La Mthodologie de Box-Jenkins

Michel Tenenhaus
2
1. Les donnes
Une srie chronologique assez longue

(n > 50).

Exemple : Ventes danti-inflammatoires en
France de janvier 1978 juillet 1982.
Objectif : Prvoir les ventes daot
dcembre 1982.




1
( ,..., ,..., )
t n
z z z
3
date ventes date ventes date ventes
JAN 1978 3 741 JAN 1980 4 687 JAN 1982 4 764
FEB 1978 3 608 FEB 1980 4 704 FEB 1982 4 726
MAR 1978 3 735 MAR 1980 4 579 MAR 1982 5 080
APR 1978 3 695 APR 1980 4 800 APR 1982 4 952
MAY 1978 3 810 MAY 1980 4 485 MAY 1982 4 633
JUN 1978 3 819 JUN 1980 4 617 JUN 1982 4 830
JUL 1978 3 291 JUL 1980 4 491 JUL 1982 4 460
AUG 1978 3 053 AUG 1980 3 832
SEP 1978 3 908 SEP 1980 4 669
OCT 1978 4 035 OCT 1980 5 193
NOV 1978 3 933 NOV 1980 4 544
DEC 1978 4 004 DEC 1980 4 676
JAN 1979 3 961 JAN 1981 4 709
FEB 1979 4 025 FEB 1981 4 705
MAR 1979 4 336 MAR 1981 4 677
APR 1979 4 335 APR 1981 4 627
MAY 1979 4 412 MAY 1981 4 555
JUN 1979 4 268 JUN 1981 4 570
JUL 1979 3 968 JUL 1981 4 457
AUG 1979 3 505 AUG 1981 3 589
SEP 1979 4 434 SEP 1981 4 636
OCT 1979 4 854 OCT 1981 5 077
NOV 1979 4 592 NOV 1981 4 623
DEC 1979 4 264 DEC 1981 4 591

March total
des anti-
inflammatoires
4
March total des anti-inflammatoires
5
2. Stabiliser la srie
Il faut TRANSFORMER la srie observe
de manire
- enlever la tendance,
- enlever la saisonnalit,
- stabiliser la variance.
6
Pour enlever la tendance
Faire des diffrences rgulires dordre d :


1
(1 )
t t t
z z B z

=
1
o
t t
Bz z

=
d = 2
2
1
(1 ) (1 ) (1 )
t t t
B z B z B z

=
d = 1
Diffrence rgulire dordre d :
(1 )
d
t t
w B z =
Dans la pratique
d = 0,1, rarement 2
7
March total des anti-inflammatoires :
Diffrence rgulire dordre d = 1
8
Dans la pratique D = 0,1,
trs trs rarement 2
Pour enlever la saisonnalit
Faire des diffrences saisonnires dordre D :


(1 )
s
t t s t
z z B z

=
D = 2
2
(1 ) (1 ) (1 )
s s s
t t s t
B z B z B z

=
D = 1
Diffrence saisonnire dordre D :
(1 )
s D
t t
w B z =
Ordre de la saisonnalit : s = 12 (mois) ou 4 (trimestre)
9
March total des anti-inflammatoires :
Diffrence saisonnire (s = 12) dordre D = 1
10
Pour enlever tendance et saisonnalit
Formule gnrale :


(1 ) (1 )
d s D
t t
w B B z =
On peut choisir d et D minimisant
lcart-type de w
t
.
Application March total : s = 12, d = 1, D = 1
12
12 1 13
(1 )(1 ) ( ) ( )
t t t t t t
w B B z z z z z

= =
11
March total des anti-inflammatoires :
Diffrence rgulire/saisonnire (s = 12, d = 1, D = 1)
12
Calcul des sries diffrencies
Donnes (20 premiers mois)
JAN 1978 3741 . . .
FEB 1978 3608 -133 . .
MAR 1978 3735 127 . .
APR 1978 3695 -40 . .
MAY 1978 3810 115 . .
JUN 1978 3819 9 . .
JUL 1978 3291 -528 . .
AUG 1978 3053 -238 . .
SEP 1978 3908 855 . .
OCT 1978 4035 127 . .
NOV 1978 3933 -102 . .
DEC 1978 4004 71 . .
JAN 1979 3961 -43 220 .
FEB 1979 4025 64 417 197
MAR 1979 4336 311 601 184
APR 1979 4335 -1 640 39
MAY 1979 4412 77 602 -38
JUN 1979 4268 -144 449 -153
JUL 1979 3968 -300 677 228
AUG 1979 3505 -463 452 -225
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
DATE ventes DIFF(ventes,1) SDIFF(ventes,1,12) DIFF(ventes_2,1)
13
Calcul des carts-types
Descriptive Statistics
55 3053 4347.71 478.613
54 -868 13.31 382.030
43 -243 263.47 279.368
42 -436 -5.17 242.719
ventes
DIFF(ventes,1)
SDIFF(ventes,1,12)
DIFF(SDIFF(ventes,1,12),1)
N Mini mum Mean Std. Devi ation
s = 12, d = 1, D = 1
14
Dveloppement de z
t

12 1 13
( ) ( )
t t t t t
w z z z z

=
De
On dduit
12 1 13
( )
t t t t t
z z z z w

= + +
valeur
1 an avant
valuation
de la tendance
1 an avant
terme
alatoire
On va modliser la srie stationnaire w
t
.
15
Pour stabiliser la variance
On utilise souvent les transformations
( ) ou
t t
Log z z
16
3. Le modle statistique
On suppose que la srie stabilise (w
1
,,w
N
)
provient dun processus stationnaire (w
t
) :

