时间序列分析,平稳模型,从读取数据到预测数据
x<-read.table("D:/时间序列分析/DATA1/A1-8.txt",sep=',',header=T)
overshort<- ts(x$overshort,start=1)
#时序图
plot(overshort, type="o",col=1,main='时序图')
#白噪声检验
for(i in 1:2)print(Box.test(overshort,type='Ljung-Box',lag=6*i))
#自相关与偏自相关图
par(mfrow=c(1,2));acf(overshort);pacf(overshort)
overshort.1<-x$overshort;
#EACF法
library(TSA)
eacf(overshort.1)
#最优子集法
library(TSA)
res<-armasubsets(y=overshort.1,nar=10,nma=10,ar.method="ols")
plot(res)
#基于AIC,AIC或BIC的最佳模型法
library(forecast)
auto.arima(overshort.1,ic = "bic")
#参数估计
fit<-arima(overshort.1,order=c(0,0,1),method='CSS')
fit
#模型检验
library(aTSA)
ts.diag(fit)
t<-abs(fit$coef)/sqrt(diag(fit$var.coef))
pt(t,length(overshort)-length(fit$coef),lower.tail=F)