时间序列分析理论与发展趋势.docVIP

时间序列分析理论与发展趋势 　　摘要:时间序列分析提供的理论和方法是进行高难度综合课题的研究工具之一。近几年来已有很多的学者对时间序列的研究取得了丰硕的成果,有的在已有时间序列分析方法的基础上进行创新,研究出了新的预测方法。该文从基本理论和方法等方面对时间序列分析进行了综述,同时阐述了其研究动态和发展趋势。 　　关键词:时间序列分析;预测;模型 　　中图分类号:TP391文献标识码:A文章编号:1009-3044(2010)02-257-02 　　The Theory And Development Trend of Time Series Analysis 　　LIU Ying-hui, CAO Jia-lian 　　(Dalian Jiaotong University, Dalian 116028, China) 　　Abstract: The theory and method which were provided by the time series analysis is one of the tools to carry out lage-scal sophisticdted research projects .In later years some scholars have achieved a lot of significant results in the study of time series analysis,and some made innovationsbased on the original methods of time series analysis and obtained new forecasting methods. This paper is the summary of the basic theories, methods, and illuminate its dynamic research and trend of development about time series analysis. 　　Key words: time series analysis; forecasting; model 　　1 Introduction 　　Time series analysis provide a method which is used to process the dynamic data. Our task then, is to identify an appropriate subclass of mathematical models that may be employed to represent a given time series, from the models we can learn the inherent structure and complex character of the data, on the one hand, and reach the goal of forecasting the future state of the system and make necessary control, on the other. 　　2 Time series analysis 　　2.1 Time series analysis concept and background 　　A great deal of data in business, economics, engineering and the natural sciences occur in the form of time series where observations are dependent and where the nature of this dependence is of interest in itself. The body of techniques available for the analysis of such series of dependent observations is called time series analysis.[1] Statistical analysis of time series data started a long time ago and forecasting has an even longer history. In 1927 mathematician Yuel who introduced the AR(autoregressive) mod