روش بهینه جدید در شناسایی مدل سری زمانی و مشکلات ان

Subject Areas : Stochastics Problems

احمدرضا زنبوری ¹ (گروه آمار، واحد مرودشت، دانشگاه آزاد اسلامی، مرودشت، ایران)
کریم زارع ² (گروه آمار، واحد مرودشت، دانشگاه آزاد اسلامی، مرودشت، ایران)

Received: 2017-03-14 Accepted : 2017-05-12 Published : 2017-06-01

Keywords: سری زمانی, باقیمانده ها, باکس جنکینز, تابع خود همبستگی نمونه ای تعمیم یافته,

Abstract :

در مدل خودبازگشتی-میانگین متحرک (arima) شناسایی مدل یکی از مراحل پیچیده می باشد . این مرحله بخصوص برای مدل های امیخته پیچیده تر می باشد . در این مقاله ابتدا روش باکس جنکینز را شرح داده و سپس به مشکل شناسایی مدل در این روش می پردازیم و در ادامه به بررسی مشکل باقیمانده ها در مدل های سری زمانی می پردازیم . با استفاده از این روش بهینه این مشکلات را حل می کنیم . روش استفاده شده در این مقاله در زمینه زمان و سرعت ، برتری مطلوبی نسبت به روش باکس جنکینز را دارا می باشد .

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