August 2015
Intermediate to advanced
272 pages
5h 46m
Japanese
Content preview from Think Stats 第2版 ―プログラマのための統計入門
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183
183
12.7 自己相関
ラグ 高品質 中品質 低品質
1
−
0.029
−
0.014 0.034
7 0.02
−
0.042
−
0.009
30 0.014
−
0.0064
−
0.013
365 0.045 0.015 0.033
次節では、これらの相関が統計的に有意かどうか（実は、それらは有意でありませ
ん）検定しますが、この時点では、この時系列には、少なくともこれらのラグについ
て、季節的変動パターンがないと、とりあえず結論を出しておきます。
12.7
自己相関
時系列に系列相関がありそうなものの、どのラグで検定すればよいかわからないと
きには、全部試すことができます。自己相関関数（
autocorrelation function
）は、ラグを、
与えられたラグの系列相関に対応させる関数です。「自己相関」は、ラグが
1
でない
ときによく使われる、系列相関の別名です。
「
11.1
StatsModels
」の線形回帰で用いた
StatsModels
も、自己相関関数を計算
する
acf
を含めて、系列相関の関数を提供します。
import statsmodels.tsa.stattools as smtsa
acf = smtsa.acf(filled.resid, nlags=365, unbiased=True)
acf
は、ラグが
0
から
nlags
までの値の系列相関を計算します。フラグ
unbiased
は、
acf
に標本のサイズに応じて推定値を修正するかどうか指示します。計算結果は、相
関配列です。高品質の日次の価格を選び、 ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.