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••••ARMA••3.....(WeakStationary)..(WhiteNoise)(WhiteNoise)..(RandomWalk)(RandomWalk)41.:.X(t)()t1,t2,t3,…,tN(t1t2…tN).2.:3.:.5.:,.uu.(WeakStationary)•2(1)(),.tEXtT∞∀∈,,(3)(,)(,)(,0),,,.tsthshsttshstTγγγ=++=-∀-∈(2)(),,.tEXtTμμ=∀∈67•–,,;8.(WhiteNoise)•{at},:2(1)0,,(2)(,),,0,tEatTtststsTtsσγ=∀∈⎧==∀∈⎨≠⎩{at}:2~(0,)taWNσ9..(RandomWalk)(RandomWalk)11AR(1)φ=1tttXXa-=+11tttXXaφ-=+:at,,.:.:.()tVarX=∞10....112.Box-Cox1.12v(1).1tttXXX-∇=-..13111dddtttXXX---∇=∇-∇112:d11d:21tttXXX-∇=∇-∇14v.,1dtdtXBXd-=∀≥.(BackshiftOperator)vB1ttBXX-=15011)(;B=1()()(2),;tttBCXCBXCXC-==11()(;3)ttttBXYXY--±=±(4);nttnBXX-=0(1)(1(5))nniiiniBCB=-=-∑!.!()!innCini=-11(1),niiiniCB==+-∑161B⇒∇=-1tttXXX-∇=-ttXBX=-(1)tBX=-(1)ddttXBX∇=-1[1(1)]dkkkdtkCBX==+-∑!.!()!kddCkdk=-17.•;•;•;•.18.,.XtSXt,Xt+s,Xt+2s,…..S.stttsXXX-∇=-20.ARMA(.ARMA(nn,,mm)).MA(m).AR(n)2()0,(),()0,ttatsEaVaraEaastσ===≠2(0,)taWNσ:12212(0,)()0,ttttntntastXXXXaaWNEXastσφφφ---=⎧⎪⎨⎪+∀+++=⎩:L21AR..AR(n)11222(0,)ttttmtmtaXaaaWNaaθθθσ---=-⎧---⎪⎨⎪⎩L:22.MA(m)MA.ARMA(n,m)23()11121(0,)0,ttnttastnttmtmXXXaaaaWNEXastθσφφθ----=+⎧⎪⎨⎪⋅=∀++---⎩L:LARMA24....25(ACF)(PACF):26ACF,PACFAR(1).27ACF,PACFMA(1).28ACF,PACFARMA.29..12ˆ()(|,,,)ttltttXlEXXXX+--=L.95%