SPSS 활용 미래예측과 시계열분석

Part 1. 미래 예측과 시계열 분석 이해

01 시계열 분석 기초 ····································································································· 15
1.1 시계열 분석 과정 ······························································································· 17
1.1.1 시계열 분석 의미와 응용 범위 ································································ 17
1.1.2 회귀분석과 시계열 분석의 차이점 ··························································· 19
1.1.3 시계열 분석에 의한 예측관련 문제점 ······················································ 22

02 시계열 자료 입력 ····································································································· 23
2.1 자료 코딩 ··········································································································· 25
2.2 TIME 변수 생성 ································································································· 26
2.3 구조변환 ············································································································· 27
2.4 시차 ···················································································································· 35
2.4.1 시차 1 ······································································································· 35
2.4.2 시차 2 ······································································································· 37
2.5 결측값 ················································································································ 38

03 날짜 정의 ················································································································· 41
3.1 년?분기?월 날짜 정의 ··················································································· 43
3.2 주별 날짜 정의 ·································································································· 45

04 이상값 해결 방법 ····································································································· 49
4.1 이상값 종류 ········································································································ 51
4.1.1 SPSS의 자동 모형 생성기에서 찾아주는 이상값의 종류 ························· 51
4.1.2 더미변수 회귀분석에서 다룰 수 있는 이상값의 종류 ····························· 52

4.2 이상값 삭제 ········································································································ 52
4.3 이상값 평균으로 대체 ························································································ 52
4.3.1 연도별 자료 ······························································································ 52
4.3.2 분기별?월별 자료 ··················································································· 57
4.4 ARIMA 모형에서 이상값 검색 ··········································································· 58
4.4.1 ARIMA 모형에서 이상값이 없다고 가정한 시계열 분석 ························· 58
4.4.2 ARIMA 모형에서 이상값을 포함하는 방법 ·············································· 59
4.4.3 ARIMA 모형에서 이상값을 직접 선택하는 방법 ······································ 61
4.5 이상값을 더미변수로 처리 ················································································· 62
4.5.1 더미변수 회귀분석 개입모형과 ARIMA 분석 개입모형 비교 ·················· 62
4.5.2 더미변수 회귀분석 개입모형의 종류 ························································ 62
4.5.3 혼합형 개입모형 ······················································································· 63

05 자료 안정화 ·············································································································· 65
5.1 차분 ···················································································································· 67
5.1.1 차분 1 ······································································································· 67
5.1.2 차분 2 ······································································································· 74
5.2 계절차분 ············································································································· 76
5.2.1 계절차분 1 ································································································ 76
5.2.2 계절차분 2 ································································································ 82
5.3 자연로그 ············································································································· 87
5.3.1 자연로그 변환 ··························································································· 87
5.3.2 자연로그 계산 ··························································································· 98
5.3.3 원래 값 환원 ···························································································· 99
5.4 제곱근 ··············································································································· 101
5.4.1 제곱근 계산 ···························································································· 101
5.4.2 원래 값 환원 ·························································································· 103


Part 2. 미래 예측과 시계열 분석 초급

06 순차도표 ················································································································· 107
6.1 시계열 분석의 순차도표 ··················································································· 109
6.2 레거시 대화상자의 선도표 ··············································································· 114

07 자기상관 ················································································································· 117
7.1 자기상관함수(ACF)와 편자기상관함수(PACF)의 활용 ······································ 119
7.2 더빈왓슨 ··········································································································· 119
7.3 독립성 모형 ······································································································ 121
7.4 Bartlett 근사 ····································································································· 124

08 교차상관 ················································································································· 127
8.1 교차상관 ··········································································································· 129
8.2 시계열 변수 생성 후 교차상관 분석 ······························································· 136
8.2.1 시계열 변수 생성 ··················································································· 136
8.2.2 교차상관 분석 ························································································· 138
8.2.3 변수 위치 변경 ······················································································· 140
8.3 차분?계절차분과 교차상관 분석 동시 실행 ·················································· 141

09 이동평균법 ·············································································································· 143
9.1 단순이동평균법 ································································································· 145
9.2 중심화 이동평균법 ··························································································· 147

10 비계절 모형 ············································································································ 151
10.1 단순 ················································································································ 153
10.2 홀트 선형추세 ································································································· 164
10.3 브라운 선형추세 ····························································································· 173
10.4 진폭감소추세 ·································································································· 184


11 계절분해 ················································································································· 197
11.1 가법 ················································································································ 199
11.1.1 이동평균가중값 모든 시점이 동일 ······················································· 199
11.1.2 끝점에 0.5를 가중 적용 ······································································· 204
11.1.3 평활추세순환계열과 계절요인을 고려한 가법 계산 ····························· 205
11.2 승법 ················································································································ 206
11.2.1 이동평균가중값 모든 시점이 동일 ······················································· 206
11.2.2 추세순환과 계절요인을 고려한 승법 계산 ··········································· 208

12 계절 모형 ··············································································································· 211
12.1 단순계절 모형 ································································································· 213
12.2 윈터스 가법 ···································································································· 223
12.3 윈터스 승법 ···································································································· 232

13 ARIMA 모형 ··········································································································· 245
13.1 ARIMA 모형 구축 조건 ·················································································· 247
13.2 ARIMA 모형 탐색 단계 ·················································································· 248
13.3 ARIMA 모형 종류 ··························································································· 249
13.4 ARIMA 모형 공식 표기 방법 ········································································· 250
13.5 ACF와 PACF에 의한 ARIMA 모형 구분 ························································· 251

