HNG DN THC HNH EVIEW TRONG D BONhm thuyt trnh: 1.Hong Thch Nguyn_TF01 2.Nguyn Vn Lng_TF02 3.L Thin Ha_TF02 4.Nguyn Duy Thi_TF01 5.V Th Hong_TF01 6.Trn Hng Loan Tho_TF02

Cc phng php san bng m San bng m n gin Phng php tuyn tnh Holt Phng php Holt-Winter

V d: D liu v s hc sinh ca M c tnh vi mc alpha=0.7 v beta=0.6 D liu trn file excel: hw.xls

San bng m n ginHolt-winters m hnh cng 3 tham s

Holt-winters 2 tham s khng ma v Holt-winters m hnh nhn 3 tham s

Lu ?!! Cc bn c th ko thm alpha,beta cho my t tnh hoc tnh gi tr alpha beta trn excel v nh vo

Da vo biu ta thy rng d liu khng c tnh ma v

hnh E nh

Gi tr: alpha=0.7 beta=0.6

Theo qu: 4 Theo thng: 12

Kt qu ca holt-winters 2 tham s khng ma v

Kt qu ca holt-winters 2 tham s khng ma v D bo: Genr: YDB = (YMU+T)*S YMU: Mean T: Trend S: Chi so mua vu

Khng c ch s ma v th khng nhn

M hnh ARIMA-Phng php BoxJenkins V d: cc s liu v ch s gi tiu dng tnh theo qu ca Vit Nam t qu I/1991 n qu IV/1997. Sau chy d bo cho 4 qu vo nm 1998. D liu trn file arima.xls

a d liu vo :File/open/Foreign Data as Workfile (file excel . csv )

B1 Xt tnh ma v ca d liu

Da vo biu ta thy rng d liu khng c tnh ma v

Nu c ma v Genr: DSY = d(y,0,s) S: chu k ma v (4: qu, 12: thng)

Genr: DSY2 = d(DSY,0,s)Tip tc cho n khi ht tnh ma v

Chy Correlogram kim tra ht tnh ma v cha

B2: Kim nh tnh dng theo pp DickeyFuller

phn test for unit root in -Level: kim nh bnh thng -1st difference : sai phn bc 1 -2nd difference : sai phn bc 2

|T| tnh ra > gi tr kim nh th d

B3: Xt m hnh ARIMA

da vo bc trn

hn

R (1)

AR (1)

-Ta thy biu hm t tng quan ACF gim dn mt cch t t v 0, chui dng. -ACF tt nhanh v 0 sau 3 tr : q=3 -PAC gim nhanh v 0 sau 1 tr: p=1

ng c ma v

Nhn s ar, ma theo corre

Y c ar(1) ma(1) ma(2) ma(3) D(Y,2) c ar(1) ma(1) ma(2) ma(3)

v: ARIMA 1)(1,2,2)4

D(Z,2) C AR(1) AR(2) MA(1) SAR(4) SMA(4)

R X = D(Y,0,4) R Z = D(X,0,4) to ma v trn

B4 Chy m hnh ARIMA (1,0,3)

Gi t P-va Th l V ch

B5 Xc nh nhiu trng kim tra phn d

Sai s ca m hnh ARIMA(1,0,3) l mt chui dng v n c phnphi chun. Sai s ny l nhiu trng. T lc t tng quan phn d c p-value >0.1 v khng c thanh no vt qu 2 ng bin suy ra m hnh ph hp

Ta c bng xc nh cc tiu chun nh gi sau khi th vi mt vi m hnh khc nhau :Log likelihood

M hnh

R-squared

Akaike info criterion

Schwarz criterion

ARIMA(1,0,3) 0.989405 ARIMA(1,0,0) 0.985394 ARIMA(0,0,3) 0.732152

30.62232 26.28905 -15.5026

-2.046097 -1.799189 1.250186

-1.902116 -1.703201 1.345343

/ Structure Resize current

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