DAI HOC QUOC
GIA
HA
NOI
TRUONG
DAI HOC
KHOA
HOC
TlTNHIEN
KHOA
KHI TCONG
THUY VAN VA
HAI
DUONG HOC
BAO CAO
TINH CHU
KY VA
Tl/ONG
QUAN
GIITA
Ll/ONG
Ml/A VA DO KEO DAI
• •
CUA TUdl
KY
GIO MUA MUA
HE
TREN LANH
THO
VIET NAM
MA

gay
ra ung
lul
lam dao
Ion
moi
hoat dong xa hoi nhu cuoi nam
1999.
Chfnh
vi
vay trong nghiep vu du bao
dai han cung nhu ngan han
thi
du bao
luong
mua bao gid cung chiem vi
tri
hang
ddu.
Tfnh chu ky
ciia
cac yeu to khf
tuong
la mot trong
nhirng
ca sa de
dinh hudng trong
viee
xay dung phuang phap du bao dai han. Neu
chu6i

mua
ihang miia
ft mua va khu vuc Bac Trung Bo (Hue') c6 the
tdi
200-
400%.
Tuy nhien,
v6i
muc lieu xac dinh ca sa cho cac du bao dai han
chung toi da khao sat cac kha nang
diing linh
chu ky
ciia
chuoi
luOng miTa
thang va nam bang cac phuang phap tfnh ham tu luang quan, phuang
phap pho phuang sai va ham pho entropy
cue
dai de xac dinh cac chu ky co
the
CO
trong chuoi
thcfi
gian. Tren ca sa xac dinh
lh5i
gian keo dai
miia
gio
miia
lay nam chung toi da

DAO DONG CO CHU KY CUA LUONG MUA
Hien
nay xu the
nghien curu bien
doi cua cac yeu to khf hau
bang
cac
mo
hinh
so
Iri
dang phat
Irien
manh
me va da
ihu
duac
kel qua
dang
ke tren
the
gidi.
Tuy
nhien,
de
xay
dung
va
giai
cac mo

Nam
thi hu6ng
nghien
ciru
nay
it
c6
linh
kha thi, ft
nhat
la mot so nam
Irudc
mat.
Chinh
VI
vay
trong cong
trinh
nay
phuang phap thong
ke
loan
hoc se
duac
sir
dung
nhu la mot
cong
cu
chfnh

de xac
dinh tfnh
chu ky cho
chu6i
luong
mua 12
ihang
va nam cho 24
tram
khf
luong
co do dai
chu6i tren
60
nam
rai deu
Iren
lanh
iho
Viet
Nam. Cac
tram
nay co so
lieu
kha deu.
Trong
tinicmg
hop
ihieu
so

Yen
Bai
Tuyen Quang
Ky hieu
HLS2
HLS9
HT9
VTD6
22
"29'
2L'42'
21°
49'
Kinh
do
103"57'
104°5r
105"!
2'
Do
cao
99
50
42
4
5
6
7
8
9

Da
N^ng
Quang Ngai
Quy Nhon
Nha Trang
Vung Tau
T.P. Ho
Chi
Minh
My
Tho
Can Tho
Soc Trang
Rach Gia
LS3
QNl
QN4
HB5
HN3
HPl
HNN3
TH7
NT9
BTT3
BTT8
QDl
QNA2
NB
FK2
VTl

io°2r
10°
02'
09°
36'
10°29'
106°45'
107°24'
107°03'
106°12'
105°51'
106°38'
106"10'
105°46'
105°40'
106°37'
107°'"
107°41'
108°47'
109°13'
109°12'
103°57'
108"40'
106°23'
105"47'
105"58'
105°05'
258
25
50

luong
quan cho chuoi luang
mira
12 Ihang va nam cho 24 tram khf luong co do dai chu6i tren 60 nam rai deu
tren lanh tho Viet Nam.
Khao sal tfnh ham tu tuong quan la mot trong
nhirng
phuang phap
Ihuctng
duoc diing trong nghien
cvtn
tfnh chu ky
ciia chu6i
thai gian.
Ham tu
iuc:^g
quan chuan hoa
ciia
qua trinh
dimg
egodic
thu5ng
duoc tfnh theo cong
thiic
(LI)
0 day X,
a^,
X2,
C2
trung

va dong
luc
phat trien cua qua
Irinh
theo
th5i
gian. Neu trong chuoi
ban dau co tfnh chu ky nhung kho phat hien do nhieu
ngSu
nhien
thi
chiing
CO
the duoc phat hien qua ket qua phan
Ifch
ham tu tuong quan.
Sau khi tfnh chung toi nhan duoc hon 7000 tri so
r^j.^
v6i miic
y
nghia
0,95. Trong phu luc la 122 trang in ket qua tfnh loan cac he so tu
tuc^g
quan doi v6i
lugfng mUa
thang va nam
ciia
24 tram theo ky hieu
tram duoc ghi tren bang 1. Tren bang 2 va 3 la hai bang kel qua tfnh ham tu
tuong quan bang phan mem STATGRAPHICS cho luong mua thang 7 tram

