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鍒濊│绉戠洰鑰冭│澶х侗
绉戠洰浠ｇ⒓锛�3015
绉戠洰鍚嶇ū锛氳▓閲忕稉(j墨ng)婵熷(xu茅)
婊垮垎锛�100鍒�
鏁�(sh霉)閲忕稉(j墨ng)婵熷(xu茅)灏堟キ(y猫)涓嬭ō(sh猫)鍏╁€嬬爺绌舵柟鍚戯細瑷堥噺缍�(j墨ng)婵熷(xu茅)妯″瀷鑸囨柟娉曡垏瀹忚缍�(j墨ng)婵熻▓閲忓垎鏋�锛屾牴鎿�(j霉)鐮旂┒鏂瑰悜?q奴)顥滻(y猫)鐞嗚珫鍩虹(ch菙)闇€瑕�锛屾晠鎿畾灏堟キ(y猫)瑾层€婅▓閲忕稉(j墨ng)婵熷(xu茅)銆嬪叆瀛�(xu茅)鑰冭│澶х侗濡備笅锛�
涓€銆佽▓閲忕稉(j墨ng)婵熷(xu茅)姒傝珫閮ㄥ垎
1.1 瑷堥噺缍�(j墨ng)婵熷(xu茅)鐨勬兜缇�銆佺壒榛炲強鍏剁櫦(f膩)灞曞彶
瑷堥噺缍�(j墨ng)婵熷(xu茅)鐨勬蹇�銆佺壒榛�銆佺櫦(f膩)灞曞彶
1.2 瑷堥噺缍�(j墨ng)婵熷(xu茅)鐮旂┒鍏�(n猫i)瀹硅寖鐤�
瑷堥噺缍�(j墨ng)婵熷(xu茅)妯″瀷楂旂郴銆佸缓妯℃柟娉曢珨绯�銆佹ā鍨嬫椹�
1.3 瑷堥噺缍�(j墨ng)婵熷(xu茅)鑸囩浉闂�(gu膩n)瀛�(xu茅)绉戠殑闂�(gu膩n)绯�
瑷堥噺缍�(j墨ng)婵熷(xu茅)鑸囨暩(sh霉)鐞嗙当(t菕ng)瑷堝(xu茅)銆佹暩(sh霉)鐞嗙稉(j墨ng)婵熷(xu茅)銆佺稉(j墨ng)婵熺当(t菕ng)瑷堝(xu茅)闂�(gu膩n)绯�
1.4銆€瑷堥噺鍒嗘瀽鐨勫缓妯＄▼搴忚垏鎴愬姛瑕佺礌
鏁�(sh霉)鎿�(j霉)銆佺悊璜�銆佹柟娉�
1.5 瑷堥噺缍�(j墨ng)婵熷(xu茅)鍦ㄧ稉(j墨ng)婵熺爺绌朵腑鐨勬噳(y墨ng)鐢�
缍�(j墨ng)婵熼爯(y霉)娓€佺祼(ji茅)妲�(g貌u)鍒嗘瀽銆佹斂绛栬⿻鍍�
1.6 瑷堥噺缍�(j墨ng)婵熸ā鍨嬫柟娉曡垏缍�(j墨ng)婵熺稉(j墨ng)椹楀璀夊垎鏋�
瀵﹁瓑鍒嗘瀽鍏�(n猫i)娑点€佺悊璜栧璀夊垎鏋愯垏缍�(j墨ng)椹楀璀夊垎鏋�銆佸璀夊垎鏋愮▼搴�銆佽▓閲忕稉(j墨ng)婵熷垎鏋愯垏缍�(j墨ng)椹楀璀夊垎鏋愮殑闂�(gu膩n)绯�
浜�銆� 绶氭€у洖姝告ā鍨嬭▓閲忓垎鏋�
2.1 绶氭€у洖姝告ā鍨嬩竴鑸舰寮�
涓€鑸舰寮�銆侀毃姗熸摼鍕曢爡銆侀洐绶氭€х壒榛�
2.2 绶氭€у洖姝告ā鍨嬭ō(sh猫)瀹氳垏寤烘ā鐨勫墠鎻愬亣瑷�(sh猫)姊濅欢
瑷�(sh猫)瀹氬墠鎻愬亣瑷�(sh猫)姊濅欢锛屽缓妯＄殑缍�(j墨ng)鍏搞€侀潪缍�(j墨ng)鍏稿墠鎻愬亣瑷�(sh猫)姊濅欢
2.3 绶氭€у洖姝告ā鍨嬪墠鎻愬亣瑷�(sh猫)姊濅欢鐨勬椹�
绶氭€ф€�銆佸潎鍊兼€�銆佹柟宸€с€佽嚜鐩搁棞(gu膩n)鎬�銆佹鎱�(t脿i)鎬с€佸閲嶅叡绶氭€ф椹�
