非平稳序列的随机分析教案.ppt

arz=arima(Z1,order=c(13,0,0)) zr=resid(arz) acf(zr) pacf(zr) library(tseries) mar=arma(Z1,order=c(13,0),include.intercept = T) summary(mar) zr=resid(mar) Box.test (zr, lag = 6, type = Ljung) Box.test (zr, lag = 12, type = Ljung) ct=abs(summary(mar)$coef[,1])/summary(mar)$coef[,2] 1-pnorm(ct) par(mfrow=c(3,1)) ts.plot(zr[-which(is.na(zr))]) acf(zr[-which(is.na(zr))]) pacf(zr[-which(is.na(zr))]) n - 1100 a - c(0.1, 0.5, 0.2) # ARCH(2) coefficients e - rnorm(n) x - double(n) x[1:2] - rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3]))) for(i in 3:n) # Generate ARCH(2) process { x[i] - e[i]*sqrt(a[