07208
05916
05429
00945
Stnd.Error
.13131
.16962
.17964
.18219
.18525
.18692
.19080
.19601
.19778
.19842
.19938
.19974
Lag
2
4
6
8
10
12
14
16
18
20
22
24

ke kel qua
uoc
luong he so luong quan va cac
buoc
truot trong khi
linh.
Doi
\6\
m6i luOng mUa
thang va nam
ciia tiing
tram
deu tfnh gia
In u6c luc;fng
va sai so chuan
ciia
dai luang
r^^^^,
BANG
3. HE SO
TVTirONG
QUAN CUA CHUOI LUONG
MUA
THANG 1.
SOC TRANG
Lag
1
3
5
7

.15932
Lag
2
4
6
8
10
12
14
16
18
20
22
Est imate
.25419
04853
09173
12924
08515
13406
09342
07100
01307
.03519
.13484
Stnd.Error
.11113
. 12095
.12480
.12694

r^,.^
>0.4.
Tan suat cac
irudng
hop co gia tri
rjj.^
> 0,2 theo ihang duoc liel ke
tren bang 4.
BANG 4 SO CAC
TRUCJNG
HOP CO GIA TRI HE SO TUONG QUAN
R^^)
>
0,2
Khdi
gian
•"(kl
\
>0,2
0.3-0.4
0.41-0.57
1
25
0
1
2
16
5
2
3

0
11
20
0
0
12
7
3
0
.\.\.\l
28
4
0
TONG
238
33
7
Ta thay Irong long so
7.000
imcfng
hop duoc phan
lich chi
co hon
200
tru5ng
hc^
c6 gia tri
i;^,
> 0,2 (
duoi

va
nam. Chiing toi da
loc
ra duoc mot so
trudng
hop co he so tuong quan \dn
nhat
r(K^
>
0.4 trong chu6i
v6i
i^^,
>
0.4 nhu liel
kc
tren bang 5.
BANG
5
. XU THE CHU KY TAI CAC TRAM
CO
HE SO TUONG QUAN
r^^,
>
0,4
Tram
Hon Gai
Phil
Lien
Da
N£ng

- He so tuong quan ral nho chiing to moi lien quan noi tai
giiJa
cac
thanh phan trong chu6i luong mua thang va nam rat yeu, nen kha nang
sir
dung tfnh chu ky de du bao dai luong mua thang va nam la
ra'l
han che.
Dieu kel
luan
nay phii hop
v6i
nhan dinh cua
Riehl
[6] va
Nguyfin Diic NgiJ
Nguyen Trong Hieu [4].
-
Chi
trong mot so
tiirdng
hop nhu liel ke trong bang 2 la co xu the
chu ky ro ret co the
ihu
nghiem cac phuong phap du bao theo tfnh chu ky.
Cac chu ky duoc phat hien
ihco
phuang phap ham
lu luang
quan la 2, 3, 6,

= —
T
khac nhau
v6i
bien do
ngiu
nhien
X,^:
7
X(t)=ZXe''"''
(1-2)
Qua trinh
nglu
nhien nay se duoc xem la co ky vong loan hoc bang
khong
(m^=o)
neu gia thiet nay khong thoa man co the
xel
qua trinh ngau
nhien quy tarn.
Khi X(t) la mot qua trinh ngiu nhien
dimg thi
co the bieu
di6n
ham
tuong quan
du6i
dang:
i?.(T)=zM^.^;le'""
=

Phuong sai
ciia
qua
Irinh
ngau nhien
D^
nhan duoc bang each cho
i
=0lrong(1.3):
Dx=Rx(0)= ZA (1-4)
A' x
Cong
thiic
(1.4)
chi
ra rang phuong sai
ciia
ham
ngiu
nhien bang
long cac gia
Iri
pho trong mien xac dinh
ciia
no . Vi the ma phuong phap
phan
Ifch
pho nay
thudng dugfc
goi la pho phuong sai .