2
( )
( )
( , )
t
t w
k t t k
E w
Var w
Cor w w

=
=
=
Indpendant
de la priode t
Dans des conditions assez gnrales tout processus
stationnaire peut tre approch par des modles
AR(p), MA(q) ou ARMA(p,q).
17
AR(p) : Auto-rgressif dordre p
2
( ) 0
( )
( , ) 0 pour tout 1, 2,...
t
t
t t k
E a
Var a
Cor a a k
o

=
=
= =
1 1
...
t t p t p t
w w w a o

= + + + +
o a
t
est un bruit blanc :
Remarque :
1
(1 ... )
p
o =
18
MA(q) : Moyenne Mobile dordre q
1 1
...
t t t q t q
w a a a o u u

= +
Remarque : o =
19
ARMA(p,q)
1 1 1 1
... ...
t t p t p t t q t q
w w w a a a o u u

= + + + +
Remarque :
1
(1 ... )
p
o =
20
Question
Comment choisir le modle
correspondant le mieux aux donnes
tudies ?
Rponse
On utilise les autocorrlations
k

et les autocorrlations partielles
kk
.
21
4. Autocorrlation
1
2
1
( , )
( )( )
= estimation de
( )
k t t k
N
t t k
t k
k k
N
t
t
Cor w w
w w w w
r
w w

= +
=
=

=

22
Exemple : March Total
Diffrence rgulire/saisonnire : d = 1, D = 1
Autocorrlations
calcules
Autocorrelations
Seri es: ventes
-.515 .154 11.937 1 .001
.016 .191 11.948 2 .003
.189 .191 13.635 3 .003
-.200 .195 15.581 4 .004
.062 .200 15.770 5 .008
.174 .201 17.326 6 .008
-.243 .204 20.449 7 .005
.076 .211 20.759 8 .008
.081 .212 21.127 9 .012
-.210 .212 23.686 10 .008
.344 .217 30.755 11 .001
-.312 .230 36.747 12 .000
.114 .240 37.574 13 .000
-.139 .241 38.842 14 .000
.140 .243 40.184 15 .000
-.072 .245 40.549 16 .001
Lag
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Autocorrel
ation Std. Error
a
Value df Si g.
b
Box-Ljung Stati sti c
The underlyi ng process assumed i s MA wi th the order equal to
the l ag number mi nus one. The Bartlett approxi mati on i s used.
a.
Based on the asymptoti c chi -square approxi mati on.
b.
23
Exemple : March Total
Diffrence rgulire/saisonnire : d = 1, D = 1
Corrlogramme
observ
Formule
de Bartlett
24
Variance des autocorrlations r
k

Formule de Bartlett
(Hypothse :
h
= 0 pour h > k)
2 2 2
1 1
1
( ) (1 2 ... 2 ) estimation de ( )
k k k
s r r r Var r
N

= + + + =
Formule de Box-Jenkins pour un bruit blanc
(Hypothse :
h
= 0 pour h > 1)
2
1
( ) estimation de ( )
2
k k
N k
s r Var r
N N

| |
= =
|
+
\ .
25
Test : H
0
:
k
= 0
On rejette H
0
:
k
= 0 au risque o = 0.05 si
2 ( )
k k
r s r >
Application March total :

1
= 0,
k
= 0 pour k > 1
Corrlogramme
thorique
0

k

1
- - - - k
26
5. Autocorrlation partielle
Rgression de w
t
sur w
t-1
,,w
t-k
:
0 1 1
...
t k k t kk t k t
w w w c

= + + + +
Autocorrlation partielle dordre k :
kk

Cest une corrlation partielle :

1 1
( , | ,..., )
kk t t k t t k
Cor w w w w
+
=
27
Calcul pratique de estimation de
kk

1 2 1
1 3 2
1 2 1
1 2 1
1 3 2
1 2 1
1
1
1
1
1
k
k
k k k
kk
k k
k k
k k

=
Soit :
1
11 1
1

= =
1
2
1 2
2 1
22
2
1
1
1
1
1
1
1

= =

Etc
On obtient les estimations des
kk
en remplaant les
k
par r
k
.

kk

kk

28
Partial Autocorrelations
Series: ventes
-.515 .154
-.339 .154
.039 .154
-.073 .154
-.073 .154
.186 .154
-.012 .154
-.097 .154
.001 .154
-.139 .154
.238 .154
-.116 .154
.029 .154
-.343 .154
.022 .154
-.053 .154
Lag
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Parti al
Autocorrel ati on Std. Error
Exemple : March Total
Diffrence rgulire/saisonnire : d = 1, D = 1
Autocorrlations partielles calcules
Rejet de
H
0
:
kk
= 0
si:

2/
kk
N >
29
Corrlogramme partiel observ
Corrlogramme
partiel thorique
0

kk

1
- - - - k
14 2
30
6. Autocorrlations et autocorrlations partielles des
modles AR(p) et MA(q)
Corrlogramme Corrlogramme partiel
(a)

(a)

(b)

(b)


1
0.5
t t t
w w a

= +
(a) :
1
0.5
t t t
w w a

= +
(b) :
AR(1)
31
Corrlogramme Corrlogramme partiel
(a)

(a)

(b)

(b)


AR(2)
1 2
.8 .15
t t t t
w w w a

= +
(a) :
(b) :
1 2
.5
t t t t
w w w a

= +
Le dernier pic significatif du corrlogramme partiel donne
lordre p du modle AR(p).
32
Corrlogramme Corrlogramme partiel
(a)

(a)

(b)

(b)


MA(1)
1
.7
t t t
w a a

=
(a) :
(b) :
1
.7
t t t
w a a

= +
33
MA(q)
1 2
.5 .3
t t t t
w a a a

= + +
(a) : q = 2
(b) : q = 5
5
.7
t t t
w a a

= +
Corrlogramme de diffrents processus MA(q)
(a)

(b)

(c)


(c) : q = 6
1 6
.3 .6
t t t t
w a a a

= + +
Le dernier pic significatif du
corrlogramme donne lordre q
du modle MA(q).
34
7. tude de la srie March Total
Les autocorrlations suggrent un modle MA(1).

