2
ParĹdeigma 3: àstw peÐrama. OrÐzoume A = {ζ1 }. An n = 600 peirĹmata pou ektelèsthkan kai
to gegonìc A (p.q. ζ1 ) sunèbh 98 forèc tìte:
98 1
P (A) =
600 6
Tÿra orÐzoume: B = {ζ1 , ζ2 }
EĹn n = 600 peirĹmata pou èlaban qÿra kai to Ĺjroisma twn apotelesmĹtwn {ζ1 }, {ζ2 } ătan
197 tìte:
197 2 1
P (A) = =
600 6 3
2
B.1. EISAGWGH 103
Axiwmatikìc Orismìc thc pijanìthtac: JewroÔme peÐrama me deigmatikìqÿro Z. AntikajistoÔ-

me se kĹje gegonìc A, ènan arijmì P (A) pou kaloÔme pijanìthta tou gegonìtoc A. Autìc o arijmìc
epilègetai ÿste na ikanopoieÐ tic akìloujec treÐc sunjăkec:
• P (A) ≥ 0
• P (Z) = 1
• EĹn A ∩ B = {ø} ⇒ P (A ∩ B) = P (A) + P (B) (B.2)
KatĹ sunèpeia P (A) = {ø} 2
Orismìc Pijanìthtac upì sunjăkh: H pijanìthta upì sunjăkh enìc gegonìtoc A upojètontac
to gegonìc M, pou dhlÿnetai P (A/M ), orÐzetai wc exăc:
∆ P (A · M )
P (A/M ) = (B.3)
P (M )
ìpou h P (M ) jewreÐtai mh mhdenikă. 2
ParĹdeigma 4: àstw peÐrama Z = {ζ1 , ζ2 , ζ3 , ζ4 , ζ5 , ζ6 } kai:

Gegonìc A = {ζ2 } kai M = {Ĺrtia} = {ζ2 , ζ4 , ζ6 }
PoiĹ h pijanìthta tou gegonìtoc A upojètontac ìti gnwrÐzoume pwc sunèbh to gegonìc M ?
1
P (A · M ) P (A) 6 1
P (A/M ) = = = 1 =
P (M ) P (M ) 3
3
Epeidă: A · M = A ∩ M = A. 2
Orismìc: DÔo gegonìta A kai B kaloÔntai anexĹrthta eĹn:
P (A · B) = P (A) · P (B) (B.4)
2
B.2 TuqaÐec Metablhtèc

Upojètoume ìti mac dÐnetai èna peÐrama pou prosdiorÐzetai apì ton deigmatikì qÿro Z tou sqămatoc B.3.
EpÐshc upojètoume ìti pijanìthta èqei antistoiqisteÐ sta gegonìta tou Z. Tìte se kĹje apotèlesma ζ tou
peirĹmatoc autoÔ, antistoiqoÔme ènan arijmì X(ζ). Aută h sunĹrthsh X(·) me pedÐo orismoÔ to sÔnolo Z
kai timă èna sÔnolo arijmÿn onomĹzetai tuqaÐa metablhtă (T.M.). Mia T.M. kaleÐtai pragmatikă eĹn oi timèc
thc eÐnai mèroc (uposÔnolo) thc eujeÐac twn pragmatikÿn arijmÿn R
X
Pragmatikă (T.M.): X(ζ) : Z → R
Sqăma B.3: Apeikìnish gegonìtoc ston pragmatikì Ĺxona
EnallaktikĹ mia T.M. antiproswpeÔei ènan kanìna antistoÐqhshc enìc arijmoÔ se kĹje stoiqeiÿdec ende-
qìmeno (apotèlesma) enìc peirĹmatoc.
ParĹdeigma 1: àstw peÐrama. OrÐzoume T.M. X(ζi ) = 10i
Aută h T.M. paÐrnei diakekrimènec timèc. JewroÔme ta sÔnola:
{X = 20} = {ζ2 }
{X < 35} = {ζ1 , ζ2 , ζ3 }
{25 < X ≤ 40} = {ζ3 , ζ4 }
Ta parapĹnw sÔnola orÐzoun gegonìta pĹnw ston Z. 2

B.2. TUQAIES METABLHTES 105
ParĹdeigma 2:
Edÿ h Q èqei diplă shmasÐa:

• EÐnai to apotèlesma enìc peirĹmatoc
• EÐnai mia T.M.
H jèsh prosgeÐwshc tou blămatoc orÐzei mia tuqaÐa metablhtă. Aută paÐrnei suneqeÐc timèc sto
diĹsthma 12 ≤ x ≤ 18. Kai pĹli ta sÔnola {X = 14.3}, {X ≤ 15}, {13 ≤ X ≤ 14} orÐzoun
gegonìta ston Z. 2
Sqìlio: GenikĹ to sÔnolo {X = x} antiproswpeÔei èna gegonìc pou orÐzetai san h ènwsh ìlwn
twn apotelesmĹtwn gia to opoÐa X(ζ) = x (To x eÐnai ènac sugkekrimènoc arijmìc, h X eÐnai
T.M.). To sÔnolo {x1 ≤ X ≤ x2 } antiproswpeÔei èna gegonìc A pou orÐzetai san h ènwsh ìlwn
twn apotelesmĹtwn gia ta opoÐa: {x1 ≤ X(ζ) ≤ x2 }.
B.2.1 Sunartăseic Katanomăc kai Pijanìthtac

Ta endeqìmena enìc deigmatikoÔ qÿrou Z pou perièqontai se èna gegonìc {X ≤ x} allĹzoun kajÿc o arijmìc
x paÐrnei diĹforec timèc. H pijanìthta enìc gegonìtoc {X ≤ x} eÐnai epomènwc, ènac arijmìc, o opoÐoc
exartĹtai apì to x.
Orismìc: H sunĹrthsh katanomăc miac T.M. eÐnai mia sunĹrthsh:
∆
FX (x) = P (X ≤ x) (B.5)
H FX (x) orÐzetai gia kĹje x : −∞ ≤ x ≤ ∞. 2

ParĹdeigma 3: àstw peÐrama: Z = {ζ1 , ζ2 , ζ3 , ζ4 , ζ5 , ζ6 }
T.M. X(ζi ) = 10i i = 1, 2, . . . , 6

P (X ≤ 9.99) = P (ø) = 0
P (X ≤ 10.99) = P (ζ1 ) = 16
P (X ≤ 20.99) = P (ζ1 , ζ2 ) = 26
P (X ≤ 30.99) = P (ζ1 , ζ2 , ζ3 ) = 36
1.2
FX(x)
1
0.8
0.6
0.4
0.2
0
0 10 20 30 40 50 60 70 80 90
x
Sqăma B.4: SunĹrthsh katanomăc
ParĹdeigma 4:
u
0
0
0 12 18
X
OrÐzoume thn pijanìthta enìc gegonìtoc {x1 ≤ X ≤ x2 } wc: P {x1 ≤ X ≤ x2 } = x2 −x

4
1
ìpou h
T.M. X orÐzetai ìpwc kai prÐn X(ζ) = x.
• Gia x > 12, X(ζ) ≤ x gia kĹje apotèlesma ζ. Epomènwc: FX (x) = P {X ≤ x} = P (Z) = 1
• Gia 8 ≤ x ≤ 12 : FX (x) = P {X ≤ x} = P {8 ≤ X ≤ x} = x−8 4
• Gia x < 8, X(ζ) ≤ x eÐnai adÔnato gia opoiodăpote apotèlesma ζ. Opìte autì eÐnai adÔnato
gegonìc kai FX (x) = P {X ≤ x} = P (ø) = 0 (x ≤ 8)
1.2
FX(x)
1
0.8
0.6
0.4
0.2
0
0 5 10 15
x
Sqăma B.5: SunĹrthsh katanomăc
Merikèc idiìthtec thc sunĹrthshc katanomăc:
1. FX (+∞) = 1 FX (−∞) = 0
2. H FX (x) eÐnai auxousa sunarthsh wc proc x: Gia x1 < x2 ⇒ FX (x1 ) ≤ FX (x2 )
3. P {X > x} = 1 − FX (x)
Apìdeixh:
{X ≤ x} ∩ {X > x} = ø kai {X ≤ x} ∪ {X > x} = Z
SÔmfwna me ton axiwmatikì orismì thc pijanìthtac (B.2) èqoume apì thn deuterh isìthta:
P {X ≤ x} + P {X > x} = P (S) = 1 ⇒ FX (x) + P {X > x} = 1 2
4. Gia suneqă katanomă FX (x) èqoume:
P {x1 ≤ X ≤ x2 } = FX (x2 ) − FX (x1 )
Orismìc: OrÐzoume:
dFX (x)
fX (x) = (B.6)
dx
h opoÐa kaleÐtai sunĹrthsh puknìthtac pijanìthtac thc T.M. X. 2
ParĹdeigma 5: àstw to peÐrama tou paradeÐgmatoc 3
6
1
fX (x) = δ(x − 10i)
6 i=1
ìpou δ(·) h sunĹrthsh dèlta tou Dirac.

0.2
FX(x)
1/6
0.15
0.1
0.05
0
0 10 20 30 40 50 60 70 80
x
Sqăma B.6: SunĹrthsh Puknìthtac Pijanìthtac
ParĹdeigma 6: To parĹdeigma 4 tou blămatoc èqei fX (x):
F (x)
X
0.25
0.2
0.15
0.1
0.05
0
0 4 8 12 16
x
Sqăma B.7: SunĹrthsh Puknìthtac Pijanìthtac.
Idiìthtec thc sunĹrthshc puknìthtac pijanìthtac:
1. fX (x) ≥ 0
Apìdeixh: Ap’ eujeÐac sunèpeia thc (B.2.1) 2
∆ 1x
2. FX (x) = P {X ≤ x} = −∞
fX (λ)dλ
Apìdeixh: Oloklhrÿnontac thn (B.6) kai qrhsimopoiÿntac to gegonìc ìti FX (−∞) = 0. 2

1∞
3. −∞ fX (x)dx = 1
Apìdeixh: Ap’ eujeÐac sunèpeia thc (B.2.1) kai tou gegonìtoc ìti FX (+∞) = 1 2
1 x2
4. P {x1 ≤ X ≤ x2 } = FX (x2 ) − FX (x1 ) = x1 fX (λ)dλ dedomènou ìti h FX (x) eÐnai suneqăc.
ShmeÐwsh: Apì thn (B.2.1) sunepĹgetai ìti h grammoskiasmènh perioqă tou sqămatoc B.8 isoÔtai
me thn pijanìthta P {x ≤ X ≤ x + dx}, p.q.
P {x ≤ X ≤ x + dx} fX (x)dx (B.7)

fX(λ)
0.1
0.05
0
0 5 10 x x+dx 15 20
λ
Sqăma B.8: SunĹrthsh Puknìthtac Pijanìthtac.
B.2.2 Mèsh timă T.M.

