Canadian Lynx (1821-1934)

1. Canadian Lynx (1821-1934) 報告者: 張淑慧、陳雅蕙

2. Outline • Time plot、ACF、PACF • AR(11) Model (c.f. Tong, 1977) • Deterministic Trend Model (c.f. Campbell & Walker, 1977) • SETAR(2;7,2) (c.f. Tong, 1983) • Comparative

3. Introduction ACF PACF

4. Introduction

5. Introduction

6. Introduction ACF PACF

7. AR model AR(11)

8. AR model • The fitted model is given by

9. AR model • Fit 模型後殘差的ACF 及PACF 的確符合white noice 的性質 PACF ACF

10. Deterministic Trend Model ACF PACF

11. Deterministic Trend Model • SIN-COS(9.5) model:

12. Deterministic Trend Model ACF PACF

13. Deterministic Trend Model AR(2)

14. Deterministic Trend Model • The fitted model is given by

15. AR model • 殘差的ACF 和PACF 大致符合 white noices 的特性 PACF ACF

16. SETAR • SETAR(2;7,2) model:

17. AR model • 殘差的 ACF 和 PACF 符合 white noices 的特性 PACF ACF

18. Comparative • Variance of fitted residuals (at) for the models fitted to the lynx data • Sample moments of the lynx data and simulated data of models

19. Comparative SETAR(2;7,2) • Sample ACF for the lynx data and the various models. SIN-COS(9.5) AR11 lynx model

20. Comparative • The rating of the models fitted to the lynx data

21. 謝 謝 大 家