Les autocorrlations partielles suggrent un
modle AR(14).
35
7.1 tude de la voie moyenne mobile
On suppose que w
t
suit un modle MA(1) :
1
2
( )
t t t
t
w a a
Var a
o u
o

= +
=
et on a = E(w
t
) = o.
On choisit les paramtres , u et o
2
laide
de la mthode du maximum de vraisemblance.
36
Maximum de vraisemblance
On suppose que le vecteur alatoire
w = (w
1
,,w
N
) suit une loi multinormale.
Densit de probabilit de w :
2
1
2 1 '
/ 2 2
( ,..., | , , )
1 1
exp ( ) ( , ) ( )
2
(2 ) ( , )
N
N
p w w u o
u o
t u o

=
(

(

w- w-

On recherche maximisant
la vraisemblance
2

, et u o
2
1

( ,..., | , , )
N
p w w u o =
37
Qualit de lajustement dans ARIMA
2 ( ) 2
2 ( ) ( )
AIC Log r
SBC Log rLog N
= +
= +
On recherche le modle minimisant SBC.
o r est le nombre de paramtres (hors o
2
).
38
Modle MA(1) avec constante
1 t t t
w a a o u

= +
Residual Diagnostics
42
1
40
1585179
1591466
39100.764
197.739
-280.918
565.835
569.311
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
.657 -7.772
.123 10.990
5.326 -.707
.000 .484
Esti mates
Std Error
t
Approx Si g
MA1
Non-
Seasonal
Lags
Constant
Mel ard's algorithm was used for esti mati on.
39
Modle MA(1) sans constante
1 t t t
w a a u

=
Residual Diagnostics
42
1
41
1603132
1620350
38625.634
196.534
-281.143
564.285
566.023
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
.634
.125
5.066
.000
Esti mates
Std Error
t
Approx Si g
MA1
Non-Seasonal Lags
Mel ard's algorithm was used for esti mati on.
40
Modlisation de z
t

12 1 13 1
( ) ( )
t t t t t t t
w z z z z a a u

= =
De
On dduit
12 1 13 1
( )
t t t t t t
z z z z a a u

= + +
march
1 an avant
valuation
de la tendance
1 an avant
choc
alatoire
en t
choc
alatoire
en t-1
41
Calcul des prvisions et des erreurs
Modle :
12 1 13 1 t t t t t t
z z z z a a u

= + +
Prvision de z
t
ralise en t-1 :

12 1 13 1

t t t t t
z z z z a u

= +
Erreur de prvision lhorizon 1 :

t t t
a z z =
Calcul pratique des prvisions et des erreurs sur lhistorique:
12 1 13 1

et
t t t t t t t t
z z z z a a z z u

= + =
42
MA(1) sans constante
DATE. ventes Fit Error
1 JAN 1978 3741 . .
2 FEB 1978 3608 . .
3 MAR 1978 3735 . .
4 APR 1978 3695 . .
5 MAY 1978 3810 . .
6 JUN 1978 3819 . .
7 JUL 1978 3291 . .
8 AUG 1978 3053 . .
9 SEP 1978 3908 . .
10 OCT 1978 4035 . .
11 NOV 1978 3933 . .
12 DEC 1978 4004 . .
13 JAN 1979 3961 . .
14 FEB 1979 4025 3828.00 197.00
15 MAR 1979 4336 4062.93 273.07
16 APR 1979 4335 4140.81 194.19
17 MAY 1979 4412 4331.83 80.17
18 JUN 1979 4268 4370.99 -102.99
19 JUL 1979 3968 3804.86 163.14
20 AUG 1979 3505 3626.87 -121.87
21 SEP 1979 4434 4437.16 -3.16
22 OCT 1979 4854 4563.00 291.00
23 NOV 1979 4592 4567.61 24.39
24 DEC 1979 4264 4647.55 -383.55

Rsultats
43
Rsultats (suite)
MA(1) sans constante
DATE. ventes Fit Error
25 JAN 1980 4687 4464.06 222.94
26 FEB 1980 4704 4609.72 94.28
27 MAR 1980 4579 4955.25 -376.25
28 APR 1980 4800 4816.44 -16.44
29 MAY 1980 4485 4887.42 -402.42
30 JUN 1980 4617 4596.02 20.98
31 JUL 1980 4491 4303.71 187.29
32 AUG 1980 3832 3909.31 -77.31
33 SEP 1980 4669 4809.99 -140.99
34 OCT 1980 5193 5178.35 14.65
35 NOV 1980 4544 4921.72 -377.72
36 DEC 1980 4676 4455.37 220.63
37 JAN 1981 4709 4959.18 -250.18
38 FEB 1981 4705 4884.55 -179.55
39 MAR 1981 4677 4693.78 -16.78
40 APR 1981 4627 4908.64 -281.64
41 MAY 1981 4555 4490.48 64.52
42 JUN 1981 4570 4646.11 -76.11
43 JUL 1981 4457 4492.23 -35.23
44 AUG 1981 3589 3820.33 -231.33
45 SEP 1981 4636 4572.60 63.40
46 OCT 1981 5077 5119.82 -42.82
47 NOV 1981 4623 4455.14 167.86
48 DEC 1981 4591 4648.62 -57.62