(1.6)
K=0
CJ
day
Aj^va
B^
la cac dai luong
nglu
nhien thuc co ky vong toan hoc
bang kh6ng,con X(t) la chu6i
chiia
long cac hang tu co sin va cosin
ciia
Ian
so tuong
ling.
Khi do ham tuong quan (1.3)
viel
lai la:
X
X
i?.(^)=ZDkr^^+e-^>^^J=ZdkCosco^x
(1.7)
Co the noi rang khong phai moi qua trinh
dimg
deu co pho rdi rac.
Nhung
CO
the chiing minh rang
ba'l

gia so
ciia
no
AO((0i,) =O(c0j^)
-
cD(co,^.i)
b^r^g
tong
cac bien do ngau
nhien
X^
trong
viing
nay.
Bieu
di^n
qua trinh
ngSu
nhien diing X(t) dudi dang
lich
phan (1.8)
goi la phep phan
Ifch
pho cua X(t).
Doi v6i qua
Irinh ngiu
nhien
dimg
(1.2) ham luang quan duac xac
dinh

Trong do
AcOi^
la hieu
giira
hai
Ian
so
Ian
can
.
TU.K 7r.(K-l) 71 /I 1
i\
Dua vao ham phu thuoc T:
Sl((o) = ^yR,(T).e-'"^MT
(1.12)
Tir (1.9) va (1.11)
tadiroc:
Sl(%) = -^
(1.13)
Dieu
nay chung to
ring
S/(CL)^)
la mat do trung
binh
cua phuong sai
trong khoang
Aco^.
Tir (1.13)
va (1.10) ham tuong quan se duoc xac dinh:

0
(1.12)
chuydn
qua
gidi
han duoc viel:
S^(o))
=
—
fR,(T)e di
(1.16)
Ham
Sx(co)
duoc xac dinh bdi
(1T6)
bieu dien mat do phuong sai
cua ham ngau nhien X(t)
ling
vdi tan so cho
tiurdc
va duoc goi la
mal 60
ph6 cua ham
ngiu
nhien diing X(t). Mat do ph6 la ham khong
am
cua tan
so.
Cong thiic
(1T5)

vdi mot qua trinh ngau nhien thuc cd the
viel:
R^(r)
= 2|5^.(^)cos^zi/<^
(1.17)
0
1
^
S^(C0)
=
-fR^(T)COSC0TdT
(1.18)
Tren day la co sd ly thuyel phuong phap phan
Ifch
pho qua ham
tuong quan. Nhung theo cong thiic nay ham mat do pho
ciia
qua Irinh
ngau nhien
dimg,
S^((o)
la bien doi Fourier
ciia
ham tuong quan
R;,(T)
va
cd the duoc xac dinh theo cong thiic (1.16).
Trong thuc le, vice nghien
ciiu
chuoi

vdi
x,,,,.
duoc goi la do dich chuyen
cue
dai (hay con goi la diem cat) cua ham
11
tuong quan. Bdi vay de danh gia sai so khi
sii
dung
R^(T)
thay
choR^(r)
, ngudi ta dua vao ham cua s6
X(T)
trong bieu thiic tfnh pho.
max
S.x(C0)=
J
A,(T)Rx(T)COSC0TdT
r
max
(1.19)
Sx(co) = — f X(T)rx(T)cOSC0TdT
71
n
y
nghia
cua X{x) la d ch6, nd cd mot
chiic
nang lam

0,46
cos khi|r|<
r
max
max
o;khi
d
> r
max
(1.20)
va ham Barllelle
A{T)
\khi
< T
max
o:khi
T
> T
max
Chiing loi da
ifnh
cho mot sd trudng hop . Tren hinh 1- 4 la dd thi
kel qua tfnh chu ky cho luong mua thang doi vdi cac tram Hon Gai, Da
Nang, Quy Nhon va Sdc Trang.
12
BANG
6.
KET QUA TINH CHU KY THEO PHUONG PHAP PHO PHUONG SAI
Tram
Hon Gai

lai
ca cac
cue
(all -
poler
model) hoac mo hinh tu hoi quy (AR- Auloregressive model).
Xel the hien x(l) cua qua
Irinh
X(l). Khi dd long nang luong
ciia
qua
Irinh
duoc xac dinh bdi:
Power
=
jkt)|"dt
(1.21)
Mat khac, theo dinh ly Parseval, nang luofng nay
cijng
cd the duoc
xac dinh bdi:
Power
=
j|x(t)rdt=
j|H(f)|'df
(1.22)
X
Trong dd
13
CO

o
CD
o
in
o
M-
O
CO
C\J
o
(M
T—*
o
00
o
o
CD
o
CM
o
o
DT/W60
7
GO
H(f)= jx(t)e^'^"dt
r (1-23)
x(t)=
JH(f)e-'^Mf
-X
Cd the hinh dung H(f) nhu la mot bien do dao dong dieu hoa