Orismìc: H prosdokÿmenh timă ă mèsh timă miac T.M. Q eÐnai ex orismoÔ to oloklărwma:
+∞
∆
µX = E{X} = λ · fX (λ)dλ (B.8)
−∞
ìpou to sÔmbolo E{·} kaleÐtai telestăc mèshc timăc. 2
Eidikă perÐptwsh: Diakritèc T.M.

Apì to parĹdeigma 5 eÐdame ìti h sunĹrthsh puknìthtac pijanìthtac (σ.p.p.) miac diakrităc T.M.
eÐnai tou tÔpou:

fX (x) = Pi · δ(x − xi ) (B.9)
i
opìte antikajistÿntac sthn (B.8) paÐrnoume:

E{X} = Pi · xi (B.10)
i
∆
äpou Pi h pijanìthta tou X na gÐnei Ðso me xi , p.q. P {X = xi } = Pi .
FX(x) fX(x)
P δ(x−x )
i 3
1 1
P
3
P δ(x−x )
i 2
P2
Piδ(x−x1)
P1
0 0
x x x3 x x1 x2 x3 x
1 2
Sqăma B.9: SunĹrthsh katanomăc kai sunĹrthsh puknìthtac pijanìthtac.

ParĹdeigma 7: JewroÔme pĹli thn tuqaÐa metablhtă X(ζi ) = 10i (i = 1, 2, ..., 6). EĹn upojè-
soume ìti h pijanìthta kĹje gegonìtoc ζi (i = 1, 2, ..., 6) eÐnai Ðsh me 1/6, tìte h mèsh timă thc
T.M. Q eÐnai: 6
E{X} = i=1 Pi · xi = 61 [10 + 20 + 30 + 40 + 50 + 60] = 35 2
ParĹdeigma 8: OrÐzoume thn tuqaÐa metablhth X(ζ) = x. Upojètoume ìti h sunĹrthsh puknì-
thtac pijanìthtac fX (x) eÐnai omoiìmorfh sto a ≤ x ≤ b.
u0
0
0 α β
X
fX(x)
1
___
β−α
α x x+dx β
x
Autì shmaÐnei ìti h pijanìthta fX (x) · dx to blăma na prosgeiwjeÐ sto diĹsthma (x , x + dx)
eÐnai to Ðdio gia kĹje jèsh tou x (h grammoskiasmènh perioqă eÐnai pĹnta h Ðdia). Autì sumfwneÐ
me thn Ĺpoyă mac ìti to blăma mporeÐ na prosgeiwjeÐ se opoiodăpote shmeÐo x metaxÔ twn a kai
b me Ðsh pijanìthta. H (stajeră) timă thc fX (x) prèpei na eÐnai Ðsh me 1/(b − a) epeidă ìlh h
perioqă kĹtw apì thn σ.p.p. prèpei pĹnta na eÐnai Ðsh 1, sqesh (B.2.1). H mèsh timă thc X tìte
eÐnai:
1∞ 1b 1 2 b
1 λ
E{X} = −∞ λ · fX (λ) · dλ = a λ b−a dλ = b−a 2 = b+a
2 2
a
ShmeÐwsh: ErmhneÐa thc Sqetikăc Suqnìthtac thc Mèshc Timăc

∆
→Diakrită perÐptwsh: E{X} = i Pi · xi ìpou xi = X(ζi ).
EĹn ni antiproswpeÔei tic forèc pou sunèbh to gegonìc ζi , se sÔnolo n peiramĹtwn, tìte:
( )
ni 1
E{X} = xi lim = lim xi · ni
n→∞ n n→∞ n
i i
sÔmfwna me thn ermhneÐa thc sqetikăc pijanìthtac.

→Suneqăc perÐptwsh:
∞
E{X} = λ · fX (λ) · dλ λi · fX (λi ) · δλ = λi · P {λi ≤ X ≤ λi + δλ}
−∞
i i
P {λi ≤X≤λi +δλ}
Idiìthtec thc Mèshc Timăc:
1. H mèsh timă miac T.M. orismènh apì thn (B.8) eÐnai ènac grammikìc telestăc (afoÔ to oloklărwma eÐnai
ènac grammikìc telestăc). Opìte:
E{a · X + b} = a · E{X} + b (B.11)
gia kĹje zeÔgoc stajerÿn timÿn α kai b.

2. Estÿ Y mia T.M. h opoÐa eÐnai sunĹrthsh thc T.M. X
Y = g(X) (B.12)
∞
E{g(X)} = g(X) · fX (λ) · dλ (B.13)
−∞
3. Grammikìthta (genÐkeush thc (B.8) )
E{α1 · g1 (X) + α2 · g2 (X) + . . . + αn · gn (X)} = α1 · E{g1 (X)} + . . . + αn · E{g1 (X)} (B.14)
B.2.3 DiasporĹ T.M.

Orismìc: H diasporĹ miac T.M. orÐzetai ÿc:
+∞
2 ∆ 2
Var [X] = σX = E{(X − µX ) } = (λ − µX )2 · fX (λ)dλ (B.15)
−∞
ShmeÐwsh: ParathroÔme ìti:
2
σX = E{X 2 − 2 · X · µX + µ2X } ⇒ σX
2
= E{X 2 } − 2 · E{X} · µX + µ2X ⇒
2
σX = E{X 2 } − µ2X (B.16)
Eidikă perÐptwsh: Diakrită T.M.

2
2
σX = Pi · (xi − µX ) (B.17)
i
∆
ìpou: Pi = P {X = xi }
Paratărhsh: ErmhneÐa Sqetikăc Suqnìthtac
( )
ni 2 1 2
2
σX = lim (xi − µX ) = lim ni (xi − µX ) (B.18)
n→∞ n n→∞ n
i i
2
ParĹdeigma 9: àstw peÐrama X(ζi ) = 10i (i = 1, 2, . . . , 6)

6apotèlesma ζi èqei
EĹn kĹje
2
thn
Ðdia pijanìthta, tìte h (B.17) dÐnei:
2
σX = i=1 61 · (xi − 35) = 16 (10 − 35)2 + (20 − 35)2 + . . . + (60 − 35)2 = 291.67 2
ParĹdeigma 10:
u0
0
0 α β
X
fX(x)
1
___
β−α
α x β
2
σX = E{X 2 } − µ2X
+∞
1 b3 − α3 1
E{X 2 } = λ2 · fX (λ) · dλ = · = · b2 + α · b + α 2
−∞ 3 b−α 3
/ 02
b+α 1 2
µ2X = = · b + 2 · α · b + α2
2 4
2 1
1
(b−α)2
Opìte: σX = 3 · b2 + α · b + α2 − 4 · b2 + 2 · α · b + α2 = 12 2
Paratărhsh: H (jetikă) tetragwnikă rÐza thc diasporĹc, kaleÐtai tupikă apìklish σX thc T.M.
X.
B.2.4 Katanomă Gauss (Kanonikă)

Orismìc: Mia T.M. kaleÐtai kanonikă ă Gaussian an h σ.p.p. dÐnetai apì ton tÔpo:
−(x−µX )2
1 2·σ 2
fX (x) = √ ·e X (B.19)
σX · 2·π
2
ìpou µX R, σX > 0.
fX(x)
x
−3σx −2σ −σx µ σx 2σ 3σ
x x x x
Sqăma B.10: σ.p.p. kanonikăc katanomăc

ApodeiknÔetai (qrhsimopoiÿntac touc orismoÔc) ìti:
Mèsh Timă thc X = E{X} = µX (B.20)

2
DiasporĹ thc X = Var [X] = σX (B.21)
Sumbolismìc: To gegonìc ìti h T.M. X akoloujeÐ thn kanonikă katanomă me mèsh timă µX kai diasporĹ
2
σX dhlÿnetai apì to:
2

X ∼ N µX ; σX (B.22)
Paratărhsh: ParathroÔme ìti gia mia kanonikă T.M. h mèsh timă kai h diasporĹ orÐzoun mia
kai monadikă σ.p.p. (B.18) 2
B.2.5 PragmatikoÐ ArijmoÐ san T.M.

ànac pragmatikìc arijmìc a mporeÐ na jewrhjeÐ T.M. h opoÐa paÐrnei thn timă a gia kĹje peiramatikì apotè-
lesma ζ.
X(ζ) = α ∀ ζ Z (B.23)
+∞ +∞
E{X 2 } = λ2 · fX (λ) · dλ = λ2 · δ (λ − α) · dλ = α2
−∞ −∞
+∞
2
σX = E{X 2 } − µX = λ2 · δ (λ − α) · dλ − α2 = α2 − α2 = 0
−∞
FX(x)
α x
fX(x)
α x
Epomènwc kĹje pragmatikă stajerĹ mporeÐ na jewreÐtai san pragmatikă T.M. me mèsh timă Ðsh me thn
timă thc stajerĹc kai diasporĹ Ðsh me mhdèn.
B.3 DÔo TuqaÐec Metablhtèc

