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  • 大小: 15KB
    文件類型: .m
    金幣: 1
    下載: 0 次
    發布日期: 2021-06-10
  • 語言: Matlab
  • 標簽: ARMA??時間序列??

資源簡介

時間序列ARMA模型源代碼

資源截圖

代碼片段和文件信息

clear;
%--------------------------------油價序列零均值化后的數據如下----------------------------------------%:
P=[?19.5900???14.9100???15.7400???15.4000???13.0600???19.0700???15.2800???15.8200???12.7700???12.0500...??
????11.6900???13.8500???13.8500???10.0700????9.1700???10.7900???13.4400???21.1700???18.6400???13.2100...??
????15.5400???21.9400???23.1100???18.6400???14.9400???16.9000???15.4600???11.1500???13.1300???12.4800...??
????12.9500???12.5900???10.5800???10.5800???12.3900???15.5300???13.0600???10.2200???16.3300???19.7200...
????21.3100???18.8400???24.8400???15.6700???15.5700???12.7300???13.5600???15.5400???17.2200???12.1400...
????11.0700???12.0200???11.5500????6.9200???10.3300???8.3800????12.1100???11.4600???12.7500???13.3200...
????13.0000???11.9000???11.7900???12.5500???11.8400???11.2500???11.1500???10.9900???11.7000???14.0100...
????17.5100???17.2700???16.9000???15.7900???15.4500???6.2400????16.7100???16.7700???16.6400???17.8000...
????16.8700???16.1300???15.7600???15.6600???15.5400???15.3000???15.0500???14.6900???14.3900???14.1800...
????13.70?????13.66?????13.27?????13.56?????13.14?????14.19?];
F=[?19.5900???14.9100???15.7400???15.4000???13.0600???19.0700???15.2800???15.8200???12.7700???12.0500...??
????11.6900???13.8500???13.8500???10.0700????9.1700???10.7900???13.4400???21.1700???18.6400???13.2100...
????15.5400???21.9400???23.1100???18.6400???14.9400???16.9000???15.4600???11.1500???13.1300???12.4800...
????12.9500???12.5900???10.5800???10.5800???12.3900???15.5300???13.0600???10.2200???16.3300???19.7200...
????21.3100???18.8400???24.8400???15.6700???15.5700???12.7300???13.5600???15.5400???17.2200???12.1400...
????11.0700???12.0200???11.5500????6.9200???10.3300???8.3800????12.1100???11.4600???12.7500???13.3200...
????13.0000???11.9000???11.7900???12.5500???11.8400???11.2500???11.1500???10.9900???11.7000???14.0100...
????17.5100???17.2700???16.9000???15.7900???15.4500???6.2400????16.7100???16.7700???16.6400???17.8000...
????16.8700???16.1300???15.7600???15.6600???15.5400???15.3000???15.0500???14.6900???14.3900???14.180];

%----------------------由于時間序列有不平穩趨勢,進行兩次差分運算,消除趨勢性----------------------%
for?i=2:96
????Yt(i)=P(i)-P(i-1);
end
for?i=3:96
????L(i)=Yt(i)-Yt(i-1);
end
figure;
L=L(3:96);
Y=L(1:88);
plot(P);
title(‘原數據序列圖‘);
hold?on;
pause?
plot(Y‘r‘);
title(‘兩次差分后的序列圖和原數對比圖‘);
pause??
%--------------------------------------對數據標準化處理----------------------------------------------%
Ux=sum(Y)/88???????????????????????????%?求序列均值
yt=Y-Ux;
b=0;
for?i=1:88
???b=yt(i)^2/88+b;
end
v=sqrt(b)??????????????????????????????%?求序列方差
Y=(Y-Ux)/v;?????????????????????????????%?標準化處理公式
f=F(1:88);
t=1:88;
figure;
plot(tftY‘r‘)
title(‘原始數據和標準化處理后對比圖‘);
xlabel(‘時間t‘)ylabel(‘油價y‘);
legend(‘原始數據?F?‘‘標準化后數據Y?‘);
pause??
%--------------------------------------對數據標準化處理----------------------------------------------%


%------------------------檢驗預處理后的數據是否符合AR建模要求,計算自相關和偏相關系數---------------%
???%---------------

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