44
Rsultats (fin)
MA(1) sans constante
DATE. ventes Fit Error
49 JAN 1982 4764 4660.52 103.48
50 FEB 1982 4726 4694.42 31.58
51 MAR 1982 5080 4677.99 402.01
52 APR 1982 4952 4775.23 176.77
53 MAY 1982 4633 4767.98 -134.98
54 JUN 1982 4830 4733.54 96.46
55 JUL 1982 4460 4655.87 -195.87

Vrifier les calculs pour
55 55

et z a
45
Graphique des ventes observes et prdites
46
Graphique des rsidus

Limite 2o
47
Qualit de lajustement dans
Time Series Modeler
2

( )
Normalized BIC 2 ( )
t
a
Log N
Log r
N r N
= +

( )
( )
( )
( )
2 2
2 2


Stationary R-Squared 1 1
t t t t
t t
t t
t t
w w z z
w w w w

= =



48
Validation du modle
tude des

( )
k t
r a
Autocorrelations
Seri es: Error for ventes from ARIMA, MOD_2, NOCON
-.087 .149 .342 1 .558
.072 .147 .581 2 .748
.188 .145 2.253 3 .522
-.079 .143 2.556 4 .635
.128 .141 3.379 5 .642
.164 .140 4.768 6 .574
-.168 .138 6.265 7 .509
.031 .136 6.316 8 .612
.063 .134 6.535 9 .685
-.115 .132 7.304 10 .696
.208 .130 9.894 11 .540
-.281 .127 14.747 12 .256
-.076 .125 15.119 13 .300
-.157 .123 16.750 14 .270
.062 .121 17.017 15 .318
-.054 .119 17.222 16 .371
Lag
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Autocorrel
ation Std. Error
a
Value df Si g.
b
Box-Ljung Stati sti c
The underlyi ng process assumed i s i ndependence (whi te
noi se).
a.
Based on the asymptoti c chi -square approxi mati on.
b.
49
Validation du modle
Corrlogramme des

( )
k t
r a
Formule de
Box-Jenkins
Corrlogramme
thorique des erreurs b
t

0

k
(b
t
)
12
- - - - k
50
Validation du modle : Utilisation de
la statistique de Ljung-Box
La statistique de Ljung-Box
2
2
1
( )
( 2)
m
k t
m
k
r a
N N
N k
_
=
(
= +
(

suit une loi du khi-deux m-r ddl lorsque les rsidus

forment un bruit blanc.
On accepte le modle tudi si les niveaux de
signification
2 2
Prob( ( ) )
m
m r _ _ >
sont > .05 pour diffrentes valeurs de m.
51
Utilisation du modle estim en prvision
Modle :
12 1 13 1 t t t t t t
z z z z a a u

= + +
Prvision de z
55+h
ralise en t = 55 :

56 44 55 43 55

z z z z a u = +
h = 1
57 45 56 44
z z z z = +
h = 2
Et ainsi de suite
52
Application
AUG 1982 3716.13 3319.22 4113.04 196.53
SEP 1982 4763.13 4340.43 5185.82 209.30
OCT 1982 5204.13 4757.13 5651.12 221.34
NOV 1982 4750.13 4280.09 5220.17 232.75
DEC 1982 4718.13 4226.12 5210.14 243.62
1
2
3
4
5
DATE. Fi t for ventes 95% LCL 95% UCL SE of Fi t
53
Intervalle de prvision 95% de z
55+h

Chaque modle a sa propre formule de construction
de lintervalle de prvision.
2
55 .975

( ) 1 ( 1)(1 )
h
z t N r h o u
+
+
Modle MA(1) :
54
55
Amlioration du modle MA(1)
On suppose maintenant le modle
est significatif.
12

( ) .281
t
r a =
1
12
, o bruit blanc
t t t
t t t t
w b b
b a a a
o u

= +
= O
De
12
(1 ) et (1 )
t t t t
w B b b B a o u = + = O
on dduit :
12
(1 )(1 )
t t
w B B a o u = + O
56
Demande SPSS
57
Rsultats
Parameter Estimates
.715 .765 -11.468
.107 .399 5.219
6.693 1.918 -2.197
.000 .062 .034
Esti mates
Std Error
t
Approx Si g
MA1
Non-Seasonal
Lags
Seasonal MA1
Seasonal
Lags
Constant
Mel ard's al gori thm was used for estimati on.
Residual Diagnostics
42
2
39
1268226.611
1336414.106
25544.245
159.826
-276.531
559.062
564.275
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual
Sum of Squares
Resi dual Sum of Squares
Resi dual Variance
Model Std. Error
Log-Li kel i hood
Akai ke's Information
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
12
(1 )(1 )
t t
w B B a o u = + O
58
7.2 tude de la voie autorgressive
On suppose que w
t
suit un modle AR(14) :
1 1 14 14
2
...
( )
t t t t
t
w w w a
Var a
o
o

= + + + +
=
et on a o = (1 -
1
--
14
).

On choisit les paramtres ,
1
,,
14
et o
2
laide
de la mthode du maximum de vraisemblance.
est appel
Constant dans
SPSS
59
Rsultats
1 1 14 14
...
t t t t
w w w a o

= + + + +
Residual Diagnostics
42
14
27
949178.0
1041062
28699.741
169.410
-270.689
571.379
597.444
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.680 .156 -4.367 .000
-.441 .169 -2.614 .014
.059 .188 .311 .758
.034 .184 .185 .855
.107 .191 .560 .580
.138 .214 .644 .525
-.051 .254 -.200 .843
-.016 .240 -.067 .947
-.006 .232 -.026 .980
-.054 .237 -.228 .821
.185 .234 .791 .436
-.307 .227 -1.355 .187
-.428 .208 -2.059 .049
-.572 .156 -3.668 .001
-10.788 9.983 -1.081 .289
AR1
AR2
AR3
AR4
AR5
AR6
AR7
AR8
AR9
AR10
AR11
AR12
AR13
AR14
Non-Seasonal
Lags
Constant
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
60
Modle AR : p = (1,2,12,13,14) avec cste
1 1 2 2 12 12 13 13 14 14 t t t t t t t
w w w w w w a o

= + + + + + +
Demande SPSS
61
Rsultats
1 1 2 2 12 12 13 13 14 14 t t t t t t t
w w w w w w a o

= + + + + + +
Parameter Estimates
-.775 .127 -6.083 .000
-.490 .122 -4.006 .000
-.512 .138 -3.711 .001
-.594 .159 -3.733 .001
-.526 .145 -3.619 .001
-12.797 7.487 -1.709 .096
AR1
AR2
AR12
AR13
AR14
Non-Seasonal
Lags
Constant
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
Residual Diagnostics
42
5
36
1093774.600
1192109.813
25711.840
160.349
-273.114
558.228
568.654
Number of Resi dual s
Number of
Parameters
Resi dual df
Adjusted Resi dual
Sum of Squares
Resi dual Sum of
Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
62
Modle AR : p = (1,2,12,13,14) sans cste
1 1 2 2 12 12 13 13 14 14 t t t t t t t
w w w w w w a

= + + + + +
Demande SPSS
63
Rsultats
1 1 2 2 12 12 13 13 14 14 t t t t t t t
w w w w w w a

= + + + + +
Residual Diagnostics
42
5
37
1172013
1233379
27877.941
166.967
-274.563
559.127
567.815
Number of
Resi dual s
Number of
Parameters
Resi dual df
Adj usted Resi dual
Sum of Squares
Resi dual Sum of
Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.747 .134 -5.591 .000
-.460 .129 -3.568 .001
-.454 .148 -3.066 .004
-.508 .171 -2.975 .005
-.467 .154 -3.041 .004
AR1
AR2
AR12
AR13
AR14
Non-Seasonal
Lags
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
64
Modle AR : p = 2, P = 1 avec cste
2 12
1 2
(1 )(1 )
t t
B B B w a o u = +
Demande SPSS
65
Rsultats
2 12
1 2
(1 )(1 )
t t
B B B w a o u = +
Residual Diagnostics
42
3
38
1196121
1286077
27725.190
166.509
-274.998
557.997
564.948
Number of
Resi dual s
Number of
Parameters
Resi dual df
Adj usted Resi dual
Sum of Squares
Resi dual Sum of
Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.759 .139 -5.445 .000
-.523 .132 -3.970 .000
-.557 .146 -3.812 .000
-12.289 8.308 -1.479 .147
AR1
AR2
Non-Seasonal
Lags
Seasonal AR1 Seasonal Lags
Constant
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
66
Modle AR : p = 2, P = 1 sans cste
2 12
1 2
(1 )(1 )
t t
B B B w a u =
Demande SPSS
67
Rsultats
2 12
1 2
(1 )(1 )
t t
B B B w a u =
Residual Diagnostics
42
3
39
1256636
1315334
29246.908
171.017
-276.033
558.066
563.279
Number of
Resi dual s
Number of
Parameters
Resi dual df
Adj usted Resi dual
Sum of Squares
Resi dual Sum of
Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.731 .143 -5.101 .000
-.481 .135 -3.562 .001
-.489 .154 -3.186 .003
AR1
AR2
Non-Seasonal
Lags
Seasonal AR1 Seasonal Lags
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
68
Rsultats
2 12
1 2
(1 )(1 )
t t
B B B w a u =
69
Rsultats avec Time Series Modeler
2 12
1 2
(1 )(1 )
t t
B B B w a u =
Forecast
3818 4792 5192 4688 4742
4163 5150 5567 5123 5197
3472 4434 4817 4253 4288
Forecast
UCL
LCL
Model
ventes-Model _1
Aug 1982 Sep 1982 Oct 1982 Nov 1982 Dec 1982
For each model , forecasts start after the l ast non-mi ssi ng i n the range of the requested
estimation peri od, and end at the l ast peri od for whi ch non-missing val ues of al l the predi ctors
are avai l abl e or at the end date of the requested forecast peri od, whi chever i s earl i er.
70
Rsultats avec Time Series Modeler
2 12
1 2
(1 )(1 )
t t
B B B w a u =
71
7.3 tude de la voie AR/MA
2 12
1 2
(1 ) (1 )
t t
B B w B a o = + O
Modle avec
constante
72
Rsultats
2 12
1 2
(1 ) (1 )
t t
B B w B a o = + O
Residual Diagnostics
42
3
38
1112464
1256550
19325.966
139.018
-274.630
557.261
564.211
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.765 .123 -6.228 .000
-.558 .114 -4.911 .000
.965 2.964 .326 .747
-11.009 6.504 -1.693 .099
AR1
AR2
Non-Seasonal
Lags
Seasonal MA1 Seasonal Lags
Constant
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
Warnings
Our tests have determi ned that the estimated model l ies cl ose to the boundary of the
i nverti bi li ty regi on. Al though the movi ng average parameters are probably correctl y
estimated, their standard errors and covari ances shoul d be consi dered suspect.
73
7.3 tude de la voie AR/MA
2 12
1 2
(1 ) (1 )
t t
B B w B a = O
Modle sans
constante
74
Rsultats
2 12
1 2
(1 ) (1 )
t t
B B w B a = O
Residual Diagnostics
42
3
39
1190270
1287295
24282.930
155.830
-275.152
556.304
561.517
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.736 .134 -5.488 .000
-.506 .124 -4.074 .000
.745 .360 2.071 .045
AR1
AR2
Non-Seasonal
Lags
Seasonal MA1 Seasonal Lags
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
75
Rsultats
2 12
1 2
(1 ) (1 )
t t
B B w B a = O
76
Rsultats (avec Time Series Modeler)
2 12
1 2
(1 ) (1 )
t t
B B w B a = O
Forecast
3861 4854 5206 4810 4798
4184 5187 5553 5215 5220
3539 4521 4858 4405 4375
Forecast
UCL
LCL
Model
ventes-Model _1
Aug 1982 Sep 1982 Oct 1982 Nov 1982 Dec 1982
For each model , forecasts start after the l ast non-mi ssi ng i n the range of the requested
estimation peri od, and end at the l ast peri od for whi ch non-missing val ues of al l the predi ctors
are avai l abl e or at the end date of the requested forecast peri od, whi chever i s earl i er.
77
Rsultats (avec Time Series Modeler)
2 12
1 2
(1 ) (1 )
t t
B B w B a = O
78
8. Le modle multiplicatif usuel
ARIMA(p,d,q)*(P,D,Q)
s