JewroÔme peÐrama me deigmatikì qÿro Z kai dÔo T.M. X(ζ) kai Y (ζ) (to ζ antiproswpeÔei èna endeqìmeno
tou peirĹmatoc).
Gia na broÔme thn pijanìthta tou gegonìtoc {X ≤ x} ∩ {Y ≤ y} = {X ≤ x, Y ≤ y} (pou faÐnetai sto

sqăma B.11) prèpei na qrhsimopoiăsoume thn sunduasmènh statistikă twn X kai Y . Oi katanomèc FX (x) kai
FY (y) den eÐnai arketèc.
Sqăma B.11: Gegonìc {X ≤ x, Y ≤ y}
Orismìc: H sundiasmènh sunĹrthsh katanomăc FXY (x, y) dÔo T.M. X kai Y orÐzetai san h pija-
nìthta tou gegonìtoc {X ≤ x, Y ≤ y}, ătoi,
∆
FXY (x, y) = {X ≤ x, Y ≤ y} (B.24)
2
Orismìc: H sundiasmènh sunĹrthsh puknìthtac pijanìthtac twn X kai Y orÐzetai apì thn su-
nĹrthsh:
∆ ∂ 2 FXY (x, y)
fXY (x, y) = (B.25)
∂x · ∂y
2
ShmeÐwsh: ApodeiknÔetai ìti:
x y
FXY (x, y) = fXY (α, β) · dα · dβ (B.26)
−∞ −∞
kai
+∞ +∞
FXY (∞, ∞) = fXY (α, β) · dα · dβ = 1 (B.27)
−∞ −∞
B.3. DUO TUQAIES METABLHTES 115
B.3.1 Perijÿriec Katanomèc

Sth melèth dÔo h perissotèrwn T.M. oi pijanìthtec kĹje miac apì autèc kaloÔntai perijÿriec. àtsi h sunĹr-
thsh katanomăc thc X, FX (x) kaleÐtai perijÿria sunĹrthsh katanomăc kai h σ.p.p. thc X, fX (x) kaleÐtai
perijÿria σ.p.p. thc X. Pwc ìmwc sqetÐzontai oi perijÿriec katanomèc FX (x), fX (x), FY (y), fY (y) me tic
sunduasmènec sunartăseic FXY (x, y) kai fXY (x, y)?
Jeÿrhma: IsqÔoun oi parakĹtw sqèseic:
FX (x) = FXY (x, ∞) FY (y) = FXY (∞, y) (B.28)
+∞
fX (x) = fXY (x, y)dy (B.29)
−∞
+∞
fY (y) = fXY (x, y)dx (B.30)
−∞
Apìdeixh:
{X ≤ x} = {X ≤ x, Y ≤ ∞} ⇒ P {X ≤ x} = P {X ≤ x, Y ≤ ∞} ⇒
⇒ FX (x) = FXY (x, ∞)

OmoÐwc kai gia thn FY (y).
DiaforÐzontac thn B.26 prokÔptei:
y
∂FXY (x, y)
= fXY (x, β) · dβ ⇒
∂x −∞
+∞ +∞
∂FXY (x, ∞)
⇒ = fXY (x, β)dβ ⇒ fX (x) = fXY (x, β)dβ
∂x −∞ −∞
OmoÐwc kai gia thn fY (y). 2
B.3.2 Statistikă AnexarthsÐa

Orismìc: DÔo T.M. X,Y kaloÔntai statistikÿc anexĹrthtec eĹn ta gegonìta {XA} kai {Y B}
eÐnai statistikÿc anexĹrthta.
P {XA, Y B} = P {XA} · P {Y B} (B.31)

äpou A kai B dÔo aujaÐreta sÔnola stouc Ĺxonec x kai y antÐstoiqa. KatĹ sunèpeia duo T.M.
X, Y eÐnai anexĹrthtec an:
FXY (x, y) = FX (x) · FY (y) (B.32)
fXY (x, y) = fX (x) · fY (y) (B.33)

2
ParĹdeigma 1: OrÐzoume peÐrama pragmatopoiÿntac dÔo forèc to peÐrama tou blămatoc. EĹn ζiA
eÐnai ta apotelèsmata thc prÿthc ektèleshc kai ζiB ta apotelèsmata thc deÔterhc ektèleshc tou
peirĹmatoc, tìte ta endeqìmena tou peirĹmatoc
A B eÐnai: ζiA ζiB (èna zeÔgoc shmeÐwn prosgeÐwshc).
A
OrÐzoume
A B tic T.M. ZA kai ZB wc Z A ζ ζ
i i = ζi (jèsh prosgeÐwshc thn prÿth forĹ) kai
B
ZB ζi ζi = ζi (jèsh prosgeÐwshc thn deÔterh forĹ).
u0
0
0
8 12 X
f (z )
ZA A
Efìson to apotèlesma thc prÿthc ektèleshc

tou peirĹmatoc, den ephreĹzei to apotèlesma
8 12 zA thc deÔterhc ektèleshc, oi T.M. ZA kai ZB
fZA(zA) eÐnai anexĹrthtec kai:
fZA ZB (α, β) = fZA (α) · fZB (β) = 14 · 14 = 16
1
gia 8 ≤ α, β ≤ 12
0
kaifZA ZB (α, β) = 0 alloÔ 2
8 12 zA
B.3.3 Susqètish DÔo T.M. kai Orjogwniìthta

Orismìc: H sundiasporĹ γXY dÔo T.M. X kai Y orÐzetai wc o arijmìc:
∆
γXY = E{(X − µX ) · (Y − µY )} (B.34)
ìpou h prosdokÐa tou sunduasmoÔ twn dÔo T.M. orÐzetai parìmoia me thn isìthta (B.13):
∞ ∞
∆
E{g(X, Y )} = g(α, β) · fXY (α, β) · dα · dβ (B.35)
−∞ −∞
2
Paratărhsh: H sundiasporĹ mporeÐ na grafeÐ wc:
γXY = E{XY − µY · X − µX · Y + µX · µY } ⇒ γXY = E{XY } − µX · µY − µX · µY + µX · µY ⇒
γXY = E{XY } − µX · µY (B.36)

2
Orismìc: O suntelestăc susqètishc XY twn T.M. X kai Y orÐzetai wc:
∆ γXY
XY = (B.37)
σX σY
2
Prìtash: O suntelestăc susqètishc XY eÐnai pĹnta apolÔtwc mikrìteroc ă Ðsoc me th monĹda:
|XY | ≤ 1 (B.38)
Apìdeixh:
2 2
E{[(α · X + Y ) − (α · µX + µY )] } = σX · α2 + 2 · α · γXY + σY2 ≥ 0 ∀α
Epomènwc h diakrÐnousa tou poluwnÔmou deutèrou bajmoÔ prèpei na eÐnai mikrìterh ă Ðsh me
mhdèn:
2
2 2 γXY
∆ = γXY − σX · σY2 ≤ 0 ⇒ 2 σ 2 ≤ 1 ⇒ |XY | ≤ 1
σX Y
2
B.3. DUO TUQAIES METABLHTES 117
Orismìc: DÔo T.M. onomĹzontai asusqètistec an h sundiasporĹ touc eÐnai Ðsh me to mhdèn. Autì
ekfrĹzetai me touc akìloujouc isodÔnamouc tÔpouc:
γXY = 0 ă XY = 0 ă E{XY } = µX · µY (B.39)
Orismìc: DÔo T.M. kaloÔntai orjogÿniec eĹn:
E{XY } = 0 (B.40)
KatĹ sunèpeia: EĹn dÔo T.M. eÐnai asusqètistec kai èqoun mèsh timă mhdèn, tìte eÐnai kai orjo-
gÿniec (sunèpeia twn (B.39) kai (B.40) ). 2
Jeÿrhma: EĹn duo T.M. eÐnai orjogÿniec tìte eÐnai kai asusqètistec, opìte:
(mèsec timèc mhdèn)

AnexarthsÐa ⇒ Asusqetismìc =⇒ Orjogwniìthta (B.41)
B.3.4 Sunduasmènh Kanonikìthta

Orismìc: DÔo T.M. X kai Y eÐnai sunduasmèna kanonikèc ìtan to Ĺjroisma α · X + β · Y eÐnai
kanonikì ∀ α, β. 2
ApodeiknÔetai ìti oi T.M. X kai Y eÐnai sunduasmèna kanonikèc ìtan h sunduasmènh sunĹrthsh puknì-
thtac pijanìthtac eÐnai:
( ( ))
2 2
1 1 (x − µ1 ) (x − µ1 ) · (y − µ2 ) (y − µ2 )
fXY (x, y) = · exp − · − 2 +
2πσ1 σ2 1 − 2 2 (1 − 2 ) σ12 σ1 σ2 σ22
(B.42)
EÐnai fanerì ìti µ1 = E{X}, µ2 = E{Y }, σ1 : h tupikă apìklish thc X, σ2 : h tupikă apìklish thc
Y , : o suntelestăc susqètishc twn X, Y . ApodeiknÔetai epÐshc ìti oi perijÿriec sunartăseic puknìthtac
pijanìthtac twn X kai Y dÐnontai apì tic sqèseic:
( )
2
1 (x − µ1 )
fX (x) = √ · exp − (B.43)
σ1 2π 2σ12
( )
2
1 (x − µ2 )
fY (y) = √ · exp − (B.44)
σ2 2π 2σ22
B.3.5 Grammikìc Sunduasmìc DÔo T.M.

OrÐzoume thn T.M. Z san ton grammikì sunduasmì twn T.M. X kai Y :
Z =α·X +β·Y (B.45)
Tìte:
E{Z} = α · E{X} + β · E{Y } (B.46)

2 ∆ 2 2
Var[Z] = σZ = E{(Z − µZ ) } = E{[α · X + β · Y − (α · µX + β · µY )] }
2
= E{[α · (X − µX ) + β · (Y − µY )] }
2 2
= E{α2 · (X − µX ) + β 2 · (Y − µY ) + 2 · α · β · (X − µX ) · (Y − µY )}
2 2
= α2 · E{(X − µX ) } + β 2 · E{(Y − µY ) } + 2 · α · β · E{(X − µX ) · (Y − µY )}
2
⇒ σZ = α2 · σx2 + β 2 · σY2 + 2 · α · β · γXY
2
⇒ σZ = α2 · σx2 + β 2 · σY2 + 2 · α · β · XY · σX · σY (B.47)
ShmeÐwsh: EĹn oi X,Y eÐnai asusqètistec, tìte: γXY = XY = 0 kai:
2
σZ = α 2 · σX
2
+ β 2 · σY2 (B.48)
B.4 TuqaÐa DianÔsmata

