http://www.ai.u-hyogo.ac.jp/~arima/arima.pdf2002 5 8 , 1 , , GNP, , , t yt 1, 2, . . . , T , {yt}T t=1 = {y1, y2, · · · , yT } (1) 1: Iowa City 2: GDP 1 Iowa City 12 3 GDP , , 1 2 , , (1) T Y1, Y2, · · · , YT {1, 2, . . . , T} , , {Yt}t≥1 = {Y1, Y2, Y3, · · ·} (2) (2) , , , {Yt}t≥1 , E(Yt) (3) Var(Yt) = E[(Yt − E(Yt))2 ] (4) Corr(Yt, Yt−k) = E[(Yt − E(Yt))(Yt−k − E(Yt−k))]/Var(Yt) (5) (3), (4) Yt , (5) Yt Yt−k , {Yt}t≥1 k t , 2 k , E(Yt) =
