Cours de Séries Temporelles

 1 1 ARIMA SARIMA ARIMA SARIMA N k = 1,...,8k N k = 1,...,8k X Xt t 1 X Xt t 12 X(t) = 0.5t+ , N(0,1) =.1,.5,.9t t X(t) = 0.5t+ , N(0,1) =.1,.5,.9t t X(t) = 0.5t + + 2cos(t / 6), N(0,1) =t t .1,.5,.9 x(t) = 0.5t+ +2cos(t / 6), N(0,1)t t X +0.8X = 0.8n n 1 n n 1 X +0.81X =n n 2 n X +0.8X = 0.8n n 1 n n 1 ARMA a a AR1 2 2 AR MA4 3 AR8 SARIMA j+1 j,j 1, x , ,x1 n 2 x =a j +a j +a +e j = 1, ,n.j 1 2 3 j xn+1 2aˆ (n+1) +aˆ (n+1)+aˆ ,1 2 3 xn+2  (x , ,x )1 n n k k k k k k