B.4.1 Eisagwgă
Orismìc: àna tuqaÐo diĹnusma x eÐnai èna diĹnusma:
T
x = [X1 X2 . . . Xρ ] (B.49)
tou opoÐou oi suntetagmènec eÐnai tuqaÐec metablhtèc. 2
Orismìc: H sunĹrthsh katanomăc pijanìthtac Fx (·) eÐnai dunatìn na orisjeÐ san mia bajmwtă
T
sunĹrthsh tou dianÔsmatoc ξ = [ξ1 ξ2 . . . ξρ ] :
∆ ∆
Fx (ξ) = FX1 ,X2 ,...,Xρ (ξ1 , ξ2 , . . . , ξρ ) = P {ζ : X1 (ζ) ≤ ξ1 , X2 (ζ) ≤ ξ2 , . . . , Xρ (ζ) ≤ ξρ , }
(B.50)
ìpou ζ eÐnai ta stoiqeÐa tou deigmatikoÔ qÿrou Z. H sunĹrthsh:
Fx (·) : Rρ → R (B.51)
eÐnai epÐshc gnwstă san sunduasmènh sunĹrthsh puknìthtac pijanìthtac twn tuqaÐwn metablhtÿn
X1 , X2 , . . . , Xρ . 2
Orismìc: EĹn mia bajmwtă sunĹrthsh fx (·) ikanopoieÐ thn:
ξ1 ξ2 ξρ
Fx (ξ1 , ξ2 , . . . , ξρ ) = ... fx (ρ1 , ρ2 , . . . , ρρ ) dρ1 dρ2 . . . dρρ (B.52)
−∞ −∞ −∞
∆ T
gia ìlec tic timèc tou ξ = [ξ1 ξ2 . . . ξρ ] tìte h fx (·) eÐnai h sunĹrthsh puknìthtac pijanìthtac
(σ.p.p.) tou x. 2
Paratărhsh: Apì to jemeliÿdec jeÿrhma diaforikoÔ logismoÔ:
∂ρ
fx (ξ) = · Fx (ξ) (B.53)
∂ξ1 · ∂ξ2 . . . ∂ξρ
H fx (ξ) eÐnai epÐshc gnwstă san sunduasmènh σ.p.p. twn T.M. X1 , X2 , . . . , Xρ .

B.4. TUQAIA DIANUSMATA 119
Idiìthtec thc Fx (ξ)
1. H Fx (·) eÐnai mia mh fjÐnousa sunĹrthsh opoiasdăpote bajmwtăc metablhtăc ξi .

2. Fx (∞, ∞, . . . , ∞, ) = P {ζ : X1 (ζ) ≤ ∞, X2 (ζ) ≤ ∞, . . . , Xρ (ζ) ≤ ∞} = 1
3. Fx (ξ1 , . . . , −∞, . . . , ξρ ) = P {ζ : X1 (ζ) ≤ ξ1 , . . . , Xi (ζ) ≤ −∞, . . . , Xρ (ζ) ≤ ξρ } = 0
ShmeÐwsh: Perijÿriec katanomèc pijanìthtac.
EĹn endiaferìmaste mìno gia tic pijanìthtec pou aforoÔn tic prÿtec k apì tic r T.M. kai oi
Xκ+1 , Xκ+2 , . . . , Xρ mporoÔn na pĹroun opoiesdăpote timèc, tìte:
FX1 ,X2 ,...,Xκ (ξ1 , ξ2 , . . . , ξκ ) = P {ζ : X1 (ζ) ≤ ξ1 , X2 (ζ) ≤ ξ2 , . . . , Xκ (ζ) ≤ ξκ } =
= P {ζ : X1 (ζ) ≤ ξ1 , . . . , Xκ (ζ) ≤ ξκ , Xκ+1 (ζ) ≤ ∞, . . . , Xρ (ζ) ≤ ∞} ⇒
⇒ FX1 ,X2 ,...,Xκ (ξ1 , ξ2 , . . . , ξκ ) = FX1 ,X2 ,...,Xρ (ξ1 , ξ2 , . . . , ξκ , ∞, . . . , ∞) (B.54)
H FX1 ,X2 ,...,Xκ (ξ1 , ξ2 , . . . , ξκ ) kaleÐtai perijÿria katanomă pijanìthtac twn T.M. X1 , X2 , . . . , Xκ .
SÔmfwna me thn (B.52) h perijÿria σ.p.p. twn X1 , X2 , . . . , Xκ ja eÐnai:
+∞ +∞
FX1 ,...,Xκ (ξ1 , ξ2 , . . . , ξκ ) = ... fX1 ,...,Xρ (ξ1 , . . . , ξκ , ∞, ..., ∞) dξκ+1 dξκ+2 . . . dξρ
−∞ −∞
(B.55)
2
Orismìc: Oi T.M. X1 , X2 , . . . , Xρ kaloÔntai anexĹrthtec an ta gegonìta {X1 ≤ ξ1 }, . . . , {Xρ ≤

ξρ } eÐnai anexĹrthta. Tìte:
FX1 ,...,Xρ (ξ1 , . . . , ξρ ) = FX1 (ξ1 ) . . . FXρ (ξρ ) (B.56)
fX1 ,...,Xρ (ξ1 , . . . , ξρ ) = fX1 (ξ1 ) . . . fXρ (ξρ ) (B.57)
Paratărhsh: Prosèxte ìti an oi T.M. eÐnai anexĹrthtec anĹ dÔo, den eÐnai aparaitătwc anexĹr-
thtec.
B.4.2 Mèsh timă kai DiasporĹ

Orismìc: Upojètoume ìti èna m-diĹstato tuqaÐo diĹnusma y eÐnai sunĹrthsh enìc n-diĹstatou
tuqaÐou dianÔsmatoc x, p.q.:
y = Θ (x) (B.58)
Tìte h mèsh timă tou y eÐnai:

+∞
E{y} = Θ (ξ) · fx (ξ) · dξ (B.59)
−∞
2
Idiìthtec: Efìson h oloklărwsh eÐnai mia grammikă prĹxh:
E{c · y} = c · E{y} (B.60)
E{y1 + y2 } = E{y1 } + E{y2 } (B.61)
gia opoiodăpote bajmwtì c kai tuqaÐa dianÔsmata y1 , y2 . SĹn sunèpeia thc idiìthtac èqoume:
E{A · y} = A · E{y} (B.62)
pou isqÔei gia kĹje gnwstì (kajoristikì) pÐnaka A. 2
Paratărhsh: H prosdokÿmenh timă tou y eÐnai aplĹ o mèsoc ìroc autÿn pou ja paÐrname apì
to sÔnolo twn apotelesmĹtwn tou peirĹmatoc.
→ Tÿra ja orÐsoume kĹpoiec eidikèc sunartăseic:
Orismìc: Prÿth ropă ă mèsh timă tou x.

H Prÿth ropă ă mèsh timă tou x orÐzetai san to p-diĹstato diĹnusma µ tou opoÐou oi suntetag-
∆
mènec eÐnai oi mèsec timèc: µi = E{Xi }:
⎡ ⎤ ⎡ ⎤ ⎡ 1 +∞ 1 +∞ ⎤
µ1 E{X1 } −∞
. . . −∞ ξ1 · fx (ξ)dξ1 . . . dξp
∆ ⎢ ⎥∆⎢ ⎥ ⎢ ⎥
µ = ⎣ ... ⎦ = ⎣ ⎦=⎢ ⎥
.. .. (B.63)
. ⎣ 1 1
. ⎦
+∞ +∞
µp E{Xp } ... ξp · fx (ξ)dξ1 . . . dξp
−∞ −∞
Shmeiwtèon, mporoÔme epÐshc na grĹyoume:

∞
∆
µ = E{x} = ξ · fx (ξ) · dξ (B.64)
−∞
∆ T
ìpou: ξ = [ξ1 ξ2 . . . ξp ] . 2
Orismìc: DeÔterh (mh kentrikă) ropă ă pÐnakac autosusqètishc tou x.

Epilègoume Θ (x) = x · xT . Tìte:
⎡ ⎤
X12 X1 · X2 ... X1 · Xp
⎢ .. .. .. ⎥ ∆
E{x · xT } = E ⎣ . . . ⎦ =R (B.65)
2
Xp · X1 Xp · X2 ... Xp
kaleÐtai deÔterh (mh-kentrikă) ropă tou x ă pÐnakac autosusqètishc tou x. 2
ShmeÐwsh: H i − j suntetagmènh autou tou pÐnaka eÐnai h susqètish twn Xi kai Xj (opìte oi
diagÿnioi ìroi eÐnai oi autosusqetÐseic ă mèsec tetragwnikèc timèc). En suntomÐa h B.65 mporeÐ na
grafeÐ wc:
+∞
∆ T
R = E{x · x } = ξ · ξ T · fx (ξ) · dξ (B.66)
−∞
Orismìc: DeÔterh kentrikă ropă ă pÐnakac sundiasporĹc tou x.

T
Epilègoume Θ (x) = (x − µ) · (x − µ) . Tìte:
∆
Cov [x] = Γ =
⎡ 2 ⎤
(X1 − µ1 ) (X1 − µ1 ) · (X2 − µ2 ) . . . (X1 − µ1 ) · (Xp − µp )
⎢ .. .. .. ⎥
=E⎣ . . . ⎦ (B.67)
2
(Xp − µp ) · (X1 − µ1 ) (Xp − µp ) · (X2 − µ2 ) . . . (Xp − µp )
kaleÐtai deÔterh kentrikă ropă ă pÐnakac sundiasporĹc tou x. 2

ShmeÐwsh: H i − j suntetagmènh autoÔ tou pÐnaka eÐnai h sundiasporĹ twn Xi kai Xj :
∆
Γij = E{(Xi − µi ) · (Xj − µj )} (B.68)
En suntomÐa:
+∞
∆
Cov [x] = E{(x − µ) · (x − µ)T } = (ξ − µ) · (ξ − µ)T · fx (ξ) · dξ (B.69)
−∞
Parathrăseic:
1. Stic periptÿseic pou ja eÐnai amfilegìmeno to an ennoeÐtai o pÐnakac susqètishc ă sundia-
sporĹc, ja qrhsimopoioÔme touc sumbolismoÔc Rxx ă γ xx antÐstoiqa.
2. Ta diagÿnia stoiqeÐa tou γ = Cov [x] eÐnai oi diasporèc twn T.M. X1 , ..., Xp .
3. Oi pÐnakec sundiasporĹc kai autosusqètishc tou T.D. x sundèontai mèsw thc sqèshc:
Cov [x] = E{x · xT } − E{x} · E{xT } (B.70)

