ÀÌ Ã¥Àº R ÇÁ·Î±×·¥À» È°¿ëÇÑ ½Ã°è¿ ÀÚ·á(Time series) ºÐ¼®À¸·Î ±¸¼ºÇÏ¿´´Ù.
Á¦1ºÎ´Â, ¼·ÐÀ¸·Î ½Ã°è¿ ÀÚ·áÀÇ ÇüÅÂ¿Í ±¸ºÐ, ³»¿ëÀû Ư¼º µîÀ» °ËÅäÇÏ¿´´Ù.
Á¦2ºÎ´Â, ½Ã°è¿ ÀÚ·á ºÐ¼®ÀÇ Å½»öÀû ºÐ¼®ÀÎ ÆòÈ°¹ý, ºÐÇعý µîÀ» °ËÅäÇÏ¿´´Ù.
Á¦3ºÎ´Â, ½Ã°è¿ ÀÚ·á ºÐ¼®¿¡¼ ¸¹ÀÌ Àû¿ëµÇ´Â È®·ü¸ðÇü ºÐ¼®¹ýÀ» °ËÅäÇÏ¿´´Ù.
Á¦4ºÎ´Â, ½Ã°è¿ ÀÚ·á ºÐ¼®ÀÇ È®Àå ±â¹ýÀ¸·Î, ½ºÆåÆ®·² ºÐ¼®, »óÅ°ø°£ ¸ðÇü, Ä®¸¸ÇÊÅÍ, ±×¸®°í VAR¸ðÇü ¹× ¿äÀκм® µîÀ» ÀÌ¿ëÇÑ ºÐ¼®¼®±â¹ýÀ» »ìÆ캻´Ù.
¶ÇÇÑ RÀ» ÀÌ¿ëÇÑ ½Ã°è¿ ÀÚ·á ºÐ¼®ÀýÂ÷ ¹× ±×·¡ÇÁ ÀÛ¼º¹æ¹ý µîÀ» »ìÆ캸¾Ò´Ù.
Á¦1ºÎ´Â, ½Ã°è¿ ÀÚ·á ºÐ¼®ÀÇ ¼·Ð¿¡ ÇØ´çµÇ´Â ³»¿ëÀ» Áß½ÉÀ¸·Î ±¸¼ºÇÏ¿´´Ù.
½Ã°è¿ ÀÚ·áÀÇ ÇüÅ ¹× ±¸ºÐ, ±×¸®°í ±× ³»¿ëÀû Ư¼º¿¡ ´ëÇÏ¿© °ËÅäÇÏ¿´´Ù.
R ÇÁ·Î±×·¥À» ÀÌ¿ëÇÑ ½Ã°è¿ ÀÚ·áÀÇ ºÐ¼®ÀýÂ÷¿Í ºÐ¼®°³¿ä¿¡ ´ëÇÏ¿© »ìÆ캻´Ù.
¶ÇÇÑ, ½Ã°è¿ ÀÚ·á ºÐ¼®ÀÇ ±âº»ÀûÀÎ ºÐ¼®±â¹ý ¹× Åë°è°ª µî¿¡ ´ëÇØ »ìÆ캻´Ù.
ƯÈ÷, R ÇÁ·Î±×·¥À» ÀÌ¿ëÇÑ ½Ã°è¿ ÀÚ·áºÐÆ÷, ±×·¡ÇÁ ÀÛ¼º¹æ¹ý µîÀ» »ìÆ캻´Ù.
Á¦2ºÎ´Â ½Ã°è¿ ºÐ¼®ÀÇ Å½»öÀû ºÐ¼®±â¹ýÀ¸·Î ÆòÈ°¹ý, ºÐÇعý µîÀ» °ËÅäÇÏ¿´´Ù.
ÆòÈ°¹ýÀº À̵¿Æò±Õ, Áö¼ö ÆòÈ°¹ý µîÀ¸·Î ±¸ºÐÇÏ¿© ºÐ¼® ¹× ¿¹ÃøÀ» °ËÅäÇÏ¿´´Ù.
±×¸®°í, ºÐÇعý¿¡ ÀÇÇÑ Ãß¼¼º¯µ¿, °èÀýº¯µ¿ÀÇ ºÐ¼® ¹× ¿¹Ãø¹æ¹ýÀ» °ËÅäÇÏ¿´´Ù.