( ) ( )
( ) (1 ) (1 ) ( )
s d s D s
t w t
B B B B z B B a u
(
u = O

1
1
1
1
( ) 1 ...
( ) 1 ...
( ) 1 ...
( ) 1 ...
p
p
s s sP
P
q
q
s s sQ
Q
B B B
B B B
B B B
B B B

u u u
=
u = u u
=
O = O O
o :
Tous ces polynmes doivent tre inversibles.
w
t

bruit
blanc
79
9. Prvision
( ) ( )
(1 ) (1 )
d s D
t t
B B B z B a o u = +
Le modle gnral
peut scrire :
1 1 1 1
... ...
t t p t p t t q t q
z z z a a a o u u

= + + + +
80
Prvision lhorizon h
Modle
1 1 1 1
... ...
t h t h p t h p t h t h q t h q
z z z a a a o u u
+ + + + + +
= + + + +
Prvision
1 1 1 1

( ) ... ...
t t h p t h p t h q t h q
z h z z a a o u u
+ + + +
= + + +
avec :
si 0

( ) si 0
t h j
t h j
t
z h j
z
z h j h j
+
+
s

=

>

1
(1) si 0

0 si 0
t h j t h j
t h j
z z h j
a
h j
+ +
+
s

=

>

81
10. Calcul de lintervalle de prvision
( ) ( )
( )(1 ) (1 ) ( )
s d s D s
t t
B B B B z B B a o u u = + O
De
on dduit (formellement) :
( ) ( )
1 1
1 1 2 2
' ( )(1 ) (1 ) ( )
' ...
s d s D s
t t
t t t
z B B B B B B a
a a a
o u
o


= + u O
= + + + + + +
82
Prvision de z
t+h
linstant t
On a
| |
| |
1 1 2 2 1 1
1 1
' ...
...
t h t h t h t h h t
h t h t
z a a a a
a a
o
+ + + + +
+
= + + + + + + + +
+ + + + +
Futur
Pass
1 1
( ) ' ...
t h t h t
z h a a o
+
= + + + + +
Do la prvision de z
t+h
linstant t
83
Erreur de prvision lhorizon h
1 1 2 2 1 1
( ) ( )
...
t t h t
t h t h t h h t
e h z z h
a a a a
+
+ + + +
=
= + + + + + + +
Do :
2 2 2
1 1
[ ( )] 1 ...
t h
Var e h o

(
= ++ + ++

[ ( )] 0
t
E e h =
84
Intervalle de prvision 95%
de z
t+h
ralis linstant t
2 2
.975 1 1
( ) ( ) 1 ...
t h
z h t N r o

++ + ++
85
Exemple March Total
12
(1 )(1 ) (1 )
t t
B B z B a u = Modle :
On dduit :
1 12 1
2 12 24
2 11
1 2 11
(1 ) (1 ) (1 )
(1 ...)(1 ...)(1 )
(1 (1 ) (1 ) ... (1 ) ...)
t t
t
t
z B B B a
B B B B B a
B B B a
u
u
u u u

+ + +
=
= + + + + + +
= + + + + +
Remarque :
(1 ) pour 11
h
h u + = >
86
March Total : Intervalle de prvision
lhorizon h s 12
2 2
.975 1 1
2
.975

( ) ( ) 1 ...