Apìdeixh:
∆ T
Cov [x] = E{(x − E{x})·(x − E{x}) } = E{x·xT −x·E{xT }−E{x}·xT +E{x}·E{xT }} =
= E{x·xT }−E{x}·E{xT }−E{x}·E{xT }+E{x}·E{xT } = E{x·xT }−E{x}·E{xT }
2
4. Oi pÐnakec sundiasporĹc kai autosusqètishc eÐnai summetrikoÐ kai mh-arnhtikĹ orismènoi (p.q.
oi idiotimèc touc eÐnai mh-arnhtikèc).
Apìdeixh: Ja apodeÐxoume ìti:
∆ T
αT · R · α ≥ 0 ∀ α = [α1 α2 . . . αp ]
PrĹgmati:

E{| α1 · X1 + . . . + αp · Xp |2 } = αi · αj E{Xi · Xj } = αT · R · α ≥ 0
i,j
T
EĹn α · R · α eÐnai austhrĹ jetikì tìte to Γ kaleÐtai jetikĹ orismèno. H diaforĹ
metaxÔ tou R ≥ 0 kai tou R > 0 basÐzetai sthn idèa thc grammikăc anexarthsÐac.
2
5. Oi T.M. Xi kaloÔntai grammikÿc anexĹrthtec eĹn:
T
E{| α1 · X1 + . . . + αp · Xp |2 } > 0 ∀ α = [α1 . . . αp ] (B.71)
S aută thn perÐptwsh o pÐnakac autosusqètishc eÐnai jetikĹ orismènoc.
Oi T.M. kaloÔntai grammikĹ exarthmènec eĹn:
T
α1 · X1 + . . . + αp · Xp = 0 gia kĹpoio diĹnusma α = [α1 . . . αp ] (B.72)
S aută thn perÐptwsh o pÐnakac autosusqètishc eÐnai enikìc (det [R] = 0).
6. H orÐzousa tou pÐnaka autosusqètishc:
∆p = det [R] (B.73)
eÐnai mh arnhtikă. IsqÔei ∆p = 0 sthn perÐptwsh pou ta T.D. xi eÐnai grammikĹ exarthmèna.
Apìdeixh:
A. Ja qrhsimopoiăsoume thn epagwgă. Gia p = 1, ∆1 = r11 > 0 upojètoume ìti
∆p−1 > 0 kai ja apodeÐxoume ìti ∆p > 0. Gi autìn to skopì paÐrnoume to sÔsthma:
⎡ ⎤
1
r11 · α1 + . . . + r1p · αp = 1 ⎢ ⎥
⎢ 0 ⎥
r21 · α1 + . . . + r2p · αp = 0 ⎢ ⎥
.. ⇒R·α=⎢ 0 ⎥ (B.74)
. ⎢ .. ⎥
⎣ . ⎦
rp1 · α1 + . . . + rpp · αp = 0
0
LÔnontac gia α1 èqoume:

∆p−1
α1 = (B.75)
∆p
ìpou ∆p−1 eÐnai h diakrÐnousa autosusqètishc twn p − 1 T.M. X2 , . . . , Xp . Pol-
laplasiĹzontac apì aristerĹ thn (B.74) me to αT prokÔptei:
αT · R · α = α1 > 0 (B.76)
gia grammikĹ anexĹrthta T.D.. SugkrÐnontac tic (B.75) kai (B.76) kai qrhsimopoiÿ-
ntac thn upìjesh ∆p−1 > 0 paÐrnoume:
∆p > 0 (B.77)
to opoÐo oloklhrÿnei to prÿto mèroc thc apìdeixhc.

B. Sto deÔtero mèroc thc apìdeixhc ja apodeÐxoume ìti an oi T.M. Xi eÐnai grammi-
kÿc exarthmènec, tìte:
∆p = 0 (B.78)
PrĹgmati h grammikă exĹrthsh sunepĹgetai thn Ôparxh enìc dianÔsmatoc α = 0

tètoio ÿste:
α1 · X1 + . . . + αp · Xp = 0 (B.79)
PollaplasiĹzontac me Xi kai paÐrnontac mèsh timă, èqoume:
α1 · ri1 + . . . + αp · rip = 0 (i = 1, 2, . . . , p) (B.80)
Profanÿc autì eÐnai èna omogenèc sÔsthma pou ikanopoieÐtai apì èna mh-mhdenikì
diĹnusma α opìte ∆p = 0.
G. Na shmeiwjeÐ ìti:
∆
det [R] = ∆p ≤ r11 · r22 . . . rpp (B.81)
H isìthta isqÔei an kai mìno an ta T.D. eÐnai amoibaÐa orjogÿnia (p.q. o pÐnakac R
eÐnai orjogÿnioc). 2
B.4.3 Asusqètisto kai Orjogwniìthta

Orismìc: Suntelestăc susqètishc
O suntelestăc susqètishc twn bajmwtÿn T.M. Xi kai Xj orÐzetai wc o lìgoc:
∆ Cov [Xi , Xj ] γij

ij = = (B.82)
Var [Xi ] · Var [Xj ] σ i σj
∆
opoÔ σi = Var [Xi ] antiproswpeÔei thn tupikă apìklish tou Xi . 2
Orismìc: Oi T.M. jewroÔntai asusqètistec an kai mìno an:
γij = 0 ⇔ ij = 0 (B.83)
Sunepÿc eĹn Γ eÐnai diagÿnioc tìte to x jewreÐtai ìti ekfrĹzetai apì asusqètistec suntetagmènec.
Orismìc: Oi T.M. Xi kai Xj jewroÔntai orjogÿniec an kai mìno an:
∆
rij = E{Xi · Xj } = 0 (B.84)
Parathrăseic:
1. AnexarthsÐa twn Xi , Xj sunepĹgetai èlleiyh susqètishc (giatÐ?)

2. EĹn kĹpoia apì tic Xi , Xj (ă kai oi dÔo) èqoun mhdenikă mèsh timă kai orjogwniìthta tìte
eÐnai asusqètista kai antÐstrofa.
3. Sunduasmènh kanonikìthta kai èlleiyh susqètishc twn Xi , Xj sunepĹgetai anexarthsÐa.
→ Ta parapĹnw mporoÔn eÔkola na genikeutoÔn gia thn perÐptwsh twn dianusmĹtwn.
Orismìc: PÐnakac mh kentrikăc eterosusqètishc twn x kai y.

àstw ìti x kai y eÐnai n− kai m− diĹstata tuqaÐa dianÔsmata antÐstoiqa. Tìte o pÐnakac mh
kentrikăc eterosusqètishc RXY eÐnai ènac pÐnakac n × m me i − j suntetagmènh:
∞ ∞
E{Xi , Yj } = ... ξi · ρj · fx, y (ξ, ρ) · dξ1 . . . dξn · dρ1 . . . dρm (B.85)
−∞ −∞
O pÐnakac Rxy mporeÐ na ekfrasteÐ wc:

∞ ∞
∆
Rxy = E{x · y T } = ξ · ρ · fx, y (ξ, ρ) · dξ · dρ (B.86)
−∞ −∞
Orismìc: O pÐnakac sundiasporĹc twn x kai y.

O pÐnakac sundiasporĹc orÐzetai wc:
∆
Γx,y = E{(x − E{x}) · (y − E{y})T }
∞ ∞
T
= (ξ − E{x}) · (ρ − E{y}) · fx, y (ξ, ρ) · dξ · dρ (B.87)
−∞ −∞
2
Orismìc: Ta tuqaÐa dianÔsmata x kai y eÐnai asusqètista an:
Rxy = E{x · y T } = E{x} · E{y T } (B.88)

ă isodÔnama:
E{Xi , Yj } = E{Xi } · E{Yj } (∀ i, j) (B.89)

2
Orismìc: Ta tuqaÐa dianÔsmata x kai y kaloÔntai orjogÿnia eĹn o pÐnakac mh kentrikăc susqè-
tishc touc isoÔtai me ton mhdenikì pÐnaka:
Rxy = E{x · y T } = 0 (B.90)

2
B.4.4 KanonikĹ TuqaÐa DianÔsmata

Orismìc: To tuqaÐo p-diĹstato diĹnusma x kaleÐtai Kanonikì (Gaussian) tuqaÐo diĹnusma an
mporeÐ na perigrafeÐ apì mia sunĹrthsh puknìthtac pijanìthtac thc morfăc:
1 2 1 3
T
fx (x) = p · exp − · [x − µ] · C −1 · [x − µ] (B.91)
(2 · π) · ∆ 2
ìpou:
∆
∆ = det [C] (B.92)
kai C ènac jetikĹ orismènoc p × p pÐnakac. 2
Parathrăseic:
1. To diĹnusma µ kai o pÐnakac C eÐnai to mèso diĹnusma kai o pÐnakac diasporĹc tou x
antÐstoiqa.
2. DidiĹstath PerÐptwsh.

