1 / 21

Time series analysis

Time series analysis. R98229029 陳漢卿. ENSO & ACW. -36. -30. -24. -18. -12. -6. 0(ENSO). Data source.

zelig
Download Presentation

Time series analysis

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Time series analysis R98229029 陳漢卿

  2. ENSO & ACW

  3. -36 -30 -24 -18 -12 -6 0(ENSO)

  4. Data source Time sequences of amplitudes associated with the dominant EOF modes of interannual zonal surface wind monthely anomalies for the 52-year record from 1950 through 2001 from NCEP/NCAR reanalysis. Displayed in units of standard deviation.

  5. Data preprocess • Isolate the 3.5- and 5.5-year period interannual signals from higher and lower- frequency signals by band-pass filtering using a period admittance window with half power points at 3-and 7-year period. • Monthly anomaly of ZSW was computed about long-term monthly means defining the mean cycle over the 52-years record.

  6. 全期分析 • Mean~0 • STD=1

  7. 兩段時間分析 1950-1977(PC1) Mean=0.055 STD=1.004 1978-2001(PC2) Mean=-0.0645 STD=0.9924

  8. 平均數差異統計檢定 • Use t-test of the null hypothesis in the PC1 and PC2.Assume that the mean of PC1 and PC2 are equal. The result of the test is returned in h = 0 indicates a failure to reject the null hypothesis at the 5% significance level. • That’s mean PC1 and PC2 have same mean.

  9. 變異數差異統計檢定 • Use f-test of the null hypothesis in the PC1 and PC2.Assume that the variance of PC1 and PC2 are equal. The result of the test is returned in H = 0 indicates a failure to reject the null hypothesis at the 5% significance level. • That’s mean PC1 and PC2 have same variance.

  10. 自相關分析 • ACF 指數衰減，PACF則是N>3後截斷 判斷應該為一適合AR(3) model的時間數列。

  11. 趨勢分析 一次回歸方程 Y = -0.0001X + 0.0467

  12. 趨勢分析 五次回歸方程

  13. 一次回歸方程 Y = 0.0003X + 0.0100 Y = 0.0010X - 0.2042

  14. 二次回歸方程

  15. 突變點分析 滑動平均t-test

  16. ARMA model • 利用ARMA model (p,q)=(10,9)時有最小的AIC=-10.0326 • 得到的ARMA model Φ(B)*X(t)=θ(B)*ε(t) • Φ(B)=1 - 4.439 B^1 + 8.809 B^2 - 10.31 B^3 + 7.207 B^4 - 1.407 B^5 - 3.461 B^6 + 4.816 B^7 - 3.013 B^8 +0.8462 B^9 - 0.0514 B^10 θ(B)= 1 - 0.3478 B^1 - 1.121 B^2 + 1.244 B^3 - 0.6484 B^4 - 0.5076 B^5 + 0.9255 B^6 - 1.078 B^7 - 0.1464 B^8 + 0.6975 B^9

  17. ARMA model 此model模擬的擬合性算相當不錯，但是會有一些高頻訊號出現。

  18. ARMA model 此model模擬的擬合性算相當不錯，但是會有一些高頻訊號出現。

  19. ZSW & nino3.4 index相關分析

  20. ZSW & Eino3.4 Index • Correlation coefficients = 0.4686

  21. Correlation coefficients = 0.5246 1950-1977(PC1) Correlation coefficients = 0.4323 1978-2001(PC2)

More Related