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題名 類神經網路與結構性時間數列之比較與研究
The comparison and reaserch between artifical neural network and structural time series作者 陳振鈞
Chen, Jenn Jiun貢獻者 毛維凌
Mao, Wei Ling
陳振鈞
Chen, Jenn Jiun關鍵詞 狀態空間
卡門濾器
處理單元
結構性時間數列
倒傳遞神經網路
state space
kalman filter
processing element
artifical neural network日期 1993 上傳時間 29-Apr-2016 16:30:12 (UTC+8) 摘要 長久以來,人類在萬物中獨具的高智慧特質吸引了無數的哲學家和科學家 參考文獻 吳柏林、賴家瑞、劉勇衫，台灣地區外籍觀光旅客意願分析與預測模式，民國八十一年葉怡成，類神經網路模式應用與質作，儒林圖書，民國八十二年元月焦成李，神經網路系統必z 論， 儒林圖書，民國八十年十月Diebold,F.X.(l989),"SLructural Time Series Analysis and iVfodelling :Package A Review", Journal 0/ Applied Econometrics, vo1.4,PP195-204.Harvey,A.C.and S.Peters(1990),"Estimation Procedures for structuralTime series lvIoclels" ,Journal of Forecasling,vo\\.9 ,PP89-108.Harvey,A.C.(19S9), `TorccasLing,structural Times series models andthe Kalman Filter" ,Cambridge University Press,Cambridge.Harvey,A.C.(1981), "Times Series moclcls",oxforcl : Phillip Allan andAtlantic Highlancls,NJ : Ilum(lntics Press.Harvey,A.C.(1990), "The Econometric Anlysis of Time Series" ,Journalof Forecasting,voI.9,PPS9-108.Harvey,A.C.(l984), "A Unified View of ststistical forecasting Proce-dures ",Journal of FOl`ccasting,3,PP245-2S3.I-Iarvey,A.C.(19S5), "Trends and Cycles in Macroeconomic Times series",Journal of Bllssincss and Economic Slalistics,3,PP21G-227.Harvey,A.C. and J.Durbin(1986), "The effects of scat Belt Legislationon British Roael Casualties: A case study in structural series J\\tfodelling",Journal of The Royal Statistical socicty}series A ,PP187-227.I-Iarvey,A .C.,Hcnry B.,Pcters,S and S wren-Lewis(1986), "StochasticTrends in Dynamic Regression ~` [oclels : ;\\ n Application to The empolymentoutputequation" , Eco/l.omic JO -llrnal,9G,PP975-985.Kitagawa,G and W Gersch( 198`1)," A Smoothness Priors-State SpaceModelling of Time series with Trend ancl seasonality", JouTnal of theAmerican Statistical !lssocialion,79,PP:378-389.Freeman,J.A. and Skapura,D .M.(1991 )," Neural Networks-A Igorithms,Applications,and Programming Techniques" ,Addison `-\\fesley.vVeigencl,A.S.,llumclhart,D.E. and Huberman,B.A.( -) "Back-Propagation,vVeight-Elimination and Time Series Prediction".Harvey,A.C. anel Toclel,P.(1983),`Torecasting economic Time Series withStructural and Box-Jenkins Models: ;\\ Case study" ,Journal of Bussinessand Economic Slnlistics,PP299-:315.Chatfield, C. ( 1987), "The lTol t- Wintel`S Porccasti ng Proceciure", AppliedStatistics, 2 7, P P2G•I-:279.Brown,R.G.(1963),”Smoothing ,Forecasting and Prediction”, Englewood Cliffs: Prentice Hall.Maravall,A.(1985),”On Structural Time Series Models and The Characterization of Components”, Journal of Business and Economic Statistics3(4), pp350-55.William H.G.(1991),”Econometric Analysis”,Maxwell Machillan.Makridakis,S.,Andersen,A.,Carbone,R.,Fildes,R.,Hibun,M.,Lewandowski,R.,Newton,J.,Parzon,E. and Winter,R.(1982), “The Accuracy of Extrapolation(time Series)Methods: Result of Forecasting Competition”, Journal of Forecasting ,PP111-153.Judge,G.G.,Hill,R.C.,Griffiths, W.E.,Lutkepohl,H. and Lee ,T.C.(1988),”Introduction to The Theory and Practice of Econometrics”, Wie,Wiley. 描述 碩士
國立政治大學
經濟學系
80258017資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004217 資料類型 thesis dc.contributor.advisor 毛維凌 zh_TW dc.contributor.advisor Mao, Wei Ling en_US dc.contributor.author (Authors) 陳振鈞 zh_TW dc.contributor.author (Authors) Chen, Jenn Jiun en_US dc.creator (作者) 陳振鈞 zh_TW dc.creator (作者) Chen, Jenn Jiun en_US dc.date (日期) 1993 en_US dc.date.accessioned 29-Apr-2016 16:30:12 (UTC+8) - dc.date.available 29-Apr-2016 16:30:12 (UTC+8) - dc.date.issued (上傳時間) 29-Apr-2016 16:30:12 (UTC+8) - dc.identifier (Other Identifiers) B2002004217 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88683 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 80258017 zh_TW dc.description.abstract (摘要) 長久以來,人類在萬物中獨具的高智慧特質吸引了無數的哲學家和科學家 zh_TW dc.description.tableofcontents 第一章 緒論 21.1 研究動機與目的……………………………………………………………………………………..2 2.2 論文研究大綱…………….