時(shí)間序列分析課后習(xí)題答案

1、第9章時(shí)間序列分析課后習(xí)題答案32第 10章(1) 30X 1.06 X 1.05 = 30 X 1.3131 = 39.393 (萬(wàn)輛)(2)9 (30 2)/(30 1.078) 19 2/1.078 17.11%(3)設(shè)按7.4%的增長(zhǎng)速度n年可翻一番則有 1.074n 60/ 302所以 n = Iog2 / Iog1.074 = 9.71(年)故能提前0.29年達(dá)到翻一番的預(yù)定目標(biāo)。第11章 (1)以1987年為基期，2003年與1987年相比該地區(qū)社會(huì)商品零售額共增長(zhǎng):(2) 年平均增長(zhǎng)速度為第13章（1）用每股收益與年份序號(hào)回歸得Y 0.365 0.193t。預(yù)測(cè)下一年（第 11

2、 年）的每股收益為Y 0.365 0.193 112.488 元（2）時(shí)間數(shù)列數(shù)據(jù)表明該公司股票收益逐年增加，趨勢(shì)方程也表明 平均每年增長(zhǎng)0.193元。是一個(gè)較為適合的投資方向。第14章（1）移動(dòng)平均法消除季節(jié)變動(dòng)計(jì)算表年別季別鮮蛋銷售量四項(xiàng)移動(dòng)平均值移正平均值（T?）2000 年一季度13.1二季度13.910.875三季度7.910.310.5875四季度8.69.7102001 年一季度10.810.159.925二季度11.510.7510.45三季度9.711.711.225四季度1113.212.452002 年一季度14.614.77513.9875二季度17.516.57515

3、.675三季度1617.52517.05四季度18.218.1517.83752003 年一季度18.418.37518.2625二季度2018.32518.35三季度16.9四季度18（2）Tt 8.9625 0.63995 t（3）趨勢(shì)剔出法季節(jié)比例計(jì)算表（一）年別季別時(shí)間序列號(hào)t鮮蛋銷售量預(yù)測(cè)鮮蛋銷售量趨勢(shì)剔除值2000 年一季度113.1二季度213.9三季度37.9四季度48.62001 年一季度510.8二季度611.5三季度79.7四季度8112002 年一季度914.6二季度1017.515.09102941三季度11161.0171076四季度1218.22003 年一季度1

4、318.417.01058824二季度1420三季度1516.9四季度1618上表中，其趨勢(shì)擬合為直線方程T? a9625 0.63995 t。趨勢(shì)剔出法季節(jié)比例計(jì)算表（二）季度年度一季度二季度三季度四季度2000 年1.4037191.3938740.7444360.7643152001 年0.9081920.9176790.736440.7964482002 年1.0102981.1596291.0171081.111742003 年1.0816791.1331160.9239870.950864平均1.1009721.1510750.8554930.9058424.013381季節(jié)比率%

5、1.0973011.1472370.8526410.9028224. 00000根據(jù)上表計(jì)算的季節(jié)比率，按照公式 Y? T? S KL計(jì)算可得:2004年第一季度預(yù)測(cè)值:2004年第二季度預(yù)測(cè)值:2004年第三季度預(yù)測(cè)值:2004年第四季度預(yù)測(cè)值:9.1 (1)用原始資料法計(jì)算的各月季節(jié)比率為月份1月2月3月4月5月6月季節(jié)比率0.91950.78680.99311.00291.02881.0637月份7月8月9月10月11月12月季節(jié)比率0.97220.98511.04071.03501.07651.0958平均法計(jì)算季節(jié)比率表:年別月份2000 年2001 年2002 年2003 年平均季

6、節(jié)比率%1月4.785.186.466.825.808750.91952月3.974.615.625.684.970250.78683月5.075.696.967.386.27350.99314月5.125.717.127.406.335751.00295月5.275.907.237.606.499251.02886月5.456.057.437.956.71951.06377月4.955.656.787.196.14150.97228月5.035.766.767.356.2230.98519月5.376.147.037.766.5741.040710月5.346.146.857.836.538

7、251.035011月5.546.477.038.176.800251.076512月5.446.557.228.476.92251.0958平均6.3172081.0000季節(jié)比率的圖形如下:(2)用移動(dòng)平均法分析其長(zhǎng)期趨勢(shì)年月序號(hào)工業(yè)總產(chǎn)值（億元）移動(dòng)平均移正平均Ja n-0014.78Feb-0023.97Mar-0035.07Apr-0045.12May-0055.27Jun-0065.455.13Jul-0074.955.17Aug-0085.035.22Sep-0095.375.27Oct-00105.345.32Nov-00115.545.37Dec-00125.445.115.

