政大學術集成


Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/76910


Title: 二元轉換模式建構新技術及其應用
New Approach on Bivariate Transfer Function Modeling and Its Applications
Authors: 曾封啟
Tseng, Feng Chi
Contributors: 吳柏林
Wu, Berlin
曾封啟
Tseng, Feng Chi
Keywords: 二元轉換模式
模式建構
軟運算
模糊統計
bivariate transfer function model
model-constructing
soft computing
fuzzy statistic
Date: 2015
Abstract: 一直以來,對如何預測的新技術的發展都是人們所感興趣的,常見的預測方法有移動平均、指數平滑以及 ARIMA 這幾種方法,但是這幾種預測方法解釋現象的能力並不強。本研究考慮應用轉換模式方法,利用二元轉換模式建構可以良好的解釋所預測時間數列起伏的因果關係。再來隨著模糊理論以及區間軟運算的技術開發,運用區間估計過程改良傳統點估計預測的不足。實際運用上更能給出較為彈性的決策空間。最後以日月光股價為例,透過轉換模式對實數值資料作模糊迴歸方法來找出模糊係數,藉此得到新的轉換模式,建構新轉換模式並與傳統轉換模式比較,探討此模式的準確性與效率性。
Stock market forecasting is an important realistic work in the financial engineering field. Generally, people use moving averages, exponential smoothing, and ARIMA to do the forecasting work. But those methods have their drawbacks, such as not efficient in the model construction or forecasting evaluation. In this research, we consider using the transfer function model to make a better and efficient forecasting work. Since the transfer function can satisfactorily explain the causation of the time series which we predicted. Moreover, with the fuzzy theories and soft computing mature, we can do an interval forecasting work for the interval time series. The proposed technique can meet the actual situation better and provided to decision-makers more flexibility of choice. In the empirical study, we can find that our model construction have a better efficient forecasting evaluation than the traditional ones. Through the transfer function to the real value data for fuzzy regression method to find the fuzzy coefficient.
1.前言 4
2.研究理論與方法 7
2.1 ARIMA模型 7
2.2 模糊迴歸 8
2.3 二元轉換模式 10
2.4 具模糊系數之二元轉換模式 11
2.5 新模式預測估計 12
3.實證分析 14
3.1 資料分析 14
3.2 建構具模糊係數轉換模式 18
3.3 預測結果與比較 22
4.結論與建議 25
5.參考文獻 26
Description: 碩士
國立政治大學
應用數學研究所
102751013
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102751013
Data Type: thesis
Appears in Collections:[Department of Mathematical Sciences] Theses

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