( ) ( ) 1 ( 1)(1 )
t h
t
z h t N r
z h t N r h
o
o u

+ + + + +
= +
87
11. Le modle gnral de TS Modeler
Le modle fonction de transfert
1
srie dpendante
,..., sries prdicteurs
( )
, ou
t
t kt
t t
i
Y
X X
Z f Y
f f Log
=
=
=
=
, (1 ) (1 )
( ) ( )
( ) ( )
d s D
i
s
i i i
s
i i i
B B
Num B B
Den B B
e
o
A A =
= O
= A
1
( ) ( ) ( ) ( ) ( )
k
s s
i
t i i it t
i
i
Num
B B Z f X B B a
Den
u
=
(
u A A = O
(

N
t
= Noise
88
Application la srie IPI
Anne Trimestre 1 Trimestre 2 Trimestre 3 Trimestre 4
63
64
65
66
67
68
69
70
.
.
.
82
68
77
76
81
84
89
95
100
137
74
79
79
84
85
77
99
104
136
64
65
67
71
72
78
82
87
111
78
79
83
87
90
99
103
110
140
Indice de la Production Industrielle de la France (1963 - 1982)
89
Visualisation de la srie IPI
Date
Q
1

1
9
8
2
Q
1

1
9
8
1
Q
1

1
9
8
0
Q
1

1
9
7
9
Q
1

1
9
7
8
Q
1

1
9
7
7
Q
1

1
9
7
6
Q
1

1
9
7
5
Q
1

1
9
7
4
Q
1

1
9
7
3
Q
1

1
9
7
2
Q
1

1
9
7
1
Q
1

1
9
7
0
Q
1

1
9
6
9
Q
1

1
9
6
8
Q
1

1
9
6
7
Q
1

1
9
6
6
Q
1

1
9
6
5
Q
1

1
9
6
4
Q
1

1
9
6
3
I
P
I
160
140
120
100
80
60
40
Cette srie
prsente une
tendance et
une saisonnalit
90
Visualisation de la saisonnalit
Anne
1985 1980 1975 1970 1965 1960
I
P
I
160
140
120
100
80
60
Trimestre
4
3
2
1
91
Date
Q
1

1
9
8
2
Q
1

1
9
8
1
Q
1

1
9
8
0
Q
1

1
9
7
9
Q
1

1
9
7
8
Q
1

1
9
7
7
Q
1

1
9
7
6
Q
1

1
9
7
5
Q
1

1
9
7
4
Q
1

1
9
7
3
Q
1

1
9
7
2
Q
1

1
9
7
1
Q
1

1
9
7
0
Q
1

1
9
6
9
Q
1

1
9
6
8
Q
1

1
9
6
7
Q
1

1
9
6
6
Q
1

1
9
6
5
Q
1

1
9
6
4
Q
1

1
9
6
3
160
140
120
100
80
60
40
IPI
MA(IPI,4,4)
Visualisation de la tendance
Moyenne mobile centre
dordre 4 :




4
X 5 . 0 X X X X 5 . 0
Z
2 t 1 t t 1 t 2 t
t
+ +
+ + + +
=
Tendance Z
t

92
77 73 69 65 61 57 53 49 45 41 37 33 29 25 21 17 13 9 5 1
Trimestre
150
125
100
75
i
p
i



(a) Indice de la production industrielle (
23.85 o =
)
(b) Diffrence saisonnire de IPI (
5.49 o =
)
(c) Diffrence rgulire/saisonnire de IPI (
4.76 o = )
93
Modle avec intervention
4
68.2
( ) ( ) (1 )(1 )( ) ( ) ( )
s s
t t
B B B B z I B B a e u
(
u = O

Effet
mai 68
N
t
= Noise = Srie corrige stationnarise
tapes
1. Construction de la srie Noise
2. Modlisation de la srie Noise
3. Estimation du modle complet
94
Etape 1 : Construction de la srie Noise
4
68.2
(1 )(1 )( )
t t
Noise B B z I a e = =
Parameter Estimates
-15.250 1.626 -9.380 .000
-.160 .375 -.426 .671
i 22 Regressi on Coeffi ci ents
Constant
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
95
tape 2 : Modlisation de la srie Noise
4
68.2
(1 )(1 )( )
t
Noise B B z I e =
Noise suit un AR(8)
96
Modlisation de la srie Noise
4
68.2
(1 )(1 )( )
t
Noise B B z I e =
Residual Diagnostics
75
8
66
493.364
494.199
7.294
2.701
-177.255
372.509
393.367
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
.095 .118 .803 .425
.016 .121 .135 .893
-.215 .119 -1.800 .076
-.520 .125 -4.175 .000
-.081 .121 -.668 .506
-.085 .119 -.714 .478
-.116 .124 -.934 .354
-.259 .127 -2.042 .045
.066 .150 .437 .663
AR1
AR2
AR3
AR4
AR5
AR6
AR7
AR8
Non-Seasonal
Lags
Constant
Esti mates Std Error t Approx Si g
Mel ard's al gori thm was used for esti mati on.
Noise ~ ARIMA(8,1,0)*(0,1,0)
4

97
Modlisation de la srie Noise
4
68.2
(1 )(1 )( )
t
Noise B B z I e =
Residual Diagnostics
75
2
73
549.094
550.078
7.344
2.710
-181.075
366.150
370.785
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.628 -.292
.115 .118
-5.476 -2.474
.000 .016
Esti mates
Std Error
t
Approx Si g
Seasonal AR1 Seasonal AR2
Seasonal Lags
Mel ard's algorithm was used for esti mati on.
Noise ~ ARIMA(0,1,0)*(2,1,0)
4

sans constante
98
tape 3 : estimation du modle complet
4 8 4
1 2 68.2
(1 ) (1 )(1 )( )
t t
B B B B z I a e
(
u u =