".
Trong thuc le ngudi la thudng
chi
xel mien bien doi cua tan sd f la
nhiJng
gia tri duong, mat khac gia
Iri
ciia H(f) tren mien tan sd
am
va tan
sd duong cung khong khac nhau, nen thay cho
H(l),
ngUdi ta
sir
dung
ham:
S(0=|H(f)|'
=|H(-f)|'
,
0<f<a^
va duoc
gc)i
la pho nang luong cua qua
Irlnh.
Neu the hien x(t) duoc cho tai n diem
l^,
i =
l n:
x, = x(l,)
vdi

doi
ngiroc
Fourier roi rac de nhan cac gia tri
ciia
chu6i ban dau:
1
" k.t
nk=i ^ '
18
Va dinh ly Parseval cd the duoc viel lai dang:
n
^
1 n
I|x.|
=-Z|H(fk)|
t=l Hk^l
(1.26)
Neu X(t)
dimg
cd ky vong bang 0 thi khi chia ve
Irai
cua (1.26) cho
n ta nhan duoc Udc luong phuong sai cua qua trinh. Nhu vay cd the hieu
pho phuong sai nhu la ham bieu thi su phan bd nang
lugng
trung binh
cua qua trinh theo tan sd, trong khi pho nang lugng xel
sir
phan bd cua
long nang lugngcua qua trinh. Tren co sd ciia bieu

Neu ta
thue
hien
phep bien doi:
z
=
e
27i:fAT
(1.28)
^
t
•
/v'
khi dd cd the bieu dien pho nang lugng dudi dang:
S(f)
n.2-1
Zx,z'
k=-n'2
(1.29)
Neu x(t) xac dinh tren loan mien v6 han
ihi
bieu thuc (1.29) se cd
dang:
S(f) =
Zx,z^
k=-x
(1.30)
Cd the bieu
di^n
he

=
n/2-1
Ix,z'
k=-n
2
(1.32)
ni
1+Za,z
k=-l
Dieu do co nghTa la de xac dinh mat do pho S(f)
cSn
phai
tinh
duoc
m+1
he so
ao,
ai, ,a„,.
Ngu5i
ta da
chimg
minh duoc
rang,
de nhan duoc
cac he so
a^
(k = 0,l,2 ,m) can phai giai phuong trinh sau:
ni
m
l+Za

tucmg
quan
Rj
cd the cd. Tham
chi
m cd the nhan gia tri
Idn
hon
dung
luctng mau
n.
nhung trong
trU(":fng hctp
nay can phai ngoai suy ham
tu
lucmg
quan. Tren thuc le ngudi ta thudng chon m nho hon n nhieu.
Ket qua xac dinh chu ky theo phuong phap pho entropy
cue
dai dugc
bieu dien tren bang 7.
20
BANG 7 CHU KY (NAM) CUA LUONG
MUA
THANG TAI MOT SO TRAM KHI
TUONG TREN LANH THO VIET NAM
No
1
2
3

Da Nang
Quang Ngai
Vung Tau
T.P
HoChi
Minh
Nha Trang
Ky hieu
HLS2
HLS9
HT9
LS3
HB5
HN3
HPl
HNN3
TH7
NT9
BTT3
BTT8
QDl
QNA2
VTl
SG
PKl
Chu ky I
(nam)
2.03
1.98
2.03

3.04
Chu ky
III
(nam)
4.06
5.01
5.01
5.01
5.01
5.0
5.0
4.06
5.01
5.01
Chu ky
IV
(nam)
17.04
17.06
17.06
17.1
17.06
17.06
17.06
17.06
17.0
17.06
17.06
Viec xac dinh chu ky dugc lien hanh cho loan bo sd lieu long lugng
mua thang cho

"iron
nam" la do sai sd Irong sd lieu va
ifnh
loan
gay
ra.
21
OH
on
22
verspet
elta
.33334
.66667
.44444
.33333
.06667
.22222
.19048
.66667
t81482
533334
757576
mill
564103
)95238
588889
B3333
)
19608

DATA
power
0.102983
0.102975
0.068739
0.102979
1.890387
0.067164
0.0072
g
0.102977
7
0.19933
^
0.113331
5
0.15156
4
1.027676
3
0.058506
2
1.772718
1
0.248656
0
0.102978
6.629507
0.348134
0.110341

PH6
LUONG
MUA
TRAM YfiN BAI
3.04
1.98
m'TnT
I
r
I I I I
I I I
I
I I I I
I I I
I
I
n
85.3
12.2 6.6 4.5 3.4 2.8 2.3 2.0
2.^
r-
o
(N
C<^
(N
00
(N
-^
CO
in

481482
0.094311
533334
0.076656
757576
0.094804
mill
0.569499
564103
0.033207
095238
2.289775
588889
0.164933
J33333
0.105786
319608
3.431457
740741
0.349633
491228
0.11018
266667
0.139767
363492
4.272953
478788
2.0793
710145
0.131624

188034
0.004891
1333J3
1.007775
f)81301
3.0.58011
1)31/40
5.389805
984196
3.742963
939394
4.377864
896296
0.880285
85.5072
0.228917
6
-
5
4
3
2
-
1
-
n
P
(
17
r