8、43Jan-01135.185.145.49Feb-01144.615.205.55Mar-01155.695.255.62Apr-01165.715.305.69May-01175.905.355.77Jun-01186.055.405.87Jul-01195.655.465.97Aug-01205.765.526.06Sep-01216.145.586.18Oct-01226.145.656.29Nov-01236.475.736.40Dec-01246.555.826.51Ja n-02256.465.936.60Feb-02265.626.016.68Mar-02276.966.126

9、.74Apr-02287.126.236.80May-02297.236.356.85Jun-02307.436.466.89Jul-02316.786.556.91Aug-02326.766.646.93Sep-02337.036.716.96Oct-02346.856.776.98Nov-02357.036.827.02Dec-02367.226.887.06Ja n-03376.826.917.10Feb-03385.686.917.15Mar-03397.386.947.23Apr-03407.406.977.31May-03417.607.007.41Jun-03427.957.04

10、Jul-03437.197.08Aug-03447.357.12Sep-03457.767.19Oct-03467.837.27Nov-03478.177.36Dec-03488.477.46原時(shí)間序列與移動(dòng)平均的趨勢(shì)如下圖所示：9.2(1)采用線性趨勢(shì)方程法：T? 460.0607 7.0065t剔除其長(zhǎng)期趨勢(shì),趨勢(shì)分析法剔除長(zhǎng)期趨勢(shì)表年月 序號(hào)工業(yè)總產(chǎn)值(億 長(zhǎng)期趨勢(shì)剔除長(zhǎng)期元）值趨勢(shì)Ja n-831477.9467.06721.023193Feb-832397.2474.07370.837844Mar-833507.3481.08021.054502Apr-834512.2488.086

11、71.049404May-835527495.09321.064446Ju n-836545502.09971.085442Jul-837494.7509.10620.971703Aug-838502.5516.11270.973625Sep-839536.5523.11921.025579Oct-8310533.5530.12571.006365Nov-8311553.6537.13221.030659Dec-8312543.9544.13870.999561Ja n-8413518551.14520.939861Feb-8414460.9558.15170.825761Mar-841556

12、8.7565.15821.006267Apr-8416570.5572.16470.997091May-8417590579.17121.018697Ju n-8418604.8586.17771.031769Jul-8419564.9593.18420.952318Aug-8420575.9600.19070.959528Sep-8421613.9607.19721.011039Oct-8422614614.20370.999668Nov-8423646.7621.21021.041032Dec-8424655.3628.21671.043111Ja n-8525645.7635.22321

13、.016493Feb-8526562.4642.22970.875699Mar-8527695.7649.23621.071567Apr-8528712656.24271.084964May-8529723.1663.24921.090239Ju n-8530743.2670.25571.108831Jul-8531678677.26221.001089Aug-8532676684.26870.987916Sep-8533703691.27521.016961Oct-8534685.3698.28170.981409Nov-8535703.3705.28820.997181Dec-853672

14、2.4712.29471.014187Ja n-8637681.9719.30120.948003Feb-8638567.6726.30770.781487Mar-8639737.7733.31421.005981Apr-8640739.6740.32070.999027May-8641759.6747.32721.016422Ju n-8642794.8754.33371.053645Jul-8643719761.34020.944387Aug-8644734.8768.34670.956339Sep-8645776.2775.35321.001092Oct-8646782.5782.359

15、71.000179Nov-8647816.5789.36621.034374Dec-8648847.4796.37271.064075剔除長(zhǎng)期趨勢(shì)后分析其季節(jié)變動(dòng)情況表年份1983年 1984年 1985年 1986年季節(jié)比率%月份1月1.0231930.9398611.0164930.9480030.9818882月0.8378440.8257610.8756990.7814870.8301983月1.0545021.0062671.0715671.0059811.0345794月1.0494040.9970911.0849640.9990271.0326225月1.0644461.0186

16、971.0902391.0164221.0474516月1.0854421.0317691.1088311.0536451.0699227月0.9717030.9523181.0010890.9443870.9673748月0.9736250.9595280.9879160.9563390.9693529月1.0255791.0110391.0169611.0010921.01366810月1.0063650.9996680.9814091.0001790.99690511月1.0306591.0410320.9971811.0343741.02581212月0.9995611.0431111.0141871.0640751.030234(3)運(yùn)用分解法可得到循環(huán)因素如下圖: