平穩(wěn)時(shí)間序列的分析建模以及預(yù)測

1、平穩(wěn)時(shí)間序列的分析，建模以及預(yù)測題：某化工廠生產(chǎn)過程中的70個(gè)產(chǎn)量數(shù)據(jù)obsbf1476423713866455415948117135574058164480553774215157506045265750452559315071567450365845543654414855455750466244644352513859554153564934355445616838506039665940575423對此時(shí)間序列的分析，本人是基于matlab編程完成的，其具體情況如下：1、對數(shù)據(jù)進(jìn)行零均值化% 化工生產(chǎn)過程的產(chǎn)量數(shù)據(jù)分析%n=70;n=1:n;x=47,64,23,71,38,64,5

2、5,41,59,48,71,35,57,40,58,44,80,55,37,74,51,57,50,60,45,57,50,45,25,59, 50,71,56,74,50,58,45,54,36,54,48,55,45,57,50,62,44,64,43,52,38,59,55,41,53,49,34,35,54,45,68, 38,50,60,39,59,40,57,54,23;y=zeros(1,70);for nn=1:70, y(nn+1)=y(nn)+x(nn);endy=y(nn+1)/n;x1=zeros(1,n);x1=x-y;得出均值為：51.1286，x1數(shù)組即為零均值后

3、的數(shù)組。2、相關(guān)函數(shù)及偏相關(guān)函數(shù)的計(jì)算（接上面程序）r1=zeros(1,n);x2=zeros(1,n);for nn=1:70, for ii=1:71-nn, x2(nn)=x2(nn)+x1(ii)*x1(nn+ii-1); endendfor jj=1:70, r1(jj)=x2(jj)/n;endr2=r1;r3=zeros(1,16);for jj=1:16 r3(jj)=r2(jj)/139.7978;endh=zeros(1,15);g=zeros(1,15);a=zeros(15);for k=1:14, for j=1:k, a(1,1)=r3(2); h(k)=h(k)

4、+r3(k+2-j)*a(k,j); g(k)=g(k)+r3(j+1)*a(k,j); a(k+1,k+1)=(r3(k+2)-h(k)/(1-g(k); a(k+1,j)=a(k,j)-a(k+1,k+1)*a(k,k+1-j); endendb=a;figure(1)set(1,position,10,35,350,650)ii=1:16;plot(ii,r3,b);gridfigure(2)jj=1:16;m=zeros(1,16);m(1)=1;for j=2:16, m(j)=a(j-1,j-1);endplot(jj,m,b);grid運(yùn)行程序后得出的自相關(guān)函數(shù)偏相關(guān)函數(shù)數(shù)據(jù)如下

5、表：=139.7978, =1 -54.5041 -0.3899 -0.3899 42.55360.30440.1797-23.1442-0.16560.00239.88640.0707-0.0411-13.5659-0.0970-0.0693-6.5786-0.0471-0.12024.9451 0.0354 0.0198 -6.0754-0.04350.0027-0.6705-0.0048-0.05552.01210.01440.003415.36620.10990.1396-9.6151-0.0688-0.010820.69490.14800.09405.00040.0358 0.1621-0.9335-0.0067-0.0008題中：n=70, =0.2390運(yùn)行程序后得出的散點(diǎn)圖如下：自相關(guān)散點(diǎn)圖（r（n）為圖中的r（n+1）偏相關(guān)散點(diǎn)圖（r（n）為圖中的r（n+1）分析中橫軸應(yīng)為0-15，在該圖中，橫軸為1-16，所以散點(diǎn)圖應(yīng)視為往左移一位。3、模型的判斷由圖可以看出，當(dāng)k2時(shí)，1時(shí)，0.2390,認(rèn)為在1步截尾;故模型識(shí)別為ar（1）4、計(jì)算模型參數(shù)對于ar（p