°¢ ºÐ¼®±â¹ýÀÇ RÀ» ÀÌ¿ëÇÑ ºÐ¼®ÀýÂ÷¿Í ±¸Ã¼Àû È°¿ë¹æ¾È¿¡ ´ëÇÏ¿© »ìÆ캸¾Ò´Ù.
±×¸®°í, °¢ ºÐ¼®»ç·Ê¿¡ ´ëÇÑ R ÇÁ·Î±×·¥ÀÇ ±¸¼º¹æ¹ý°ú ºÐ¼®°á°ú¸¦ ¿ä¾àÇÏ¿´´Ù.
Á¦3ºÎ´Â, ½Ã°è¿ ºÐ¼®ÀÇ Áß½ÉÀÌ µÇ´Â È®·ü¸ðÇüÀ» ÀÌ¿ëÇÑ ºÐ¼®¹æ¹ýÀ» °ËÅäÇÑ´Ù.
Á¤»ó ½Ã°è¿ ÀÚ·áÀÇ AR¸ðÇü, MA¸ðÇü, ARMA¸ðÇü µîÀÇ ºÐ¼®ÀýÂ÷¸¦ »ìÆ캸¾Ò´Ù.
ºñÁ¤»ó ½Ã°è¿ ÀÚ·áÀÇ ARIMA¸ðÇü, ARFIMA ¸ðÇü µîÀÇ ºÐ¼®ÀýÂ÷¸¦ »ìÆ캸¾Ò´Ù.
°¢ ºÐ¼®±â¹ý¿¡¼ RÀ» ÀÌ¿ëÇÑ Á¦¹Ý ¸ðÇüÀÇ Æ¯¼º, È®À强 µîÀÇ ¹æ¹ýÀ» »ìÆ캸¾Ò´Ù.
ƯÈ÷, RÀÇ Auto-Arima ÇÁ·Î±×·¥ µî ´Ù¾çÇÑ ºÐ¼®±â¹ýÀÇ Àû¿ë¹æ¾ÈÀ» »ìÆ캸¾Ò´Ù.
Á¦4ºÎ´Â ±âÁ¸ ½Ã°è¿ ºÐ¼®±â¹ýÀ» È®ÀåÇÏ´Â ºÐ¼®¹æ¹ýÀ» Áß½ÉÀ¸·Î ±¸¼ºÇÏ¿´´Ù.
½Ã°è¿ ºÐ¼®¿¡ ´ëÇÑ »óŹæÁ¤½Ä ¹× Ä®¸¸ ÇÊÅ͸¦ ÀÌ¿ëÇÑ ºÐ¼®±â¹ýÀ» »ìÆ캸¾Ò´Ù.
¶ÇÇÑ ¿äÀκм®, ±ºÁýºÐ¼® ¹× ºñ¼±Çü ºÐ¼® µîÀ» ÀÌ¿ëÇÑ ºÐ¼®¹æ¹ýÀ» °ËÅäÇÏ¿´´Ù.
¾Æ¿ï·¯ VAR ¸ðÇü µî »õ·Î¿î ½Ã°è¿ ºÐ¼®±â¹ýÀÇ Àû¿ë¼º µîÀ» °ËÅäÇÏ¿´´Ù.
±×¸®°í ´Ù¾çÇÑ ½Ã°è¿ È®Àå±â¹ýµé¿¡ ´ëÇÑ R ÇÁ·Î±×·¥À» Àû¿ë¹æ¹ýÀ» »ìÆ캸¾Ò´Ù.