2.4 绶氭€у洖姝告ā鍨嬪缓妯＄殑浼拌▓鑸囨椹�
鐞冮潰鎿惧嫊涓嬬殑 娉�,闈炵悆闈㈡摼鍕曚笅鐨� 銆� 娉�锛屽閲嶅叡绶氭€т笅鐨勫缓妯℃硶锛岄潪姝ｆ厠(t脿i)鎿惧嫊涓嬬殑寤烘ā娉曪紝闅ㄦ瑙ｉ噵璁婇噺涓� 娉�锛岄潪绶氭€у洖姝告ā鍨嬪缓妯℃硶锛岃櫅璁婇噺鍥炴妯″瀷寤烘ā娉�锛岀壒娈婄窔鎬у洖姝告ā鍨嬪缓妯℃硶
2.5 绶氭€у洖姝告ā鍨嬭ō(sh猫)瀹氬亸瑾�
妯″瀷绶氭€у舰寮忚ō(sh猫)瀹氬亸瑾わ紝澶氫綑鍜岄伜婕忚В閲嬭畩閲�锛屾摼鍕曢爡瑷�(sh猫)瀹氬亸瑾�
2.6 绶氭€у洖姝告ā鍨嬬敤浜庣稉(j墨ng)婵熷璀夊垎鏋�
姣旇純闈滄厠(t脿i)瀛�(xu茅)銆佸綀鎬�銆佷箻鏁�(sh霉)绲�(ji茅)妲�(g貌u)鍒嗘瀽锛岀稉(j墨ng)婵熼爯(y霉)娓垎鏋�锛屾斂绛栨ā鎿垎
鏋愶紝椹楄瓑鍜岀櫦(f膩)灞曠稉(j墨ng)婵熺悊璜�
涓�銆佽嚜鍥炴婊戝嫊骞冲潎妯″瀷瑷堥噺鍒嗘瀽
3.1 鑷洖姝告粦鍕曞钩鍧囨ā鍨嬪強鍏剁浉闂�(gu膩n)鍒嗘瀽
妯″瀷褰㈠紡, 搴忓垪鐨勭浉闂�(gu膩n)鍒嗘瀽
3.2 鑷洖姝告粦鍕曞钩鍧囨ā鍨嬪墠鎻愬亣瑷�(sh猫)姊濅欢鍙婃椹�
妯″瀷瑷�(sh猫)瀹氳垏寤烘ā鍓嶆彁鍋囪ō(sh猫)姊濅欢, 妯″瀷鍓嶆彁鍋囪ō(sh猫)姊濅欢鐨勬椹�
3.3 鑷洖姝告粦鍕曞钩鍧囨ā鍨嬬殑鍙冩暩(sh霉)浼拌▓鑸囧缓妯�
搴忓垪鐨勫弮鏁�(sh霉)鐭╀及瑷�锛� 妯″瀷鍙冩暩(sh霉)鐨勭煩浼拌▓銆� 浼拌▓銆� 浼拌▓锛� 妯″瀷鐨勮瓨鍒ヨ垏瀹氶殠銆佹摤鍚堝劒(y艒u)搴︽椹�
3.4 鑷洖姝告粦鍕曞钩鍧囨ā鍨嬬殑绶氭€ф渶灏忔柟宸爯(y霉)娓�
妯″瀷鐨勬渶灏忔柟宸爯(y霉)娓�锛� 妯″瀷闋�(y霉)娓垎鏋愮▼搴�
3.5 鍠暣銆佽嚜鍥炴姹傚拰婊戝嫊骞冲潎妯″瀷鍙婂叾闋�(y霉)娓�
鍠暣鍙婂叾妾㈤鏂规硶锛� 妯″瀷鍙婂叾闋�(y霉)娓垎鏋�
鍥�銆佹化鍚庤畩閲忔ā鍨嬨€佸崝(xi茅)鏁磋垏鍧囪 鍒嗘瀽
4.1 婊悗鏁堟噳(y墨ng)鑸囨化鍚庤畩閲忔ā鍨嬩竴鑸舰寮�
婊悗鏁堟噳(y墨ng),妯″瀷鐨勪竴鑸舰寮�,鐢�(ch菐n)鐢熸鍒跺垎鏋�
4.2 婊悗璁婇噺妯″瀷鍓嶆彁鍋囪ō(sh猫)姊濅欢銆佹椹楀強寤烘ā
妯″瀷鐨勫墠鎻愬亣瑷�(sh猫)姊濅欢鍙婃椹�,妯″瀷鐨勫畾闅庢柟娉�,鍙冩暩(sh霉)浼拌▓鑸囧缓妯�
4.3 婊悗璁婇噺妯″瀷鐨勪箻鏁�(sh霉)鑸囨斂绛栨化鍚庢晥鎳�(y墨ng)鍒嗘瀽
婊悗璁婇噺妯″瀷鐨勪箻鏁�(sh霉)鍒嗘瀽,鏀跨瓥婊悗鏁堟噳(y墨ng)鍒嗘瀽
4.4 鍗�(xi茅)鏁寸悊璜�銆佽宸慨姝ｆā鍨嬭垏鍧囪 鍒嗘瀽
鍋藉洖姝稿晱椤�锛屽崝(xi茅)鏁寸悊璜栧強鍏舵椹�锛� 妯″瀷鍙婂叾寤烘ā锛屽崝(xi茅)鏁磋垏鍧囪 鍒嗘瀽
