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題名 結構性改變ARIMA模式的建立與應用
Structural Change ARIMA Modeling and Application
作者 曾淑惠
Tseng, Shuhui
貢獻者 吳柏林
Wu, Berlin
曾淑惠
Tseng, Shuhui
關鍵詞 非線性
轉型期
轉捩點
結構性改變ARIMA模式
nonlinear
change period
change point
structural change ARIMA model
日期 1993
上傳時間 29-Apr-2016 16:44:12 (UTC+8)
摘要 近年來，非線性時間數列分析是一個快速發展的課題，其中最為人所矚目
     的是門檻模式。從過去許多文獻得知，一個簡單門檻模式對於某些型態時
     間數列的描述，如結構性改變的行為趨勢，比一般線性ARMA模式更能解釋
     實際情況。在本篇論文中，我們將討論有關門檻模式及結構性改變分析的
     問題。對於模式的建立，我們提出一個轉型期的觀念，替代傳統尋求一個
     轉捩點的方法，進而提出一個結構性改變ARIMA模式有效建立的程序。最
     後，我們以台灣出生率當作應用分析的範例，並且利用建立的結構性改變
     ARIMA模式，及其他傳統門檻TAR模式，傳統線性分析方法等進行預測分析
     及比較。
Non-linear time series analysis is a rapidly developing subject
參考文獻 內政部人口政策委員會(1992) 人口資料彙集.
     行政院主計處(1971-1992) 中華氏國統計月報.
     蔡宏進(1990) 壹灣地區人口成長推計與未來人口政策推行之展望.
     臺北:巨流圖書公司.
     吳柏林、廖敏治(1991) 臺灣地區結婚率、出生率、人口成長率的時
     問數列模式探討, 人口學刊, 第十四期, 頁109-132.
     李美玲、王德睦、陳寬政(1993) 臺灣人口轉型後的人口政策與社會
     政策, 人口與發展學街研討會論文集.
     
     
     Box, G. E. P. and Tiao, G. C. (1975), Intervention analysis with applications to economic and environmental proble111S, J o`urnal of the A mer`ican Statistical Association, Vol. 70, No. 349, 70-79.
     Broelneling, L. D. and Tsurumi, H. (1987), Eco`nometrics and structural change, marcel Dekker Inc.
     Brown, R. L. Durbin, J. and Evans, .1. IvI. (1975), Techniques for testing the constancy of regression relationships over ti111e, Journal of the Royal
     Statistical Society, Series B, Vol. 37, 149-197.
     Carter, L. R. and Lee, R. D. (1986), Joint forecasting of U.S. rnartial fertility birth, and marriages using tinle series model, J o`urnal of the American
     Statistical Association, Vol. Vol. 81,902-911.
     Donovan,T.M. (1983),Short term forecasting : an introduction to the Box-Jenkins approach, John Wiley and Sons Ltd.
     Davies N. Pemberton J. and Petruccelli J.D.(1988),An automatic procedure for identification, estimation and forecasting univariate self-exciting threshold autoregressive models, The Statistician,Vol.37, 199-204.
     De Gooiler,J.G. and Kuldeep k. (1992), Some recent developments in nonlinear time series modeling,testing , and forecasting,International Journal of Forecasting , Vol.8,135-156.
     Ferrer, A.F. and Hoyo,J.D. (1991), Analysis and prediction of the population in Spain:1910-2000, Journal of Forecasting, Vol. 10, 347-369.
     Haines,L.M.Munoz,W.p. and Vav Gelderen,C.J.(1989), ARIMA modeling of birth data, Journal of Applied Statistics, Vol. 16, No.1, 55-67.
     Hauser, J.A.(1992), Population,ecology and the new economics, guidelines for a steady-state economy, Futures,May,364-387.
     Holbert,D. (1982),A Bayesian analysis of a switching linear model, Journal of Econometrics, Vol.19, 77-88.
     Ploberger, W.Kramer,W. and Kontrus, K.(1989), A new test for structural stability in the linear regression model. Journal of Econometrics, Vol.40,307-318.
     Priestley,M.B.(1988),Non-linear and non-stationary time series analysis, Academic press, Harcourt Brace Jovanovich, Publishers.
     Petruccelli, J. D. (1990), A comparison of tests for SETAR-type non-linearity
     in time series, Journal of Forecasting, Vol. 9, 25-36.
     Roberts, G. R. (1988), Use of time-series methods in the preparation of quarterly
     estimates of vital events, The Canadian J o`urnal of Statistics, Vol.
     16, 75-82.
     Shaban S. A. (1980), Change point problem and two-phase regression: an
     annotated bibligraphy, International Statistical Review, Vol. 48, 83-93.
     Tong, H. (1983), Threshold models in non-linear time series analysis, SpringerVerlag,
     New York.
     Tsay, R. S. (1986), Nonlinearity tests for time series, Biometrika, Vol. 73,
     No.2. 461-466.
