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4) „µ¦„ε®œ—˜´ªÂ Áž}œ„µ¦®µ˜´ªÂ°œ»„¦¤Áª¨µš¸É‡µ—ªnµÁ®¤µ³¤„´°œ»„¦¤Áª¨µ ×¥¡·‹µ¦–µ
‹µ„„¦µ¢ ACF ¨³ PACF
5) „µ¦ž¦³¤µ–‡nµ¡µ¦µ¤·Á˜°¦r—oª¥ª·›¸ „ε¨´Š°Šœo°¥»—
6) „µ¦˜¦ª‹°‡ªµ¤Á®¤µ³¤ °Š˜´ªÂ Ž¹ÉŠ°œ»„¦¤Áª¨µ { Yt } š¸É „ε¨´Š«¹„¬µÄœ‡¦´ÊŠœ¸ÊÁž}œ°œ»„¦¤
Áª¨µ˜´ªÂ ARIMA(p,d,q)
3.2 ª·›¸ „µ¦™—™°¥š¸É¤¸ÂœªÃœo¤ÂÁ°È„ŽrޜœÁ¸¥¨„ε¨´Š°Š (Second – degree exponential)
ª·›¸„µ¦™—™°¥š¸É¤¸ÂœªÃœo¤ÂÁ°È „ŽrޜœÁ¸¥¨„ε¨´Š°Š‹³Á®¤µ³¤„´ o °¤¼¨°œ»„¦¤Áª¨µš¸É °´˜¦µ
Á¡·É¤ ¹Êœ®¦º°¨—¨Š (Áž} œÁž°¦rÁŽÈœ˜r) °ŠÁ«¬nªœ °Š‡nµ˜·—„´œ °Š Y ‡º °{ ,... /YY, /YY, /YY4 3 3 2 2 1} ¤¸‡nµ‡Šš¸É
(¤Á„¸¥¦˜· Á„˜» Á°¸É¥¤, 2548) Î µ®¦´˜´ªÂ„µ¦™—™°¥š¸ÉœªÃœo¤ÂÁ°È„ŽrޜœÁ¸¥¨„ε¨´Š°Š ‡º°
t
t
2
t
1 0 t
2 Y H E E E
®¦º° t
2
2 1 0 t log t) (log )t (log log Yˆ log H E E E
Á¤ºÉ° t Y ‡º° o°¤¼¨®¦º°‡nµ´ŠÁ„˜ – Áª¨µ t
2 1 0 , ,E E E ‡º° ¡µ¦µ¤·Á˜°¦r°Š˜´ªÂ
t H ‡º° ‡n µ‡ªµ¤‡¨µ—Á‡¨ºÉ°œ – Áª¨µ t
宦´¤„µ¦š¸ÉčoĜ„µ¦¡¥µ„¦–r ‡º°
2 t
2
t
1 0 t bbb Yˆ
®¦º° 2
2 1 0 t t logb t logb logb Yˆ log
×¥š¸É t Yˆ ‡º° ‡nµ¡¥µ„¦–r – Áª¨µ t ‡nµ °Š 2 1 0 b,b,bÁž}œ‡nµž¦³¤µ– °Š‡nµ¡µ¦µ¤·Á˜°¦r 2 1 0 , ,E E E
˜µ¤¨Îµ—´ „µ¦®µ‡nµ 2 1 0 b,b,bÁ¦µ¥´Š‡ŠÄo ª·›¸„ε¨´Š°Šœo°¥»— Ž¹É Š‹³Å—o ¤„µ¦ž„˜· —´Šœ¸Ê
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4
2
3
1
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0
2
3
2
2
1 0
2
2 1 0
t logb t logb t logb logY t
t logb t logb t logb logY t
)t ( logb t logb logb n logY
Á¤ºÉ°Á¦µ„ε®œ—‡nµ t š¸ÉšÎµÄ®o 0 t t 3 ¦¦ µ¤µ¦™Á ¸¥œÄ®¤nŗo—´Šœ¸Ê
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4
2
2
0
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2 0
t logb t logb logY t
t logb logY t
t logb logb n logY
4. „µ¦Áž¦¸¥Áš¸¥ª·›¸ „µ¦¡¥µ„¦–r
šÎµ„µ¦¡¥µ„¦–r¤¼¨‡nµ„µ¦n Š°°„ž¨µš¼œnµ„¦³žl°Š °ŠÅš¥ ¦³®ªnµŠÁ—º°œ¤„¦µ‡¤ ‹œ™¹ŠÁ—º°œ›´ œªµ‡¤
¡.«. 2552 ¨oªšÎµ„µ¦Áž¦¸¥Áš¸¥ª·›¸„µ¦¡¥µ„¦–r š´ÊŠ 2 ª·›¸ ×¥„µ¦¡·‹µ¦–µ‹µ„‡nµ‡ªµ¤‡¨µ—Á‡¨ºÉ °œ„ε¨´Š°ŠÁŒ¨¸É¥
(Mean Square Error: MSE) n
e
MSE
n
1t
2
t ¦ ×¥‹³Á¨º°„čoª·›¸ ¡¥µ„¦–rš¸ÉÄ®o‡nµ MSE ˜ÉÎ µ»—