时间序列sas-实验二-浙江万里学院.docx

《时间序列sas-实验二-浙江万里学院.docx》由会员分享，可在线阅读，更多相关《时间序列sas-实验二-浙江万里学院.docx（10页珍藏版）》请在第一文库网上搜索。

1、实验二 数据预处理及时序图绘制一、实验目的:了解GPLOT过程的使用，利用GPLoT绘制时序图并对时序图进行分析。了解ARlMA过程的使用，利用ARIMA进行平稳性分析及纯随机性检验。二、实验内容P33T2Dataco2 ;InputtStl-tSt6 ;Cards ;330.45331.9331.63333.05332.81334.65334.66336.25335.89337.41337.81339.25330.97330.05332.46330.87333.23332.41335.07334.39336.44335.71338.16337.19331.64328.58333.36329.

2、24334.55331.32336.33332.44337.63333.68339.88335.49332.87328.31334.45 328.87335.82330.73337.39332.25338.54333.69 340.57336.63333.61329.41334.82 330.18336.44332.05337.65333.59339.06335.05341.19 337.74333.55330.63334.32 331.5335.99333.53337.57334.76338.95336.53340.87 338.36Proc print data=co2 ;Run;Proc

3、 transpose data=co2 out=co22; var tStl-tSt6;run;data co23;input PriCtim=intnx(,month, 01janl975P, n T);format tim yymmddl.;cards;330.45 331.9339.25330.97 330.05337.19331.64 328.58335.49332.87 328.31336.63333.61 329.41337.74333.55 330.63331.63332.46333.36334.45334.82334.32333.05330.87329.24328.87330.

4、18331.5332.81333.23334.55335.82336.44335.99334.65332.41331.32330.73332.05333.53334.66 336.25 335.89337.41 337.81335.07 334.39 336.44 335.71 338.16336.33 332.44 337.63 333.68 339.88337.39 332.25 338.54 333.69 340.57337.65 333.59 339.06 335.05 341.19337.57 334.76 338.95 336.53 340.87338.36RUN;proc gpl

5、ot data=Co23;plot PriC*tim;symboll c=black v=star i=splin； run;proc arima data= Co23;icintify Var=PriC nlag=22; run1975-01-01 1975-07-01 1976-01-01 1976-07-01 1977-01-01 1977-07-01 1978-01-01 1978-07-01 1979-01-01 1979-07-01 1980-01-01 1980-07-01 1981-01-01i!UHlU3UI=l星期二 卜十UZ刖13分43秒8The ARIMA Proced

6、ureWARNING： The value of NLAG is larger than 25X of the series length. The asymptotic approximations used for correlation based statistics and confidence intervals may be poor.Name of Variable priceMean of Working Series334.5044Standard Deviation3.151827Number of Observations72AutocorrelationsCovari

7、ance Correlation -1 98765432101234587891Std Error09.93275211.58581724.4817313-2.42547241.0797085-4.7962336-0.4198117-5.00471080.2555909-2.940461102.958427110.923035127.978326131.296632143.43262815-1.851166160.52375417-3.70987418-0.83608719-3.81206720-0.49247221-2.093255221.4883231.00000 0.15966 0.44

8、919 -.24419 0.10870 -.48287 -.04227 -.50386 0.02573 -.29604 0.29785 0.09293 0.80323 0.13054 0.34559 -.18637 0.05273 -.37350-.08417 -.38379 -.04958 -.21074 0.14984H .*.*HKK.* .0 0.117851 0.120818 0.142133 0.147845 0.148951 0.189302 0.169448 0.189118 0.189185 0.195493 0.201697 0.202291 0.242577 0.2435

9、51 0.250269 0.252189 0.252342 0.259907 0.260285 0.268029 0.288157 0.270447marks two standard errorsLagborreaion21-0.01285220.02692Partial AutocorrelationsLag Correlation -1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 5 8 7 8 9 110.1596620.434793-0.4481140.057825-0.330168-0.020647-0.217828-0.007159-0.03032100.128791

10、10.28813120.6594513-0.2684414-0.51855150.3129516-0.10850170.18915180.01818190.0792420-0.0367321-0.0172722-0.07148Hc .Autocorrelation Check for White NoiseToChi-LagSquare841.4812135.4318185.67Pr DF ChiSq 8.00010.18012.0001-0.50418.00010.131Autocorrelations-0.449-0.2440.026-0.2960.346-0.1860.109-0.483

11、-0.0420.2980.0930.8030.053-0.373-0.084(1) 通过该时序图，看出此系列不平稳(2) 该序列的样本自相关系数：Correlat ion1.000000.153880.44919-.244190.10870-.48287-.04227-.503860.02573-.298040.297850.092930.803230.130540.34558-.188370.05273-.37350-.08417-.38379-.04958-.210740.14S843解释该图形1 .样本自相关图显示延迟O阶和延迟12阶的自相关系数都很大，说明该样本具有周期性。2 .在之后

12、的延迟阶数中，自相关系数具有一个震荡的过程，故此样本不平稳。P34T3data j yl;input PriCtim=intnx(,month, 0：Ljanl975P,_n_-1);format tim yymmddl.; cards;69.380 40.974.984.6101.1225 95.3100.648.3144.528.338.452.368.637.1148.6218.7131.6112.881.831 47.570.196.861.555.6171.7220.5119.463.2181.673.964.8166.948137.780.5105.289.9174.8124 86

13、.4136.931.,535.,3112.343160.897 80.562.5158.27.6 165.9106.792.263.226.27752 .3105.4144.349.5116.154.1148.6159.385.367.3112.859.4RUN;proc gplot data=jyl;plot PriC*tim;symboll c=black v=star i=splin；run;proc arima data= jyl;identify Var=PriC nlag=22;run(1)该序列的自相关系数:Correlat ion1.000000.012770.04180-.04323-.17889-.25130-.09381-.06778-.071980.013880.109450.217300.31587-.025050.07532-.14121-.20359-.245490.08648-.13945-.034030.20572-.00887timegl GRAPHl WORK.GSEG.GPLOT1圈蝴出-(无标题)1Autocorrelations