séries univariantes de tempo - metodologia de Box & Jenkins
séries univariantes de tempo - metodologia de Box & Jenkins
séries univariantes de tempo - metodologia de Box & Jenkins
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109O valor <strong>de</strong> x no período t+h éx t+h = (1 + ^) x t+h _ 1 - * lXt+h _ 2 + a t+h + 6 .Portanto, as previsões são:para h=l,E(x t )para h=2,x t (2) = E((l+4, 1 )x t+1 - $ l x t + a t+2 + 6) = (1+^) ^(1) - Ç^ -0 + 6para h > 2,x - * X _ + a + 6) -x t (h-l)- 1 S t (h-2) + 6 .Exemplo 05: previsão <strong>de</strong> um ARIMA(0,1, 1) = IMA(1,1):V x = (1-9 B) a + ó(I-B)X C = a t - e 1 a t _ 1 + 0X t - X t-l = a t - Vt-1X t = X t-l + 3 t - 9 i a t-lO valor <strong>de</strong> x no <strong>tempo</strong> t-h éx , = x , ,+a , -Ô, a . ,+6t+h t+h-1 t+h l t+h-1Portanto as previsões são:
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