January 2012
Intermediate to advanced
1178 pages
51h 43m
German
Content preview from Statistik, 15th Edition
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Kap.
XII:
Zeitreihenanalyse 675
und b_
q
,..., b
s
. ein linearer Filter mit Gewichten c_
q
_
q
.,..., c
s+s
. der Gestalt
s
Cj= Σ a
r
bj_
r
für j =-q - q',..., s + s'.
r= -q
Im obigen Beispiel lassen sich die Gewichte also auch direkt ausrechnen:
ο
C-13= Σ a
r
b_
13
_
r
= a_
1
b_
12
+ a
0
b_
13
= (-1)(-1) + 1·0 = 1
r
= — 1
0
c-i2= Σ a
r
b_
12
_
r
= a_
1
b_
u
+a
o
b_
12
= (-l) 0 + l (-l) = -l
r=
— 1
0
C-11 = Σ
a
rb-u-r = a_
1
b_
10
+ a
0
b_
11
= (—1) 0+10 = 0
r
= — 1
0
C-2 = Σ a
r
b_2-
r
= a_
1
b_
1
+a
0
b_
2
= (—1) 0 + 10 = 0
r= -
1
0
C-i = Σ a
r
b_
1
_
r
= a_
1
b
o
+ a
o
b_
1
=(-l) l + l-0 = -l
r= -
1
0
c
0
= Σ a
r
b_
r
= a_
1
b,+a
o
b
o
= (-l) 0 +1-1 = 1.
r= -1
1.4. Autokovarianzen, Autokorrelationen und partiell ...