σ12 r12 · σ1 · σ2
C=γ= (B.93)
r12 · σ1 · σ2 σ22
ìpou r12 eÐnai o suntelestăc susqètishc, kai σ1 , σ2 oi tupikèc apoklÐseic. Me antikatĹstash
sthn (B.91) prokÔptei:
1
fx (ξ1 , ξ2 ) = 1/2
·
2 )
2πσ1 σ2 (1 − r12
( )
2 2
1 (ξ1 − m1 ) (ξ2 − m2 ) 2 · r12 · (ξ1 − m1 ) · (ξ2 − m2 )
· exp − 2 ) · + −
2 (1 − r12 σ12 σ22 σ1 σ2
(B.94)
∆
3. ànac isodÔnamoc trìpoc na dhlÿsoume ìti to T.D. x = [X1 X2 . . . Xp ]T eÐnai kanonikì, eÐnai
na orÐsoume tic X1 , X2 , . . . , Xp san sunduasmèna kanonikèc. MporeÐ na apodeiqjeÐ ìti mia
ikană kai anagkaÐa sunjăkh gia thn sunduasmènh kanonikìthta twn T.D. x1 , x2 , . . . , xp eÐnai
to Ĺjroisma:
α1 · x1 + α2 · x2 + . . . + αp · xp = aT · x (B.95)
T
na eÐnai kanonikì gia opoiodăpote α = [α1 α2 . . . αp ] .
Sqăma B.12: Sunduasmènh sunĹrthsh puknìthtac pijanìthtac
MetasqhmatismoÐ twn Kanonikÿn TuqaÐwn Metablhtÿn
1. GrammikoÐ metasqhmatismoÐ twn kanonikÿn tuqaÐwn metablhtÿn eÐnai epÐshc kanonikèc tuqaÐec metablhtèc.
EĹn x eÐnai èna kanonikì tuqaÐo p-diastato diĹnusma me mèsh timă µx kai diasporĹ γxx , tìte to tuqaÐo
q-diĹstato diĹnusma y:
y =A·x (B.96)
ìpou A eÐnai ènac gnwstìc p × q pÐnakac, ja eÐnai kanonikì me mèsh timă kai diasporĹ pou dÐnontai apì tic
sqèseic:
µy = A · µx (B.97)
γyy = A · γxx · AT (B.98)
2. GrammikoÐ sunduasmoÐ koinÿc kanonikÿn tuqaÐwn metablhtÿn eÐnai epÐshc kanonikoÐ.
EĹn x kai y eÐnai koinÿc kanonikĹ tuqaÐa dianÔsmata diastĹsewn p kai q antÐstoiqa, kai A kai B eÐnai
gnwstoÐ r × p kai r × q pÐnakec antÐstoiqa, tìte to tuqaÐo r-diĹstato diĹnusma z:
z =A·x+B·y (B.99)
eÐnai kanonikì me mèsh timă kai diasporĹ:
µz = A · µx + B · µy (B.100)
γzz = A · γxx · AT + A · γxy · B T + B · γyx · AT + B · γyy · B T (B.101)

3. GrammikoÐ sunduasmoÐ koinÿc kanonikÿn tuqaÐwn metablhtÿn kai mh-tuqaÐwn eÐnai epÐshc kanonikèc
tuqaÐec metablhtèc.
Parìmoia me thn prohgoÔmenh perÐptwsh to T.D.
z =A·x+B·y+c (B.102)
ìpou c eÐnai èna mh-tuqaÐo r-diĹstato diĹnusma, ja eÐnai kanonikì me mèsh timă kai diasporĹ:
µz = A · µx + B · µy + c (B.103)
γzz = A · γxx · AT + A · γxy · B T + B · γyx · AT + B · γyy · B T (B.104)

B.5 Pijanìthta kai Puknìthtec Upì Sunjăkh

JewroÔme duo T.M. X, Y orismènec ston deigmatikì qÿro Z pou paÐrnoun diakritèc timèc xi kai yi antÐstoiqa,
ìpwc faÐnontai sto sqăma B.13.
Sqăma B.13: TuqaÐec metablhtèc X, Y ston deigmatikì qÿro Z
Orismìc: H pijanìthta upì sunjăkh ìti X(ζ) = xi upì thn proôpìjesh ìti Y (ζ) = yi orÐzetai
wc:
P (X = xi kai Y = y1 )
P (X = xi /Y = yi ) = (B.105)
P (Y = yi )
Dedomènou ìti: P (Y = yi ) = 0. 2
ShmeÐwsh: H pijanìthta upì sunjăkh P (X = xi /Y = yi ) antiproswpeÔei thn pijanìthta tou

gegonìtoc {ζ : X(ζ) = xi } eĹn gnwrÐzoume ìti sumbaÐnei
to gegonìc {ζ : Y (ζ) = yi }. EÐnai fanerì

ìti efìson ta dÔo gegonìta den eÐnai asumbÐbasta {ζ : X(ζ) = xi } ∩ {ζ : Y (ζ) = yi } = ø to
ìti to gegonìc {ζ : Y (ζ) = yi } sunèbh, mac dÐnei kĹpoia epiplèon plhroforÐa gia thn pijanìthta
na sumbeÐ to gegonìc {ζ : X(ζ) = xi }. PrĹgmati h pijanìthta isoÔtai me thn pijanìthta tou
{ζ : X(ζ) = xi kai Y (ζ) = yi }, to karì kommĹti pou faÐnetai sto sqăma B.13, sqetikĹ me to
kommĹti: {ζ : Y (ζ) = yi }. 2
Parathrăseic:
1. EĹn {ζ : X(ζ) = xi } ∩ {ζ : Y (ζ) = yi } = 0, pou shmaÐnei ìti ta dÔo gegonìta eÐnai

asumbÐbasta, h (B.105) dÐnei:
P (X = xi /Y = yi ) = 0 (B.106)
2. EĹn ta dÔo gegonìta eÐnai statistikÿc anexĹrthta, tìte:
P (X = xi ) · P (Y = yi )
P (X = xi /Y = yi ) = = P (X = xi ) (B.107)
(Y = yi )
Orismìc: Katanomă upì Sunjăkh

H sunĹrthsh katanomăc upì sunjăkh thc X dedomènou tou gegonìtoc {ζ : Y (ζ) = yi } orÐzetai
san:
P (X ≤ x kai Y = yi )
FX/Y (x/yi ) = (B.108)
P (Y = yi )
dedomènou ìti P (Y = yi ) = 0. MporeÐ eÔkola na deiqjeÐ ìti h FX/Y (x/yi ) èqei ìlec tic idiìthtec
miac sunĹrthshc katanomăc. 2
B.5. PIJANOTHTA KAI PUKNOTHTES UPO SUNJHKH 127
Orismìc: SunĹrthsh Puknìthtac Pijanìthtac upì Sunjăkh.

H σ.p.p. upì sunjăkh thc X dedomènou tou gegonìtoc {ζ : Y (ζ) = yi } orÐzetai aplĹ wc:
∆ ∂FX/Y (x/yi )
fX/Y (x/yi ) = (B.109)
dx
2
EkfrĹseic gia thn fX/Y (x/yi ). JewroÔme thn pijanìthta:
P (x < X ≤ x + ∆x/y < Y ≤ y + ∆y) =
P (x < X ≤ x + ∆x, y < Y ≤ y + ∆y) fXY (x, y) · ∆x · ∆y

= (B.110)
P (y < Y ≤ y + ∆y) fY (y) · ∆y
SÔmfwna me thn (B.108):
P (x < X ≤ x + ∆x/y < Y ≤ y + ∆y) =
FX/Y (x + ∆x/y < Y ≤ y + ∆y) − FX/Y (x/y < Y ≤ y + ∆y)

Antikajistÿntac autăn thn èkfrash sthn (B.110), diairÿntac dia ∆x kai paÐrnontac to ìrio kajÿc
∆x, ∆y → 0, paÐrnoume:
FX/Y ((x + ∆x) /y < Y ≤ y + ∆y) − FX/Y ((x/y) < Y ≤ y + ∆y) fXY (x, y)
lim = (B.111)
∆x→0
∆y→0
∆x fY (y)
Parìla autĹ, to aristerì mèloc eÐnai: ∂FX/Y (x) ∂x = fX/Y (x/y) sÔmfwna me thn (B.109), opìte h
(B.111) dÐnei:
fXY (x, y)
fX/Y (x/y) = (B.112)
fY (y)
dedomènou ìti fY (y) = 0. Aută h isìthta antiproswpeÔei mia morfă tou nìmou tou Bayes. OmoÐwc me thn
(B.112) mporoÔme na exĹgoume thn sqèsh:
fXY (x, y)
fY /X (y/x) = (B.113)
fX (x)
O sunduasmìc twn (B.112) kai (B.113) dÐnei:
fY /X (y/x) · fX (x)
fX/Y (x/y) = (B.114)
fY (y)
to opoÐo anakalÿntac sth mnămh mac ìti:
+∞ +∞
fY (y) = fXY (x, y) · dx = fX/Y (y/x) · fX (x) · dx
−∞ −∞
mporeÐ na xanagrafeÐ wc:
fY /X (y/x) · fX (x)
fX/Y (x/y) = 1 +∞ (B.115)
f
−∞ XY
(x, y) · dx
S aută thn èkfrash na shmeiwjeÐ ìti h oloklhrwtèa sunĹrthsh ston paranomastă eÐnai Ðsh me ton
arijmhtă.
Parathrăseic:
1. SÔmfwna me thn (B.112)
fXY (x, y0 )
fX/Y (x/y0 ) =
fY (y0 )
Sqăma B.14: Gewmetrikă anaparĹstash thc fX/Y (x/y)
H sunĹrthsh fXY (x, y0 ) parĹgetai fèrnontac epÐpedo parĹllhlo sto x − fXY epÐpedo sto
y = y0 . Tìte h fX/Y (x, y0 ) isoÔtai me thn fXY (x, y0 ) kanonikopoihmènh apì ton arijmì
fY (y0 ).
2. EĹn oi X, Y eÐnai anexĹrthtec tìte: fXY (x, y) = fX (x) · fY (y) kai h (B.112) dÐnei:
fX/Y (x/y0 ) = fX (x) (B.116)
∆
ParĹdeigma: JewroÔme thn T.M. X me katanomă FX (x). EĹn B = {X ≤ 10}, na upologisteÐ h
FX/B (x/B)
LÔsh:
A. Gia x ≥ 10, to gegonìc {X ≤ 10} eÐnai èna uposÔnolo tou {X ≤ x}. Opìte: P (X ≤ 10, X ≤ x) =
P (X ≤ 10) kai h (B.108) dÐnei:
P (X ≤ 10, X ≤ x) P (X ≤ 10)
FX/B (x/B) = = =1
P (X ≤ 10) P (X ≤ 10)
B. Gia x ≤ 10, to gegonìc {X ≤ x} eÐnai èna uposÔnolo tou {X ≤ 10}. Opìte: P (X ≤ 10, X ≤ x) =
P (X ≤ x) kai h (B.108) dÐnei:
B.6. PROSDOKIA UPO SUNJHKH 129
P (X ≤ x) FX (x)
FX/B (x/B) = =
P (X ≤ 10) FX (10)
2
B.6 ProsdokÐa Upì Sunjăkh