浜�銆佽伅(li谩n)绔嬫柟绋嬫ā鍨嬭▓閲忓垎鏋�
5.1 鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑涓€鑸舰寮忓強鍓嶆彁鍋囪ō(sh猫)姊濅欢
鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑涓€鑸舰寮�锛岃伅(li谩n)绔嬫柟绋嬫ā鍨嬬殑瑷�(sh猫)瀹�锛屾ā鍨嬭ō(sh猫)瀹氱殑鍓嶆彁鍋囪ō(sh猫)姊濅欢鍙婄当(t菕ng)瑷堟椹�
5.2 鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑璀樺垾
鑱�(li谩n)绔嬫柟绋嬫ā鍨嬭瓨鍒ョ殑娑电京锛岃伅(li谩n)绔嬫柟绋嬬祼(ji茅)妲�(g貌u)寮忔ā鍨嬭瓨鍒ユ柟娉�
5.3 鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑寤烘ā鏂规硶
鑱�(li谩n)绔嬫柟绋嬬祼(ji茅)妲�(g貌u)寮忔ā鍨嬪柈鏂圭▼銆佽伅(li谩n)绔嬫柟绋嬪缓妯℃柟娉�
5.4 鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑绲�(ji茅)妲�(g貌u)鍒嗘瀽鍜岀稉(j墨ng)婵熼爯(y霉)娓�
鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑绲�(ji茅)妲�(g貌u)鍒嗘瀽銆佺稉(j墨ng)婵熼爯(y霉)娓�
5.5 鑱�(li谩n)绔嬫柟绋嬫ā鍨嬬殑鏀跨瓥妯℃摤鍒嗘瀽鑸囨晥鎳�(y墨ng)瑭曞児
缍�(j墨ng)婵熸斂绛栬⿻鍍圭殑鍏�(n猫i)娑�銆佺壒寰佸拰浣滅敤锛岀稉(j墨ng)婵熸斂绛栬⿻鍍瑰師鐞�銆佸師鍓囧拰锛屾婧�锛岀稉(j墨ng)婵熸斂绛栬⿻鍍瑰収(n猫i)瀹硅垏娴佺▼锛岀稉(j墨ng)婵熸斂绛栬⿻鍍圭殑鑱�(li谩n)绔嬫柟绋嬫ā鍨嬪拰鏂规硶
鍏�銆佸悜閲忚嚜鍥炴妯″瀷鑸囧悜閲忚宸慨姝ｆā鍨嬭▓閲忓垎鏋�
6.1 鍚戦噺鑷洖姝告ā鍨嬭▓閲忓垎鏋愭柟娉�
妯″瀷鐨勪竴鑸舰寮�锛� 妯″瀷鐨勫弮鏁�(sh霉)Yule-Walker銆� 浼拌▓锛� 妯″瀷鐨勯爯(y霉)娓�锛� 妯″瀷鐨勫畾闅�锛�
6.2 鍚戦噺鑷洖姝告ā鍨嬬殑Granger鍥犳灉闂�(gu膩n)绯绘椹�
Granger鍥犳灉闂�(gu膩n)绯绘兜缇┿€丟ranger鍥犳灉闂�(gu膩n)绯绘椹�
6.3 妯″瀷鐨勮剤娌栭熆鎳�(y墨ng)鍑芥暩(sh霉)鑸囨柟宸垎瑙�
鑴堟矕闊挎噳(y墨ng)鍑芥暩(sh霉)銆佹柟宸垎瑙�
6.4 Johansen鍗�(xi茅)鏁存椹楄垏鍚戦噺瑾ゅ樊淇妯″瀷( )
Johansen鍗�(xi茅)鏁存椹�锛屽悜閲忚宸慨姝ｆā鍨�( )