Residual Diagnostics
75
2
71
547.971
551.748
7.533
2.745
-181.015
370.031
379.301
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.632 -.295 -15.089 -.097
.116 .118 1.679 .170
-5.440 -2.509 -8.987 -.569
.000 .014 .000 .571
Esti mates
Std Error
t
Approx Si g
Seasonal AR1 Seasonal AR2
Seasonal Lags
i 22
Regressi on
Coeffi ci ents
Constant
Mel ard's al gori thm was used for estimati on.
99
tape 3 : estimation du modle complet
sans constante
4 8 4
1 2 68.2
(1 ) (1 )(1 )( )
t t
B B B B z I a e
(
u u =

Residual Diagnostics
75
2
72
550.462
554.558
7.464
2.732
-181.173
368.347
375.299
Number of Resi dual s
Number of Parameters
Resi dual df
Adjusted Resi dual Sum of
Squares
Resi dual Sum of Squares
Resi dual Vari ance
Model Std. Error
Log-Likel i hood
Akai ke's Informati on
Cri teri on (AIC)
Schwarz's Bayesi an
Cri teri on (BIC)
Parameter Estimates
-.631 -.292 -15.095
.116 .117 1.671
-5.459 -2.498 -9.033
.000 .015 .000
Esti mates
Std Error
t
Approx Si g
Seasonal AR1 Seasonal AR2
Seasonal Lags
i 22
Regressi on
Coeffi ci ents
Mel ard's al gori thm was used for estimati on.
100
Utilisation de Time Series Modeler
4 8 4
1 2 68.2
(1 ) (1 )(1 )( )
t t
B B B B z I a e
(
u u =

Fentre 1
101
Utilisation de Time Series Modeler
4 8 4
1 2 68.2
(1 ) (1 )(1 )( )
t t
B B B B z I a e
(
u u =

Fentre 2
102
Utilisation de Time Series Modeler
4 8 4
1 2 68.2
(1 ) (1 )(1 )( )
t t
B B B B z I a e
(
u u =

Fentre 3
103
Utilisation de Time Series Modeler pour la prvision
4 8 4
1 2 68.2
(1 ) (1 )(1 )( )
t t
B B B B z I a e
(
u u =

Forecast LCL UCL
Q1 1983 136.1 130.7 141.6
Q2 1983 133.4 125.7 141.1
Q3 1983 110.3 100.9 119.8
Q4 1983 138.1 127.2 149.0

Model Statistics
1 .678 18.846 16 .277 0
Model
IPI-Model _1
Number of
Predi ctors
Stati onary
R-squared
Model Fi t
stati sti cs
Stati sti cs DF Si g.
Lj ung-Box Q(18)
Number of
Outl iers
104
Utilisation de Time Series Modeler pour la prvision
La syntaxe SPSS
PREDICT THRU END.
* Time Series Modeler.
TSMODEL
/MODELSUMMARY PRINT=[ MODELFIT]
/MODELSTATISTICS DISPLAY=YES MODELFIT=[ SRSQUARE]
/MODELDETAILS PRINT=[ PARAMETERS FORECASTS]
/SERIESPLOT OBSERVED FORECAST FIT FORECASTCI
/OUTPUTFILTER DISPLAY=ALLMODELS
/SAVE NRESIDUAL(NResidual)
/AUXILIARY CILEVEL=95 MAXACFLAGS=24
/MISSING USERMISSING=EXCLUDE
/MODEL DEPENDENT=ipi INDEPENDENT=i22
PREFIX='Model'
/ARIMA AR=[0] DIFF=1 MA=[0] ARSEASONAL=[1,2]
DIFFSEASONAL=1
MASEASONAL=[0]
TRANSFORM=NONE CONSTANT=NO
/TRANSFERFUNCTION VARIABLES=i22
DIFF=1
DIFFSEASONAL=1
/AUTOOUTLIER DETECT=OFF.
105
Utilisation de Expert Modeler
106
Utilisation de Expert Modeler
Model Description
ARIMA(0,1,0)(0,1,1) Model_1 IPI Model ID
Model Type
Model Statistics
1 .660 27.437 17 .052 0
Model
IPI-Model _1
Number of
Predi ctors
Stati onary
R-squared
Model Fi t
stati sti cs
Stati sti cs DF Si g.
Lj ung-Box Q(18)
Number of
Outl iers
ARIMA Model Parameters
1
1
.507 .109 4.657 .000
-15.315 1.728 -8.863 .000
1
1
Di fference
Seasonal Di fference
Lag 1 MA, Seasonal
No Transformati on IPI
Lag 0 Numerator
Di fference
Seasonal Di fference
No Transformati on i 22
IPI-Model _1
Esti mate SE t Si g.
4 4
68.2 1
(1 )(1 )( ) (1 )
t t
B B z I B a e = O
Rponse :
107
Utilisation de Expert Modeler
108
Utilisation de Expert Modeler
Forecast
136 134 111 139
141 142 121 150
130 126 101 128
Forecast
UCL
LCL
Model
IPI-Model _1
Q1 1983 Q2 1983 Q3 1983 Q4 1983
For each model , forecasts start after the l ast non-mi ssi ng i n the range of the
requested esti mati on peri od, and end at the l ast period for whi ch
non-mi ssi ng val ues of all the predi ctors are avai l abl e or at the end date of the
requested forecast peri od, whi chever i s earl i er.
109
Utilisation de Expert Modeler
pour All models
Rponse :
Model Description
ARIMA(0,1,0)(0,1,1) Model_1 IPI Model ID
Model Type