H idèa thc prosdokÐac miac sunĹrthshc tuqaÐwn metablhtÿn, apantĹ sthn erÿthsh: PoiĹ eÐnai h mèsh timă
oloklărou tou sunìlou twn pragmatikÿn apotelesmĹtwn ζ Z, pou ja mporoÔse na pĹrei h sunĹrthsh, eĹn
pragmatopoieÐto Ĺpeiro plăjoc peiramĹtwn?
H prosdokÐa upì sunjăkh parèqei aută thn plhroforÐa, allĹ enswmatÿnei gnÿseic sqetikĹ me gegonìta tou
Z pou èqoun sumbeÐ (eÐnai gnwstĹ mèsw gnwstÿn timÿn susqetizìmenwn tuqaÐwn metablhtÿn).
Orismìc: àstw X, Y dianusmatikèc T.M. antistoiqÐzontac ton Z sta Rn , Rm antÐstoiqa kai Z

eÐnai mia suneqăc sunĹrthsh tou
X : Z = Z(·) = θ(X(·)) : Z → Rr (B.117)
ètsi ÿste Z eÐnai epÐshc mia dianusmatikă T.M.. Tìte h prosdokÐa upì sunjăkh ă h mèsh timă upì
sunjăkh tou Z upì thn proôpìjesh ìti gia to Y upojètoume thn timă y p.q. Y (ζ) = y, eÐnai:
+∞ +∞ +∞
EX/Y {Z/Y = y} = θ(x) · fX/Y (x/y) · dy = ... θ(x) · fX/Y (x/y) · dx1 . . . dxn
−∞ −∞ −∞
(B.118)
2
Paratărhsh: O deÐkthc X/Y sthn EX/Y {Z/Y = y} ja paraleÐpetai merikèc forèc opìte to
EX/Y {Z/Y = y} ja dhlÿnetai wc: E{Z/Y = y} 2
Sunarthsiakèc Sqèseic thc ProsdokÐac upì Sunjăkh:

1. H θ(·) eÐnai mia sunĹrthsh: Rn → Rr . Efìson X(·) eÐnai èna T.D. Z = θ (X(·)) ja eÐnai epÐshc èna
T.D. opìte upĹrqei h antistoÐqhsh Z → Rr .
2. H E{Z/Y = ◦} mporeÐ na jewrhjeÐ san antistoÐqhsh Rn → Rr . EntoÔtoic, u(·) eÐnai èna T.D.
epomènwc h E{Z/Y (·) } mporeÐ na jewrhjeÐ wc èna tuqaÐo diĹnusma. Tìte h prosdokÐa upì sunjăkh mporeÐ
na jewrhjeÐ wc èna T.D.:
EX/Y {Z/Y = y} : Z → Rr (B.119)

Idiìthtec thc ProsdokÐac upì Sunjăkh:

1. H prosdokÐa upì sunjăkh orÐzetai mèsw miac oloklhrÿsewc kai eÐnai grammikă prĹxh. Opìte:
EX/Y {A · X/Y = y} = A · E{X/Y = y} ∀ gnwstì pÐnaka A (B.120)
EX/Y {X + Y /Z = z} = EX/Y {X/Z = z} + EX/Y {Y /Z = z} (B.121)
2.
2 4 53
EY EX/Y Z/Y = y(·) = EX {Z} (B.122)
Ekfrasmèno me lìgia h parapĹnw èkfrash sunepĹgetai ta akìlouja: EĹn pĹroume th prosdokÐa upì
sunjăkh tou Z upì thn proôpìjesh thc pragmatopoihjeÐsac timăc tou Y kai koitĹxoume thn prosdokÿmenh
timă thc gia ìlec tic pijanèc pragmatopoiăseic tou Y , tìte to apotèlesma eÐnai h aplă mèsh timă tou Z.
Apìdeixh: GnwrÐzoume ìti:
∞
∆
EX {Z} = θ(x) · fX (x) · dx (B.123)
−∞
H fX (x) mporeÐ na jewrhjeÐ perijÿria pijanìthta poÔ prokÔptei apì thn fXY (x, y), opìte h
(B.123), gÐnetai:
∞ ∞
EX {Z} = θ(x) · fXY (x, y) · dy · dx (B.124)
−∞ −∞
Efarmìzontac ton nìmo tou Bayes h (B.112) mporeÐ na xanagrafeÐ wc exăc:
∞ ∞
EX {Z} = θ(x) · fX/Y (x, y) · fY (y) · dy · dx (B.125)
−∞ −∞
Upojètoume tÿra sÔgklish ston orismì tou oloklhrÿmatoc pou paÐrnetai me diĹforec diatĹxeic
ètsi ÿste na mporoÔme na enallĹxoume thn seirĹ oloklărwshc, gia na prokÔyei:
∞ ∞
EX {Z} = θ(x) · fX/Y (x, y) · dx · fY (y) · dy ⇒
−∞ −∞
2 4 53
EX {Z} = E EX/Y Z/Y = y(·) (B.126)
ìpou èqei qrhsimopoihjeÐ h (B.118). 2
Sth sunèqeia parajètoume dÔo shmantikèc eidikèc periptÿseic tou orismoÔ (B.118):
Orismìc: H mèsh timă upì sunjăkh tou x dedomènou ìti y = y upojètontac θ(x) = x prokÔptei:
+∞
Ex/y {x/y = y} = x · fx/y (x/y) · dx (B.127)
−∞
2
B.6. PROSDOKIA UPO SUNJHKH 131
Orismìc: H sundiasporĹ upì sunjăkh tou x dedomènou ìti y = y, prokÔptei upojètontac:

T
θ(x) = x − Ex/y {x/y = y} · x − Ex/y {x/y = y}
2 4 5 4 5T 3
C x /y = Ex/y x − Ex/y x/y = y · x − Ex/y x/y = y /y = y
y
4 5 4 5T
= x − Ex/y x/y = y · x − Ex/y x/y = y · fx/y (x/y) · dx
−y
(B.128)
ParĹdeigma: àstw X, Y dÔo sunduasmèna kanonikèc T.M. me mhdenikèc mèsec timèc kai me:

1 x2 + y 2 − 2xy
fXY (x, y) = · exp − (B.129)
2πσ 2 (1 − 2 )
1/2 2σ 2 (1 − 2 )
GnwrÐzoume ìti oi perijÿriec σ.p.p. eÐnai kanonikèc, opìte:

/ 0
1 x2
fX (x) = fY (y) = √ · exp − 2 (B.130)
2πσ 2 2σ
Apì thn (B.112) èqoume:

2
1 (y − x)
fX/Y (x, y) = · exp − 2 (B.131)
2 2
2πσ (1 − ) 2σ (1 − 2 )
to opoÐo sunepĹgetai ìti h fY /X (y/x) eÐnai kanonikă me mèsh timă µX . Tìte:

∞
EY /X {Y /X = x} = y · fY /X (y/x) · dy = µX (B.132)
−∞
ätan 1 (X, Y jetikĹ susqetismènec): EY /X {Y /X = x} x
ätan = 0 (X, Y asusqètistec): EY /X {Y /X = x} = 0 2
Kanonikă puknìthta upì sunjăkh: H kanonikă (Gaussian) puknìthta upì sunjăkh èqei prwtarqikă
shmasÐa sthn ektÐmhsh kai exaitÐac autoÔ ja suzhthjeÐ edÿ diexodikĹ. JewroÔme ta koinÿc kanonikĹ tuqaÐa
dianÔsmata x kai y:
x : Z → Rn y : Z → Rm (B.133)
Tìte:
6 7
n+m 1
fXY (x, y) = (2 · π) 2
· det C xx C xy C yx C yy 2 ·
6 T −1 7
1 x − µx C xx C xy x − µx
· exp − · · · (B.134)
2 y − µy C yx C yy y − µy
ìpou o pÐnakac sundiasporĹc upotÐjetai ìti eÐnai jetikĹ orismènoc. Prÿta ja exetĹsoume tic perijÿriec
sunartăseic puknìthtac pijanìthtac twn tuqaÐwn dianusmĹtwn x kai y.
Lămma 1: To x eÐnai èna kanonikì n-diĹstato diĹnusma me mèsh timă µx kai diasporĹ C xx kai
y èna kanonikì m-diĹstato diĹnusma me mèsh timă µy kai diasporĹ C yy . 2
Apìdeixh: Efìson ta x kai y eÐnai koinÿc kanonikĹ to (n + m)-diĹstato diĹnusma:
∆ T
z = xT y T (B.135)
ja eÐnai kanonikì me mèsh timă:

T
µz = µTx µTy (B.136)
kai diasporĹ:

C xx C xy
C zz = (B.137)
C yx C yy
To n-diĹstato diĹnusma x mporeÐ eÔkola na ekfrasteÐ wc:

x
x = A · z = [I 0] · (B.138)
y
kai eÐnai kanonikì giatÐ eÐnai ènac grammikìc metasqhmatismìc tou z. Akìma, apì thn (B.138):
E{x} = A · µz = µx (B.139)
T T
E{(x − µx ) · (x − µx ) } = E{(A · z − A · µz ) · {(A · z − A · µz ) }
T
= A{(z − µz ) · (z − µz ) } · AT
= A · C zz · AT = C xx (B.140)
OmoÐwc kai gia to y. 2
→ Tÿra mporoÔme na upologÐsoume thn σ.p.p. upì sunjăkh fX/Y (x, y) qrhsimopoiÿntac to nìmo tou
Bayes. Autì gÐnetai sto Lămma 2.
Lămma 2: H katanomă upì sunjăkh tou x dedomènou y = y, eÐnai kanonikă me mèsh timă kai
diasporĹ pou dÐnontai apì tic akìloujec ekfrĹseic:
∆
E{x/y = y} = µx/y = µx + C xy · C −1
yy · y − µy (B.141)
T ∆
E{ x − µx/y · x − µx/y /y = y} = C x/y = C xx − C xy · C −1
yy · C yx (B.142)
Apìdeixh: Apì to Lămma 1, gnwrÐzoume ìti:

µ 1 −1 1 T
fy (y) = (2 · π) 2 · det C yy 2 · exp − · y − µy · C yy · y − µy (B.143)
2
SÔmfwna me to nìmo tou Bayes:
fx/y (x/y) = fxy (x/y) /fy (y) (B.144)
Me antikatĹstash twn (B.134) kai (B.143) sthn (B.144) prokÔptei:

B.7. SUGKLISH AKOLOUJIAS TUQAIWN METABLHTWN 133
12 −1
µ
−1
fx/y (x/y) = (2 · π) · det C xx − C xy · C yy · C yx
2
·
(
T −1 )
1 x − µx C xx C xy x − µx T −1

