时间序列分析习题及答案

《时间序列分析习题及答案》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、时间序列分析第一题：1、绘制时序图：dataex1_1;inputx@@;time=intnx('month','01jul2004'd,_n_-1);formattimedate.;cards;15313414511718717520317823424318914921222721417830029829524822125622020220123723116217516517413512312411912010410685968587679078747563;procgplotdata=ex1_1;plotx*time=1;symbol1c=blackv=stari=join;run;

2、时序图：2、绘制自相关图：dataex1_1;inputx@@;time=intnx('month','01jul2004'd,_n_-1);formattimedate.;cards;1531341451171871752031782342431891492122272141783002982952482212562202022012372311621751651741351231241191201041068596858767907874756318;procarimadata=ex1_1;identifyvar=x;run;样本自相关图：白噪声检验输出结果：因为P值小于α，所以该序

3、列为非白噪声序列，根据时序图看出数据并不在一个常数值附近随机波动，后期有递减的趋势，所以不是平稳序列。第二题：1、选择拟合模型方法一：首先绘制该序列的时序图，直观检验序列平稳性。时序图显示序列没有显著的非平稳特征。在考察自相关图和偏自相关图，自相关图显示延迟1阶、6阶、19阶的自相关系数在2倍标准差范围之外，其他阶数的自相关系数都在2倍标准差范围内波动，根据自相关系数的这个特点可以判断该序列具有短期相关性，进一步确定序列平稳。同时可以认为该序列自相关系数1阶截尾。偏自相关系数可以看为拖尾，综合该序列自相关系数和偏自相关系数的性质，为拟合模型定阶为MA(1)模型。绘制时序图dataex1_

4、2;18inputx@@;time=intnx('month','01jul2004'd,_n_-1);formattimedate.;cards;81.989.479.081.484.885.988.080.382.683.580.285.287.283.584.382.984.782.981.583.487.781.879.685.877.989.785.486.380.783.890.584.582.486.783.081.889.379.382.788.079.687.883.679.583.388.486.684.679.786.084.283.084.883.681.885.

5、988.283.587.283.787.383.090.580.783.186.590.077.584.784.687.280.586.182.685.484.782.881.983.686.884.084.282.883.082.084.784.488.982.483.085.082.281.686.285.482.181.485.085.884.283.586.585.080.485.786.786.782.386.482.582.079.586.780.591.781.683.985.684.878.489.985.086.283.085.484.484.586.285.683.2

6、85.783.580.182.288.682.085.085.285.384.382.389.784.883.180.687.486.883.586.284.182.384.886.683.578.188.881.983.380.087.283.386.679.584.182.290.886.579.781.087.281.684.484.482.288.980.985.187.184.076.582.785.183.390.481.080.379.889.083.780.987.381.185.686.680.086.683.383.182.386.780.2;procgplotdat

7、a=ex1_2;plotx*time=1;symbol1c=blackv=stari=join;run;时序图绘制自相关图、偏自相关图18dataex1_2;inputx@@;time=intnx('month','01jul2004'd,_n_-1);formattimedate.;cards;81.989.479.081.484.885.988.080.382.683.580.285.287.283.584.382.984.78