arima模型白噪声检验_白噪声模型

最新推荐文章于 2024-11-01 21:22:06 发布

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最新推荐文章于 2024-11-01 21:22:06 发布

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原文链接：https://towardsdatascience.com/the-white-noise-model-1388dbd0a7d

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本文介绍了如何对ARIMA模型进行白噪声检验，探讨了检验的重要性，来源于towardsdatascience.com的文章，主要涉及数据科学领域。

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arima模型白噪声检验

White noise are variations in your data that cannot be explained by any regression model.

白噪声是数据中的变化，任何回归模型都无法解释。

And yet, there happens to be a statistical model for white noise. It goes like this for time series data:

然而，碰巧有一个白噪声统计模型。时间序列数据如下所示：

Image for post — The additive white noise model

The observed value Y_i at time step i is the sum of the current level L_i and a random component N_i around the current level.

在时间步长i处的观测值Y_i是当前水平L_i与当前水平附近的随机分量N_i之和。

If the extent of random variation is proportional to the current level, then we have the following multiplicative version of the same model:

如果随机变化的程度与当前水平成正比，那么我们可以得到同一模型的以下乘性形式：

If the current level L_i is constant for all i, i.e. L_i = L for all i, then the noise will be seen to fluctuate around a fixed level.

如果当前水平L_i对于所有i都是恒定的，即L_i = L对于所有i ，则将看到噪声围绕固定水平波动。

It’s easy to generate a white noise data set. Here’s how to do it in Excel:

生成白噪声数据集很容易。这是在Excel中执行的方法：

And here is the output plot of noise that is fluctuating around a constant level of 100:

这是噪声的输出图，它在100的恒定水平附近波动：

The current level L_i often changes in response to real world factors. For example, if L_i changes linearly in response to a set of regression variables X, then we get the following linear regression model:

当前水平L_i经常响应于现实世界因素而改变。例如，如果L_i响应一组回归变量X线性变化，那么我们得到以下线性回归模型：

In the above equation, β is the vector of regression coefficients and X_i is a vector of regression variables.

在上式中， β是回归系数的向量， X_i是回归变量的向量。

为什么研究白噪声模型很重要？ (Why is it important to study the white noise model?)

There are three reasons why:

原因有以下三个：

If you discover using some techniques which I will describe soon, that your data is basically white noise around a fixed level, then the best that you can do is fit a model around that fixed level. It will be a waste of time to try to do anything better than that.
如果您使用我将很快描述的一些技术发现，您的数据基本上是固定水平附近的白噪声，那么您可以做的最好的事情就是将模型固定在该水平附近。尝试做任何比这更好的事情都是浪费时间。
Suppose you have already fitted a regression model to a data set. If you are able to show that the residual errors of the fitted model are white noise, it means your model has done a great job of explaining the variance in the dependent variable. There is nothing left to extract in the way of information and whatever is left is noise. You can pat yourself on the back for a job well done!
假设您已经对数据集拟合了回归模型。如果您能够证明拟合模型的残留误差是白噪声，则表明您的模型在解释因变量的方差方面做得很好。没有什么可以提取信息的方式了，剩下的就是噪音。您可以轻拍自己的背，以完成出色的工作！
Thirdly, the white noise model happens to be a stepping stone to another important and famous model in statistics called the Random Walk model which I will explain in the next section.
第三，白噪声模型恰好是统计学中另一个重要且著名的模型(称为随机游走模型)的垫脚石，我将在下一部分中进行解释。

随机游走模型 (The Random Walk Model)

Let’s again look at the White Noise Model’s equation:

让我们再次看一下白噪声模型的方程：

If we make the level level L_i at time step i be the output value of the model from the previous time step (i-1), we get the Random Walk model, made famous in the popular literature by Burton Malkiel’s A Random Walk Down Wall Street.

如果我们将时间步长i处的水平L_i设为上一个时间步长(i-1)的模型的输出值，则会得到随机游走模型，该模型在伯顿·马尔基尔(Burton Malkiel)的《随机游走的墙壁》一书中广受欢迎街。

The Random Walk model is like the mirage of the Data Science dessert. It has lured many profit-thirsty investors into betting (and losing) their shirt on illusions of trends in stock price movements, movements that were in reality little more than a random walk.

随机游走模型就像数据科学甜点的海市rage楼。它已经吸引了许多渴求利润的投资者，将其押注(输掉)他们的衬衫，以幻想股价走势的错觉，实际上，这些走势只是随意走动而已。

Here’s a plot of data that was generated using the Random Walk model:

这是使用随机游走模型生成的数据图：

Just tell me you don’t see any trends in this plot!

告诉我，您在该图中看不到任何趋势！

If you are not completely convinced that the above data can be generated by a purely random process, let’s puff away any remaining illusions by showing how to generate this data in Excel:

如果您不完全相信上面的数据可以通过纯随机过程生成，那么让我们通过展示如何在Excel中生成此数据来消除任何剩余的幻想：