…………………………………………………………………………..3第二章 類神經網路模型 4 2.1 前言………………………………………………………………………………………………………….4 2.2 類神經網路的基本架構……………………………………………………………………….....6 2.3 感知機網路模型…………………………………………………………………………………….11 2.4 倒傳遞神經網路模型……………………………………………………………………………..13第三章 結構性時間數列模型 19 3.1 前言………………………………………………….…………………………………………………….19 3.2 指數加權移動及Holt-Winters預測程序………………………………………………..19 3.3 狀態空間模型和卡門濾器……………………………………………………………………..22 3.4 結構性時間數列模型……………………………………………………………………………..26 3.5 結構性時間數列模型的估計與預測………………………………………………………28第四章 實證結果之分析 36 4.1 資料來源與研究方法……………………………………………………………………………..36 4.2 類神經網路模型之實証分析………………………………………………………………….37 4.3 結構性時間數列模型之實證分析………………………………………………………….42 4.4 類神經網路模型與結構性時間數列模型實証結果之比較……………………56第五章 結論與建議 58 5.1 結論..……………………………………………………………………………………………………..58 5.2 建議..……………………………………………………………………………………………………..58 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004217 en_US dc.subject (關鍵詞) 狀態空間 zh_TW dc.subject (關鍵詞) 卡門濾器 zh_TW dc.subject (關鍵詞) 處理單元 zh_TW dc.subject (關鍵詞) 結構性時間數列 zh_TW dc.subject (關鍵詞) 倒傳遞神經網路 zh_TW dc.subject (關鍵詞) state space en_US dc.subject (關鍵詞) kalman filter en_US dc.subject (關鍵詞) processing element en_US dc.subject (關鍵詞) artifical neural network en_US dc.title (題名) 類神經網路與結構性時間數列之比較與研究 zh_TW dc.title (題名) The comparison and reaserch between artifical neural network and structural time series en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 吳柏林、賴家瑞、劉勇衫，台灣地區外籍觀光旅客意願分析與預測模式，民國八十一年葉怡成，類神經網路模式應用與質作，儒林圖書，民國八十二年元月焦成李，神經網路系統必z 論， 儒林圖書，民國八十年十月Diebold,F.X.(l989),"SLructural Time Series Analysis and iVfodelling :Package A Review", Journal 0/ Applied Econometrics, vo1.4,PP195-204.Harvey,A.C.and S.Peters(1990),"Estimation Procedures for structuralTime series lvIoclels" ,Journal of Forecasling,vo\\.9 ,PP89-108.Harvey,A.C.(19S9), `TorccasLing,structural Times series models andthe Kalman Filter" ,Cambridge University Press,Cambridge.Harvey,A.C.(1981), "Times Series moclcls",oxforcl : Phillip Allan andAtlantic Highlancls,NJ : Ilum(lntics Press.Harvey,A.C.(1990), "The Econometric Anlysis of Time Series" ,Journalof Forecasting,voI.9,PPS9-108.Harvey,A.C.(l984), "A Unified View of ststistical forecasting Proce-dures ",Journal of FOl`ccasting,3,PP245-2S3.I-Iarvey,A.C.(19S5), "Trends and Cycles in Macroeconomic Times series",Journal of Bllssincss and Economic Slalistics,3,PP21G-227.Harvey,A.C. and J.Durbin(1986), "The effects of scat Belt Legislationon British Roael Casualties: A case study in structural series J\\tfodelling",Journal of The Royal Statistical socicty}series A ,PP187-227.I-Iarvey,A .C.,Hcnry B.,Pcters,S and S wren-Lewis(1986), "StochasticTrends in Dynamic Regression ~` [oclels : ;\\ n Application to The empolymentoutputequation" , Eco/l.omic JO -llrnal,9G,PP975-985.Kitagawa,G and W Gersch( 198`1)," A Smoothness Priors-State SpaceModelling of Time series with Trend ancl seasonality", JouTnal of theAmerican Statistical !lssocialion,79,PP:378-389.Freeman,J.A. and Skapura,D .M.(1991 )," Neural Networks-A Igorithms,Applications,and Programming Techniques" ,Addison `-\\fesley.vVeigencl,A.S.,llumclhart,D.E. and Huberman,B.A.( -) "Back-Propagation,vVeight-Elimination and Time Series Prediction".Harvey,A.C. anel Toclel,P.(1983),`Torecasting economic Time Series withStructural and Box-Jenkins Models: ;\\ Case study" ,Journal of Bussinessand Economic Slnlistics,PP299-:315.Chatfield, C. ( 1987), "The lTol t- Wintel`S Porccasti ng Proceciure", AppliedStatistics, 2 7, P P2G•I-:279.Brown,R.G.(1963),”Smoothing ,Forecasting and Prediction”, Englewood Cliffs: Prentice Hall.Maravall,A.(1985),”On Structural Time Series Models and The Characterization of Components”, Journal of Business and Economic Statistics3(4), pp350-55.William H.G.(1991),”Econometric Analysis”,Maxwell Machillan.Makridakis,S.,Andersen,A.,Carbone,R.,Fildes,R.,Hibun,M.,Lewandowski,R.,Newton,J.,Parzon,E. and Winter,R.(1982), “The Accuracy of Extrapolation(time Series)Methods: Result of Forecasting Competition”, Journal of Forecasting ,PP111-153.Judge,G.G.,Hill,R.C.,Griffiths, W.E.,Lutkepohl,H. and Lee ,T.C.(1988),”Introduction to The Theory and Practice of Econometrics”, Wie,Wiley. zh_TW
