                                                   605

19. . 2    

      ,   -
      ,    
   (random walk model). To     
( )         ( _,)   -
  (,        -
,     ).    
    :

,=,_,+ń                        (19.16)
 , -  .      
     , ,_    
       ,   -
        :

?,-?,_,=e,                             (19.17)

 ,    , - , ,       -
         .  -
     , ,   ,   -
     .      
  ,       .  -
,    ,    ,   
 16.

1..    

        ,   -
     (,    -
   ,    ).     -
     .     -
            
  .     QE,  QE _   
    ,    -
, QE, _ ^ - QE, _        
      (autoregressive model of order
one),     :

QE, - QE,_, = a{QE,_ , - QE,_,) + b + e,,              (19.18)
   b - ,  e, -  .

   ,   QE, 4   :

QE, = QE,_, + a(QE,_ , - QE,_,) + b + e,             (19.19)
      b,     
  17.

,        0,4  0,05,  -
       QE,_^ + (QE,_^  QE,_^) + $ 0,05.
 ,       (t  1)     
$3,    (t - 4) -   $2     (I - 5) -  
$2,60,         
$2,21 [$2 + 0,4($3  $2,60) + $0,05].    ,  
     -     ($2), -
    [$0,06 - 0,4 ($3 - $2,60)]   -
 ($0,05)'8.