14 자동 모형 생성기 ··································································································· 259
14.1 탐색 가능 모형 종류 ······················································································ 261
14.2 자동 모형 생성기 사용 ·················································································· 261
14.2.1 모형 구축 조건 ····················································································· 262
14.2.2 모형 탐색 과정 ····················································································· 262
14.2.3 탐색된 모형 재실시 주의사항 ······························································ 276
14.2.4 모형 검증 ······························································································ 278
14.3 자동 모형 생성기로 탐색된 모형 실행 및 미래 예측 ··································· 278


15 모형 검증과 모형 선택 ··························································································· 285
15.1 모형 검증 ········································································································ 287
15.1.1 잔차의 선형성 ······················································································· 287
15.1.2 잔차의 등분산성 ···················································································· 288
15.1.3 잔차의 정규성 ······················································································· 288
15.1.4 잔차의 자기상관함수(ACF) 및 편자기상관함수(PACF) ························· 289
15.1.5 더빈왓슨 값 해석 ·················································································· 292
15.2 여러 모형 중 최적 모형 선택 ········································································ 294
15.2.1 MAE(MAD) ···························································································· 295
15.2.2 MSE ······································································································· 297
15.2.3 RMSE ····································································································· 297
15.2.4 MAPE ····································································································· 298
15.2.5 R SQUARE ···························································································· 300
15.2.6 잔차의 상자 도표 ·················································································· 301
15.2.7 예측력 평가 ··························································································· 302

Part 3. 미래 예측과 시계열 분석 중급

16 단순회귀분석에 의한 추세분석 ··············································································· 305
16.1 산점도 활용 선형 회귀분석 ··········································································· 307
16.2 선형 회귀분석 ································································································· 311
16.2.1 회귀분석 ································································································ 311
16.2.2 이상치 삭제 후 회귀분석 재실시 ························································· 318
16.3 모형 검증 ········································································································ 321
16.3.1 선형성 ··································································································· 321
16.3.2 등분산성 ································································································ 322
16.3.3 정규성 검토 ··························································································· 323

17 곡선추정 회귀분석(비선형 회귀분석) ······································································ 325
17.1 TIME 변수 생성 및 산점도 ············································································ 328
17.2 곡선추정 회귀분석 모두 선택 ········································································ 332
17.3 대수 ················································································································ 335
17.4 역모형 ············································································································· 337
17.5 2차 모형 ········································································································· 340
17.6 3차 모형 ········································································································· 341
17.7 복합모형(혼합모형) ························································································· 343
17.8 제곱값(파워 모형) ·························································································· 344
17.9 S 모형 ············································································································· 345
17.10 성장 모형 ······································································································ 346
17.11 곡선추정 회귀분석에 의한 미래 예측 ·························································· 348
17.11.1 직접 계산 ···························································································· 348
17.11.2 메뉴에서 TIME 변수 미래값 입력 ······················································ 349

Part 4. 미래 예측과 시계열 분석 고급

18 로지스틱 곡선 ········································································································ 353
19 더미변수 회귀분석 ·································································································· 361

19.1 추세 없지만 계절성 있는 경우 ······································································ 363
19.2 추세와 계절성이 있는 경우 ··········································································· 371
19.3 더미변수 개입모형 ·························································································· 379

20 로그선형모형 ·········································································································· 387
20.1 자연로그 변환 후 회귀분석 ··········································································· 389
20.2 곡선추정 회귀분석의 지수 모형 ···································································· 393


21 스펙트럼 분석 ········································································································ 397
21.1 스펙트럼 분석 ································································································· 399
21.2 교차 스펙트럼 분석 ························································································ 411

22 다변량 시계열 분석 ································································································ 421
22.1 모형 탐색 ········································································································ 423
22.2 조건 입력 ········································································································ 431
22.2.1 엑셀에서 조건 계산 ·············································································· 431
22.2.2 SPSS에서 조건 계산 ·············································································· 432
22.3 미래 예측 ········································································································ 434

23 개입모형 ················································································································· 441
23.1 모형 탐색 ········································································································ 443
23.1 조건 입력 ········································································································ 454
23.1 미래 예측 ········································································································ 455

24 시나리오 비교 ········································································································ 461
24.1 모형 탐색 ········································································································ 463
24.2 조건 입력 ········································································································ 471
24.2.1 엑셀에서 조건 계산 ·············································································· 471
24.2.2 SPSS에서 시나리오 조건 만들기 ··························································· 473
24.3 시나리오 예측 ································································································· 475
24.4 시나리오 비교 및 의사결정 ··········································································· 478

25 상표 전환행렬 ········································································································ 481
25.1 교차분석 활용 상표 전환행렬 ········································································ 483
25.2 변수 코딩변경 ································································································· 491
25.3 장기 시장점유율 예측 ···················································································· 494
25.4 파레토 도표 활용 시장 특성 이해 ································································· 499


26 인공신경망 ·············································································································· 507
26.1 인공신경망 활용 시계열 분석 ········································································ 509
26.2 조건 입력 ········································································································ 518
26.2.1 Excel에서 계산 후 복사해서 붙여넣기 ················································· 519
26.2.2 SPSS에서 계산 ······················································································· 520
26.3 신경망에 의한 미래 예측 ··············································································· 522

27 횡단시계열 자료 분석 ···························································································· 527
28 시간종속 COX 회귀모형 ························································································· 543
29 몬테칼로 시뮬레이션 ······························································································ 559