ÁöÀºÀÌ
ÀÌ Àç±æ
ÀϺ» ¾²²Ù¹Ù ´ëÇÐÁ¹¾÷ (¹Ú»ç)
ÇöÀç, ¼±¹®´ëÇб³ ´Ù¹®ÈÁ¤Ã¥¿¬±¸¼Ò ºÎ¼ÒÀå
Â÷·Ê
1ºÎ ¼·Ð Introduction
01Àå ½Ã°è¿ ºÐ¼®ÀÇ ÀÌÇØ Introduction of Time Series Analysis
1.1 ½Ã°è¿ ºÐ¼®ÀÇ °³³ä
1.2 ½Ã°è¿ ÀÚ·áÀÇ ÇüÅÂ
02Àå ½Ã°è¿ ÀÚ·áÀÇ ±¸Á¶ Structure of Time Series Data
2.1 ½Ã°è¿ ÀÚ·áÀÇ ÀÌÇØ
2.2 ½Ã°è¿ ÀÚ·áÀÇ ¿¹Ãø°ú Æò°¡
03Àå ½Ã°è¿ ÀÚ·áÀÇ ±×·¡ÇÁ Graphics of Time Series Data
3.1 ½Ã°è¿ ÀÚ·áÀÇ ±×·¡ÇÁ
3.2 ½Ã°è¿ ÀÚ·á ±×·¡ÇÁÀÇ ÀÛ¼º»ç·Ê
04Àå ½Ã°è¿ ÀÚ·áÀÇ »ó°üºÐ¼® ¹× °ËÁ¤ Correlation & Test of Time Series Data
4.1 ½Ã°è¿ ÀÚ·áÀÇ »ó°üºÐ¼®
4.2 ½Ã°è¿ ÀÚ·áÀÇ °ËÁ¤
Á¦2ºÎ Ž»öÀû ºÐ¼®±â¹ý Analysis of Exploratory Method
05Àå À̵¿Æò±Õ ÆòÈ°¹ý Moving Average Smoothing
5.1 À̵¿Æò±Õ ÆòÈ°¹ýÀÇ °³¿ä
5.2 À̵¿Æò±Õ ÆòÈ°¹ýÀÇ ºÐ¼®»ç·Ê
06Àå Áö¼ö ÆòÈ°¹ý Exponential Smoothing
6.1 Áö¼ö ÆòÈ°¹ýÀÇ °³¿ä
6.2 Áö¼ö ÆòÈ°¹ýÀÇ ºÐ¼®»ç·Ê
07Àå ȸ±Í¸ðÇü ÆòÈ°¹ý Regression Model Smoothing
7.1 ȸ±Í¸ðÇü ÆòÈ°¹ýÀÇ °³¿ä
7.2 ȸ±Í¸ðÇü ÆòÈ°¹ýÀÇ ºÐ¼®»ç·Ê
08Àå ±âŸ ÆòÈ°¹ý Other Smoothing
8.1 ±âŸ ÆòÈ°¹ýÀÇ °³¿ä
8.2 ±âŸ ÆòÈ°¹ýÀÇ ºÐ¼®»ç·Ê
09Àå ¿ä¼ÒºÐÇعý Decomposition of Time Series Data
9.1 ½Ã°è¿ ÀÚ·áÀÇ ºÐÇØ
9.2 ¿ä¼ÒºÐÇعýÀÇ ºÐ¼®»ç·Ê
Á¦3ºÎ È®·ü¸ðÇüÀÇ ºÐ¼®±â¹ý Analysis of Stochastic Model
10Àå È®·ü¸ðÇüÀÇ °³¿ä Introduction of Stochastic Model
10.1 È®·ü¸ðÇüÀÇ °³³ä
10.2 È®·ü¸ðÇü ºÐ¼®»ç·Ê : (IID È®·ü°úÁ¤)
11Àå Á¤»ó ½Ã°è¿ ¸ðÇü (1) : AR ¸ðÇü Auto Regressive Model
11.1 AR ¸ðÇüÀÇ °³¿ä
11.2 AR ¸ðÇüÀÇ ºÐ¼®»ç·Ê
12Àå Á¤»ó ½Ã°è¿ ¸ðÇü (2) : MA ¸ðÇü Moving Average Model
12.1 MA ¸ðÇüÀÇ °³¿ä
12.2 MA ¸ðÇüÀÇ ºÐ¼®»ç·Ê
13Àå Á¤»ó ½Ã°è¿ ¸ðÇü (3) : ARMA ¸ðÇü Auto Regressive Moving Average Model
13.1 ARMA ¸ðÇüÀÇ °³¿ä
13.2 ARMA ¸ðÇüÀÇ ºÐ¼®»ç·Ê