· exp − · · · − y − µy · C yy · y − µy
2 y − µy C yx C yy y − µy
(B.145)
ìpou qrhsimopoiăjhke to gnwstì apotèlesma:

C xx C xy
det = det C yy · det C xx − C xy · Cyy −1 · C yx (B.146)
C yx C yy
Tÿra prèpei na qrhsimopoiăsoume to akìloujo apotèlesma pou aforĹ thn antistrofă enìc jetikĹ
orismènou ErmitianoÔ pÐnaka C:
−1
C xx C xy
=
C yx C yy
⎡ −1 ⎤
−1 −1
−1
−1
⎢ C xx − C xy C yy C yx −C xx · C xy C yy − C yx · C xx · C xy ⎥
=⎣ −1 −1 ⎦
−C −1 −1
yy · C yx C xx − C xy · C yy · C yx C yy − C −1
yx C xx C yx
(B.147)
AntikatĹstash autăc thc èkfrashc sthn (B.147) kai me pragmatopoÐhsh algebrikÿn prĹxewn
prokÔptei to telikì apotèlesma:
12 −1
µ
fx/y (x/y) = (2 · π) 2 · det C xx − C xy · C −1
yy · C yx ·

/ / 00 −1
1 −1
exp − · x − µx − C xy · C yy · y − µy T
· C xx − C xy · C −1
yy · C yx ·
2

−1

x − µx − C xy · C yy · y − µy (B.148)
To opoÐo sunepĹgetai tic (B.141) kai (B.142). 2
B.7 SÔgklish AkoloujÐac TuqaÐwn Metablhtÿn

Upojètoume akoloujÐa T.M. X1 , X2 , . . .. UpĹrqoun treÐc diaforetikoÐ trìpoi sÔgklishc:
1. H akoloujÐa {Xi }∞
i=1 jewreÐtai ìti sugklÐnei katĹ tetragwnikă mèsh timă h ìti sugklÐnei wc proc th mèsh
timă sthn T.M. X eĹn:
E{Xi2 } < ∞ (∀i)
E{X 2 } < ∞ (B.149)
2
lim E{(Xi − X) } = 0
i→∞
EĹn isqÔoun ìsa orÐzei h (B.149) tìte suqnĹ grĹfoume:

.i.m. Xi = X
i→∞ (B.150)
Na shmeiwjeÐ ìti sÔmfwna me thn (B.149) endiaferìmaste gia th sÔgklish miac akoloujÐac pragmatikÿn
2
arijmÿn E{(Xi − X) } ÿste na orÐsoume thn sÔgklish sth mèsh timă.
i=1 jewreÐtai ìti sugklÐnei wc proc thn pijanìthta sto X eĹn:
lim P {ζ : | Xi (ζ) − X(ζ) |≥ ε} = 0 ∀ε > 0 (B.151)

i→∞
EĹn isqÔei h (B.151) tìte suqnĹ grĹfoÔme:
p lim Xi = X (B.152)
i→∞
Na shmeiwjeÐ ìti edÿ h akoloujÐa twn pragmatikÿn arijmÿn eÐnai mia akoloujÐa pijanotătwn pou
sugklÐnei sto mhdèn, anexĹrthta apì to pìso mikrì ja epilegeÐ to e.
i=1 jewreÐtai ìti sugklÐnei sqedìn apìluta ă ìti sugklinei me pijanìthta èna sto X
eĹn:
lim | Xi (ζ) − X(ζ) |= 0 (B.153)
i→∞
∀ζ ∈ Z ektìc Ðswc apì merikĹ ζ pou anăkoun se kĹpoio sÔnolo A me pijanìthta mhdèn, ătoi P (A) = 0.
Se antÐjesh me touc dÔo prohgoÔmenouc tÔpouc, aută h idèa thc sÔgklishc lambĹnei Ĺmesa upìyh thc
th sÔgklish kĹje akoloujÐac twn pragmatopoiăsewn twn tuqaÐwn metablhtÿn pou emplèkontai, parĹ
sunolikoÔc mèsouc ìrouc ă pijanìthtec.
Parathrăsh:
Na shmeiwjeÐ ìti:
SÔgklish wc proc mèsh timă ⇒ SÔgklish wc proc pijanìthta
SÔgklish sqedìn apìluta ⇒ SÔgklish wc proc pijanìthta
TelikĹ sÔgklish wc proc tetragwnikì mèso den sunepĹgetai kai de sunepĹgei sÔgklish sqedìn
apìluta.

Biblio Stochastic Signals and Systems Ver 28jan2005

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Panepistămio Patrÿn

Tmăma Mhqanolìgwn & Aeronauphgÿn Mhqanikÿn

StoqastikĹ Sămata & Sustămata

1 Stoqastikèc DiergasÐec sto PedÐo Qrìnou 5

2 Stoqastikèc DiergasÐec sto PedÐo Suqnotătwn 21

3 StĹsimec Stoqastikèc DiergasÐec: Montèla ARMA 51

4 Mh StĹsimec Stoqastikèc DiergasÐec 61

4.3.2 MetasqhmatismoÐ StajeropoÐhshc thc DiasporĹc . . . . . . . . . . . . . . . . . . . . . . 65

A Diafìrish wc proc DiĹnusma 99

B StoiqeÐa PijanojewrÐac 101

Stoqastikèc DiergasÐec sto PedÐo

1.1 GenikĹ perÐ Stoqastikÿn Diergasiÿn

Sqăma 1.1: ParĹstash tou deigmatoqÿrou se diĹgramma Venn.

(a) P(A) ≥ 0 gia kĹje gegonìc A.

Sqăma 1.2: ParĹstash pragmatikăc tuqaÐac metablhtăc.

ParĹdeigma: Sto klassikì parĹdeigma tou peirĹmatoc rÐyewc zarioÔ me deigmatoqÿro Z =

1. Stic shmeiÿseic autèc to sÔnolo T sunăjwc ja eÐnai:

Sqăma 1.3: ParĹstash pragmatikăc stoqastikăc diergasÐac.

Z = {ζ1 , ζ2 , ζ3 , ζ4 , ζ5 , ζ6 } : 6 stoiqeiÿdh apotelèsmata

X = {Xt (ζ1 ), ..., Xt (ζ6 )} t ∈ T : 6 deigmatosunartăseic

ParĹdeigma: Hmitonoeidăc kampÔlh me tuqaÐo plĹtoc kai fĹsh.

ìpou a, j paristĹnoun kĹpoiec timèc twn antÐstoiqwn tuqaÐwn metablhtÿn A kai J.

1.1.2 StatistikĹ Megèjh Stoqastikăc DiergasÐac

ìpou to sÔmbolo E{·} kaleÐtai telestăc mèshc timăc. 2

Orismìc: H diasporĹ miac S.D. orÐzetai wc:

Orismìc: H autosummetablhtìthta miac S.D. orÐzetai wc:

E{Xt } = µ = stajerĹ (1.4)

E{Xt Xt+κ } = E{A2 } · E{sin(ωt + Θ) · sin[ω(t + κ) + Θ]}

2. StĹsimh Stoqastikă DiergasÐa.

3. TuqaÐo BĹdisma (random walk).

Xt = W1 + W2 + ... + Wt (t = 0, 1, 2, ...) Arqikă timă : Xo = 0

Mèsh Timă: E{Xt } = 0

Autosummetablhtìthta: γ(t+κ, t) = Cov(Xt+κ , Xt ) = Cov(Wt+κ −θ·Wt+κ−1 , Wt −θ·Wt−1 ) =

Mèsh Timă: E{Xt } = 0

Autosummetablhtìthta: γ(t + κ, t) = Cov(Xt+κ , Xt ) = Cov(φ · Xt+κ−1 , Xt ) + Cov(Wt+κ , Xt ) =

1.2 EktÐmhsh Mèshc timăc, Autosummetablhtìthtac kai Autosusqèti-

1.2.1 EktÐmhsh Mèshc Timăc

Gi ’ autì gia N > No + 1 èqoume:

H diergasÐa se autăn thn perÐptwsh lègetai ergodikă wc proc th mèsh timă.

1.2.2 EktÐmhsh SunĹrthshc Autosummetablhtìthtac

Epomènwc h γ̂κ qrhsimopoieÐtai stic perissìterec periptÿseic.

b) Sunèpeia: ätan h diergasÐa akoloujeÐ kanonikă katanomă isqÔei ìti:

1.2.3 EktÐmhsh thc SunĹrthshc Autosusqètishc

SunĹrthshc Merikăc Autosusqètishc

1.3 Prìblhma Efarmogăc: Stoqastikă TalĹntwsh DokoÔ

$PSOLILHU )LOWHU ,%0$7

([FLWHU 3RZHU )LOWHU 6LJQDO

Sqăma 1.5: StoqastikĹ sămata eisìdou (dÔnamhc) kai exìdwn (epitaqÔnsewn).

(a) EktimĹtai kai afaireÐtai h mèsh timă tou sămatoc.

1.3.3 Săma TalĹntwshc wc UlopoÐhsh Stoqastikăc DiergasÐac (PedÐo qrìnou - Auto-

Sqăma 1.8: Empeirikă σ.p.p. (istìgramma).

Mèsh timă: µ = E{Xt } = 1.7564e − 016

DiasporĹ: Var(Xt ) = E{(Xt − µ)2 } = 5.2901

Loxìthta: µ3 = E{(Xt − µ)3 } = 0.053

Normal Probability Plot

Sqăma 1.9: àlegqoc kanonikăc katanomăc.

EktÐmhsh Anhgmènhc Autosummetablhtìthtac

Me qrăsh katĹllhlhc ektimătriac gÐnetai ektÐmhsh thc anhgmènhc autosummetablhtìthtac (autocorrelation

EktÐmhsh Merikăc Autosusqètishc

àlegqoc Upojèsewc LeukoÔ JorÔbou

àlegqoc Upojèsewc LeukoÔ JorÔbou gia thn Efarmozìmenh DÔnamh

Qrăsimec routÐnec MATLAB

Stoqastikèc DiergasÐec sto PedÐo

Gia N → ∞ èqoume: Yt → Xt ω → 0, kai to parapĹnw Ĺjroisma metatrèpetai se oloklărwma:

Yt+·N = Xt t ∈ [0, M − 1] = 0, ±1, ±2, ...