涓冦€侀潰鏉挎暩(sh霉)鎿�(j霉)锛坧anel data锛夋ā鍨嬭▓閲忓垎鏋�
7.1闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鍙婂叾妾㈤
璁婃埅璺濋潰鏉挎暩(sh霉)鎿�(j霉)妯″瀷銆佽畩鍙冩暩(sh霉)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷锛涘浐瀹氭晥鎳�(y墨ng)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷銆侀毃姗熸晥鎳�(y墨ng)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷锛岄潰鏉挎暩(sh霉)鎿�(j霉)妯″瀷鐨勭当(t菕ng)瑷堟椹�
7.2 璁婃埅璺濋潰鏉挎暩(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓
鍥哄畾鏁堟噳(y墨ng)璁婃埅璺濋潰鏉挎暩(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓锛岄毃姗熸晥鎳�(y墨ng)璁婃埅璺濋潰鏉挎暩(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓锛岃畩鎴窛闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勭当(t菕ng)瑷堟椹�
7.3 璁婂弮鏁�(sh霉)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓
鍥哄畾鏁堟噳(y墨ng)璁婂弮鏁�(sh霉)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓锛岄毃姗熸晥鎳�(y墨ng)璁婂弮鏁�(sh霉)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓
7.4 鍕曟厠(t脿i)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勫弮鏁�(sh霉)浼拌▓
鍕曟厠(t脿i)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勪及瑷�锛屽嫊鎱�(t脿i)闈㈡澘鏁�(sh霉)鎿�(j霉)妯″瀷鐨勫柈浣嶆牴妾㈤
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鏂囩珷鎼滅储
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