14Àå ºñÁ¤»ó ½Ã°è¿ ¸ðÇü (1) : ARIMA ¸ðÇü Auto Regressive Integrated Moving Average Model
14.1 ARIMA ¸ðÇüÀÇ °³¿ä
14.2 ARIMA ¸ðÇüÀÇ ºÐ¼®»ç·Ê
15Àå ºñÁ¤»ó ½Ã°è¿ ¸ðÇü (2) : SARIMA ¸ðÇü Seasonal ARIMA
15.1 Seasonal ARIMA ¸ðÇüÀÇ °³¿ä
15.2 Seasonal ARIMA ¸ðÇüÀÇ ºÐ¼®»ç·Ê
16Àå ºñÁ¤»ó ½Ã°è¿ ¸ðÇü (3) : ARFIMA ¸ðÇü Auto Regressive Fractional Integrated Moving Average Model
16.1 ARFIMA ¸ðÇüÀÇ °³¿ä
16.2 ARFIMA ¸ðÇüÀÇ ºÐ¼®»ç·Ê
17Àå ºñÁ¤»ó ½Ã°è¿ ¸ðÇü (4) : ARCH/GARCH ¸ðÇü Auto Regressive Conditionally Heteroscedastic Model / Generalized ARCH Model
17.1 ARCH / GARCH ¸ðÇüÀÇ °³¿ä
17.2 ARCH / GARCH ¸ðÇüÀÇ ºÐ¼®»ç·Ê
Á¦4ºÎ ½Ã°è¿ ºÐ¼® ¸ðÇüÀÇ È®Àå Advanced Methods of Time Series Analysis
18Àå ½ºÆåÆ®·² ºÐ¼® Spectral Analysis
18.1 ½ºÆåÆ®·² ºÐ¼®ÀÇ °³¿ä
18.2 ½ºÆåÆ®·² ºÐ¼®ÀÇ ºÐ¼®»ç·Ê
19Àå »óÅ°ø°£ ¸ðÇü ºÐ¼® SSM : State Space Model
19.1 »óÅ°ø°£ ¸ðÇüÀÇ °³¿ä
19.2 »óÅ°ø°£ ¸ðÇü ÆòÈ°¹ýÀÇ ºÐ¼®»ç·Ê
20Àå Ä®¸¸ ÇÊÅÍ ºÐ¼® Kalman Filter Analysis
20.1 Ä®¸¸ ÇÊÅÍÀÇ °³¿ä
20.2 Ä®¸¸ ÇÊÅÍÀÇ ºÐ¼®»ç·Ê
21Àå VAR / VARMA ¸ðÇü Vector Autoregressive / Vector ARMA Model
21.1 VAR / VARMA ¸ðÇüÀÇ °³¿ä
21.2 VAR / VARMA ¸ðÇüÀÇ ºÐ¼®»ç·Ê
22Àå ½Ã°è¿ ¿äÀκм® Factor Analysis of Time Series
22.1 ½Ã°è¿ ¿äÀκм®ÀÇ °³¿ä
22.2 ½Ã°è¿ ¿äÀκм®ÀÇ ºÐ¼®»ç·Ê
23Àå ½Ã°è¿ ±ºÁýºÐ¼® Cluster Analysis of Time Series
23.1 ½Ã°è¿ ±ºÁýºÐ¼®ÀÇ °³¿ä
23.2 ½Ã°è¿ ±ºÁýºÐ¼®ÀÇ ºÐ¼®»ç·Ê
24Àå ºñ¼±Çü ½Ã°è¿ ºÐ¼® Nonlinear Models of Time Series
24.1 ºñ¼±Çü ½Ã°è¿ ºÐ¼®ÀÇ °³¿ä
24.2 ºñ¼±Çü ½Ã°è¿ ºÐ¼®ÀÇ ºÐ¼®»ç·Ê
25Àå ÀüÀÌÇÔ¼ö ¸ðÇü ºÐ¼® Transfer Function Model
25.1 ÀüÀÌÇÔ¼ö ¸ðÇüÀÇ °³¿ä
25.2 ÀüÀÌÇÔ¼ö ¸ðÇüÀÇ ºÐ¼®»ç·Ê
ã¾Æº¸±â
ardentsoo 18-10-24 14:56