第八章非平稳时间序列的建模VIP免费

)(xxdFEXttt)()()(22xdFxXEDXttttt))((),(ssttXXEst(,)(,)tststsDXDX1(1)0.8tttxx12(2)0.5ttttxxx1(1)0.8tttxx12(3)0.5ttttxxx1tttxx0<||1一阶不平稳的时序01,1,2...,;.零均值；有限方差；tttYttTiid01(),1,2...,tEYttT222()[()]()ttttVarYEYEYE1,其中，零均值、同方差、序列不相关ttttZZ0()()0ttiiEZE002()()()tttiiiiVarZVarVart随机游走（randomwalk）均值都为零，但差异却非常大！1tttZZ1tttZZ1tttZZ121tttZZ21ttttZZ0ttiiZt趋势0()()ttiiEZEtt0()()ttiiVarZVart002()2(,)；如果序列不相关tttiikiikiVarCovt01,tttYX10.8,(0,1)ttttYYN10.6,(0,1)ttttXXN0102030405060708090102030405060708090100YXIncludedobservations:10VariableCoefficientStd.Errort-StatisticProb.C1.6224310.4718393.4385240.0088X-0.0626270.079751-0.7852760.4549R-squared0.071566Meandependentvar1.300246AdjustedR-squared-0.044488S.D.dependentvar0.721028F-statistic0.616659Durbin-Watsonstat0.871282Prob(F-statistic)0.454917Includedobservations:20VariableCoefficientStd.Errort-StatisticProb.C-2.2595731.809660-1.2486170.2278X0.7382370.1878203.9305560.0010R-squared0.461872Meandependentvar4.135306AdjustedR-squared0.431976S.D.dependentvar4.701765S.E.ofregression3.543597Akaikeinfocriterion5.462801Sumsquaredresid226.0275Schwarzcriterion5.562375Loglikelihood-52.62801Hannan-Quinncriter.5.482239F-statistic15.44927Durbin-Watsonstat0.191647Prob(F-statistic)0.000980Includedobservations:50VariableCoefficientStd.Errort-StatisticProb.C-6.6223791.206844-5.4873520.0000X1.3501940.06315921.377670.0000R-squared0.904951Meandependentvar16.63794AdjustedR-squared0.902971S.D.dependentvar11.85183F-statistic457.0046Durbin-Watsonstat0.245227Prob(F-statistic)0.000000Includedobservations:100VariableCoefficientStd.Errort-StatisticProb.C-7.1592711.422568-5.0326390.0000X1.5610060.04126237.831180.0000R-squared0.935914Meandependentvar40.08837AdjustedR-squared0.935260S.D.dependentvar26.76950F-statistic1431.198Durbin-Watsonstat0.082306Prob(F-statistic)0.0000000102030405060708090102030405060708090100YX01,tttYX01ttZtv1tttZZv101tttZZtv1tttZZv2101,.(0,)其中ttttZZtvviidN•r=0andβ10ǂ：确定性趋势；•r=1andβ0=β1=0，随机漫步；•r=1andβ1=0，β00ǂ，随机趋势；•r=1andβ0=β1ǂ0，随机趋势+确定性趋势•If0