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REPORTE DE
MODELACION
Instrucciones:
Resuelve
los
siguientes
autorregresivos AR y de promedios mviles MA
modelos
a)
Z t 0.9 Z t 1 c at
Donde
X t =c + X t i+ t
i=1
Z t =c0.9 Z ti +at
=0.9
||=|0.9|<1
1< 0.9< 1
b)
Z t 0.1Z t 1 c at
p
X t =c + X t i+ t
i=1
Z t =c0.1 Z ti +at
=0.1
||=|0.1|<1
1< 0.1<1
a)
Z~t at 0.8at 1
La funcin MA es:
X t = t + t 1 con t iid ( 0, 2 )
La funcin AR es:
2
X t =c + X t i+ t con t iid ( 0, )
i=1
Serie Geomtrica:
S=a+ra+r 2 a+ r 3 a+ =
a
si|r|< 1
1r
Mdulos:
( 1L )= t=L t1= t2
=0.8
|0.8|< 1
~
Z t=at +0.8 at1
( 1L ) at
Esto implica
~
Zt
=a
( 1L ) t
at =~
Zt +~
Z t ( L ) +~
Z t ( L )2 +
~ ~
~
at = Zt + Z t 1 + Z t2 2+
~ ~
at = Zt + Z t 1
Reemplazamos teta:
~
~
at = Zt +0 . 8 Z t1
b)
1=0.7
|0.7|<1
1=0.2
|0.2|<1
~
Z t=at + a t1
( 1L ) at
Esto implica:
~
Zt
=a
( 1L ) t
~ ~
~
2
at = Zt + Z t ( L ) + Z t ( L ) +
~ ~
~
at = Zt + Z t 1 + Z t2 2+
~ ~
~
at = Zt + Z t 1 + Z t2 2
Reemplazamos teta:
~
~
~
at = Zt +0 .7 Z t10. 2 Z t 2
1=1
1=0.8
2= 1 1 2
2=[ (0.80.8 ) ]0
2=0.64
3= 2 1+ 1 23
3=[ (0.640.8 ) +0 ]
3=0.512
4= 3 1 + 2 2+ 1 3 4
(0.5120.8 ) +0
4=
4=0.409
5= 4 1 + 3 2+ 2 3 + 1 45
(0.4090.8 )+ 0
5=
5=0.327
~
Z t =at +0.8 at 1
b)
~
Z t =at +0.7 at 10.2 at 2
1=1
1=0.7
2= 1 1 2
2=[ (0.7 ) ( 0.7 ) 0.2 )
2=0.29
3= 2 1+ 1 23
3=[ (0.29 )( 0.7 ) + (0.70.2 ) 0 ]
3=0.063
4= 3 1 + 2 2+ 1 3 4
4= [ (0.0630.7 ) + (0.290.2 )0 ]
4=0.0139
5= 4 1 + 3 2+ 2 3 + 1 45
( 0.01390.7 ) + (0.0630.2 )
5=
5=0.0223
B Z t at .
i 1
Z t 0.1 Z t 1 =c +at
i=
1
i=1
0(0.1 )
i= 1 (0.1 )
i=1
0.1
<
i= 1.01
i=1
Para
~
Z t =at +0.7 at 10.2 at 2
i=
1
i=1
i=
i=1
0.2( 0.7 )
1( 0.7 )
i= 0.9
0.3
i=1
i=3<
i=1
? justifique su