时间序列分析作业.doc

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1、注意：为了尽量避免因个人尽量不足导致的模型识别问题，sas系统还提供了相对最有模型识别。只耍我们在identify命令中增加一个可选择命令minic,就可以获得一定范围内最优模型定阶。即增加语句:identifyvar=xnlag=8minicp=(0:5)q=(0:5)o作业:1.现有201个连续的生产纪录，如下81.989.479.081.484.885.988.080.382.683.580.285.287.283.584.382.984.782.981.583.487.781.879.685.877.989.785.486.380.7

2、83.890.584.582.486.783.081.889.379.382.788.079.687.883.679.583.388.486.684.679.786.084.283.084.883.681.885.988.283.587.283.787.383.090.580.783.186.590.077.584.784.687.280.586.182.685.484.782.881.983.686.884.084.282.883.082.084.784.488.982.483.085.082.281.686.285.482.181.485

3、.085.884.283.586.585.080.485.786.786.782.386.482.582.079.586.780.591.781.683.985.684.878.489.985.086.283.085.484.484.586.285.683.285.783.580.182.288.682.085.085.285.384.382.389.784.883.180.687.486.883.586.284.182.384.886.683.578.188.881.983.380.087.283.386.679.584.182.290.8

4、86.579.781.087.281.684.484.482.28&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(1)判断该序列的平稳性(2)如果该序列平稳口非白噪声。选择适当模型拟合该序列的发展(3)写出拟合模型，预测该序列后5年的95%预测的置信区间。解:(1)了解该序列的平稳性，只需做时序图检验和自相关图检验即可。SAS程序如下：goptionsvsize=25cmhsiz

5、e=25cm;/*g±iE^fVa£-,options±iE^NjOn£-,vsize=25cmxYIo,l31[EIa25*/dataa;inputsha@@;year=intnx(1year1,!1janl!dz_n_-l);formatyearyear4.;cards;/*数据省略，同题屮所给*/run;procgplot;plotsha*year;symbolv=circlei=joinc=blue;procarimadata=a;identifyvar=shanlag=21;run;从运行结果中可得岀时序图和自相关图如下:sha92

6、・919089888?86868483828180797877205020602070208020902100211021202130214021502160217021802190iilGO・・.・J2000201020202030204022002210Autocorrelations018.406439-2.5071861.00000-.29825WW心心<(•ffl

7、1869-.04780•♦0.07748940.9057320.107740.0776365-0.796369-.09473■榊0.07837661.3273770.15790***0.07894477.492395-.05857•*0.08050080.1192190.014180.0807119-0.522226-.06212:*0.080724100.3891660.04629#•0.080961110.00685770.000820.08109312-0.523496-.062270.081093130.0128320.001530.

8、081331140.7584200.09022榊.0.08133115-0.496505-.05906•#0.081827160.5353480.06368$•0.