Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/131106| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 吳柏林 | zh_TW |
| dc.contributor.advisor | Wu, Berlin | en_US |
| dc.contributor.author | 王治鈞 | zh_TW |
| dc.contributor.author | Wang, Jhih Jyun | en_US |
| dc.creator | 王治鈞 | zh_TW |
| dc.creator | Wang, Jhih Jyun | en_US |
| dc.date | 2019 | en_US |
| dc.date.accessioned | 2020-08-03T09:57:26Z | - |
| dc.date.available | 2020-08-03T09:57:26Z | - |
| dc.date.issued | 2020-08-03T09:57:26Z | - |
| dc.identifier | G0105751010 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/131106 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 應用數學系 | zh_TW |
| dc.description | 105751010 | zh_TW |
| dc.description.abstract | 研究目的: 探討含外生變數之時間數列門檻模式及其應用。 研究方法: 利用隱性變數找出模型之門檻值，並考慮系統內能變化修正預測。 研究發現: 含外生多變數之模糊時間數列門檻模式模型分析與預測。 研究創新: 提出以含外生多變數之門檻模式架構方法。 研究價值: 提出用模糊熵來做預測修正，增加預測之準確度。 研究結論: 本研究建構之模式，均優於傳統的模式分析與預測。 | zh_TW |
| dc.description.abstract | Research Objectives: Exploring the threshold model with exogenous variables and its application. Research Methods: Use implicit variables to find the threshold of the model, and consider the system internal energy change correction prediction. Research Findings: Analysis and Forecasting of threshold model of fuzzy time series with multivariate. Research Innovations: Proposing a threshold architecture method with multivariate. Research Value: Propose to use entropy to make prediction corrections and increase the accuracy of predictions. | en_US |
| dc.description.tableofcontents | 1. 前言 1\n2. 研究理論與方法 4\n2.1 含外生多變數之門檻自迴歸模型 4\n2.2 隱性變數的門檻設定 9\n2.3 模式的比較 11\n2.4 模式建構的程序 13\n2.5 預測的修正—應用熵進行優質預測 14\n3. 實證分析 15\n3.1 建立含外生變數之台股指數門檻模式 15\n3.2 預測與修正 23\n3.3 模型的效率性 27\n3.4 分析與討論 36\n4. 結論 37\n5. 參考文獻 38 | zh_TW |
| dc.format.extent | 1091907 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0105751010 | en_US |
| dc.subject | 外生多變數 | zh_TW |
| dc.subject | 時間數列 | zh_TW |
| dc.subject | 門檻模式 | zh_TW |
| dc.subject | 預測 | zh_TW |
| dc.subject | Exogenous variables | en_US |
| dc.subject | Time series | en_US |
| dc.subject | Threshold model | en_US |
| dc.subject | Forecasting | en_US |
| dc.title | 含外生多變數之時間數列門檻模式模型分析與預測 | zh_TW |
| dc.title | Constructing Threshold Model with Exogenous Variables and its Forecasting | en_US |
| dc.type | thesis | en_US |
| dc.relation.reference | [1]. 吳柏林(1995) 時間數列分析導論。台北：華泰書局。\n[2]. 吳柏林 (2005) 模糊統計導論, 方法與應用. 台北：五南書局\n[3]. 楊奕農(2009) 時間序列分析：經濟與財務上之應用。台北，雙葉書廊。\n[4]. Kumar K and Wu B (2001). Detection of change points in time series analysis with fuzzy statistics, International Journal of Systems Science, Vol.32, No.9, pp1185-1192.\n[5]. Hansen, Bruce E. (1999). Testing for Linearity, Journal of Economic Surveys, Vol.13, No.5, pp551-576.\n[6]. Tong H. and Lim K. S. (1980), Threshold Autoregressive, Limit Cycles and Cyclical Data (with Discussion), Journal of the Royal Statistical Society. Series B, Vol.42, No.3, pp245-292.\n[7]. Subba Rao T. and Gabr M. (1980). A test for linearity of stationary time series analysis, Journal of Time Series Analysis , Vol.1, No.1, pp145-158.\n[8]. Haggan V. and Ozaki T. (1980). Amplitude-dependent Exponential AR Model Fitting for Non-linear Random Vibrations, in Time Series, (O. D. Anderson ed.), North-Holland, Amsterdam.\n[9]. Bai Jushan and Pierre Perron (2003). Computation and Analysis of Multiple Structural-Change Models, Journal of Applied Econometrics, Vol.18, No.1, pp1–22.\n[10]. Zhou H. D. (2005). Nonlinearity or structural break? - data mining in evolving financial data sets from a Bayesian model combination perspective, Proceedings of the 38th Hawaii International Conference on System Sciences\n[11]. Tsay Ruey S. (1989). Testing and Modeling Threshold Autoregressive Processes, Journal of the American Statistical Association, Vol.84, No.405, pp231-240.\n[12]. Hansen, Bruce E. (1999). Testing for Linearity, Journal of Economic Surveys, Vol.13, No.5, pp551-576..\n[13]. Chia-Lin Chang (2009). A Panel Threshold Model of Tourism Specialization and Economic Development, International Journal of Intelligent Technologies and Applied Statistics, pp. 159-186\n[14]. Qunyong Wang (2015). Fixed-effect panel threshold model using Stata, The Stata Journal (2015) 15, Number 1, pp. 121-134\n[15]. Henk A Tennekes (2016). A Critical Appraisal of the Threshold of Toxicity Model for NonCarcinogens, Journal of r uoJ Environmental & Analytical Toxicology\n[16]. Arastoo Bozorgi (2016). A community-based algorithm for influence maximization problem under the linear threshold model, Information Processing & Management Vol.52, Issue 6, November 2016, pp1188-1199\n[17]. Klaus K.Holst (2016). The liability threshold model for censored twin data, Computational Statistics & Data Analysis, Vol.93, January 2016, pp324-335 | zh_TW |
| dc.identifier.doi | 10.6814/NCCU202000969 | en_US |
| item.fulltext | With Fulltext | - |
| item.openairetype | thesis | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.grantfulltext | embargo_20250720 | - |
| item.cerifentitytype | Publications | - |
| Appears in Collections: | 學位論文 | |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 101001.pdf | 1.07 MB | Adobe PDF2 | View/Open |
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