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MODELS
SEASONAL TIME SERIES
A time series repeats itself after a
regular period of time.
Stochastic Deterministic
Stochastic Deterministic
s
P B 1 B
s D
Yt 0 Q B s at
where 0 is constant,
P B s 1 1B s 2 B 2 s P B sP
Q B s 1 1B s 2 B 2 s Q B sQ
SARIMA(0,0,1)12=SMA(1)12
This is a simple seasonal MA model.
Yt 0 at at 12
Invertibility: ||< 1.
E(Yt) = 0.
Var Yt 1 2 a2
, k 12
ACF : k 1 2
0, o.w.
SARIMA(1,0,0)12
This is a simple seasonal AR model.
1 B12 Yt 0 at
Stationarity: ||<1.
0 a2
E Yt Var Yt
1 1 2
ACF : 12 k k , k 0,1,2,
p B P B 1 B 1 B
s d
s D
Yt 0 q B Q B at
s
1 B 1 B12 Yt 1 B 1 B12 at
where ||<1 and ||<1.
This model is the most used seasonal
model in practice. It was proposed by
Box and Jenkins (1976) for modeling the
well-known monthly series of airline
passengers.
AIRLINE MODEL
0, o.w.