     Tsay, R. S. (1988), Outliers, level shifts, and variance changes in tinle serise,
     Jo`urnal of Forecasting, Vol. 7, 1-20.
     Tsay, R. S. (1989), Testing and modeling threshold autoregressive proc(~sses)
     Journal of the American Statistical Association, Vol. 84~ 231-240.
     Watier L. and fuchardson S. (1991), A t.ime series construction of an alert
     threshold with application to S. Bovismorbificans in France j Statistics
     in Medicine, Vol. 10, 1493-1509.
     Wei, W. W. S. (1990); Time series analysis) `univariate and `multi`variate
     methods, Redwood City: Addison-Wesley.
描述 碩士
國立政治大學
統計學系
G80354018
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004202
資料類型 thesis
dc.contributor.advisor 吳柏林zh_TW
dc.contributor.advisor Wu, Berlinen_US
dc.contributor.author (Authors) 曾淑惠zh_TW
dc.contributor.author (Authors) Tseng, Shuhuien_US
dc.creator (作者) 曾淑惠zh_TW
dc.creator (作者) Tseng, Shuhuien_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:44:12 (UTC+8)-
dc.date.available 29-Apr-2016 16:44:12 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:44:12 (UTC+8)-
dc.identifier (Other Identifiers) B2002004202en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89027-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 統計學系zh_TW
dc.description (描述) G80354018zh_TW
dc.description.abstract (摘要) 近年來，非線性時間數列分析是一個快速發展的課題，其中最為人所矚目
     的是門檻模式。從過去許多文獻得知，一個簡單門檻模式對於某些型態時
     間數列的描述，如結構性改變的行為趨勢，比一般線性ARMA模式更能解釋
     實際情況。在本篇論文中，我們將討論有關門檻模式及結構性改變分析的
     問題。對於模式的建立，我們提出一個轉型期的觀念，替代傳統尋求一個
     轉捩點的方法，進而提出一個結構性改變ARIMA模式有效建立的程序。最
     後，我們以台灣出生率當作應用分析的範例，並且利用建立的結構性改變
     ARIMA模式，及其他傳統門檻TAR模式，傳統線性分析方法等進行預測分析
     及比較。		zh_TW
dc.description.abstract (摘要) Non-linear time series analysis is a rapidly developing subjecten_US
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004202en_US
dc.subject (關鍵詞) 非線性zh_TW
dc.subject (關鍵詞) 轉型期zh_TW
dc.subject (關鍵詞) 轉捩點zh_TW
dc.subject (關鍵詞) 結構性改變ARIMA模式zh_TW
dc.subject (關鍵詞) nonlinearen_US
dc.subject (關鍵詞) change perioden_US
dc.subject (關鍵詞) change pointen_US
dc.subject (關鍵詞) structural change ARIMA modelen_US
dc.title (題名) 結構性改變ARIMA模式的建立與應用zh_TW
dc.title (題名) Structural Change ARIMA Modeling and Applicationen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 內政部人口政策委員會(1992) 人口資料彙集.
     行政院主計處(1971-1992) 中華氏國統計月報.
     蔡宏進(1990) 壹灣地區人口成長推計與未來人口政策推行之展望.
     臺北:巨流圖書公司.
     吳柏林、廖敏治(1991) 臺灣地區結婚率、出生率、人口成長率的時
     問數列模式探討, 人口學刊, 第十四期, 頁109-132.
     李美玲、王德睦、陳寬政(1993) 臺灣人口轉型後的人口政策與社會
     政策, 人口與發展學街研討會論文集.
     
     
     Box, G. E. P. and Tiao, G. C. (1975), Intervention analysis with applications to economic and environmental proble111S, J o`urnal of the A mer`ican Statistical Association, Vol. 70, No. 349, 70-79.
     Broelneling, L. D. and Tsurumi, H. (1987), Eco`nometrics and structural change, marcel Dekker Inc.
     Brown, R. L. Durbin, J. and Evans, .1. IvI. (1975), Techniques for testing the constancy of regression relationships over ti111e, Journal of the Royal
     Statistical Society, Series B, Vol. 37, 149-197.
     Carter, L. R. and Lee, R. D. (1986), Joint forecasting of U.S. rnartial fertility birth, and marriages using tinle series model, J o`urnal of the American
     Statistical Association, Vol. Vol. 81,902-911.
     Donovan,T.M. (1983),Short term forecasting : an introduction to the Box-Jenkins approach, John Wiley and Sons Ltd.
     Davies N. Pemberton J. and Petruccelli J.D.(1988),An automatic procedure for identification, estimation and forecasting univariate self-exciting threshold autoregressive models, The Statistician,Vol.37, 199-204.
     De Gooiler,J.G. and Kuldeep k. (1992), Some recent developments in nonlinear time series modeling,testing , and forecasting,International Journal of Forecasting , Vol.8,135-156.
     Ferrer, A.F. and Hoyo,J.D. (1991), Analysis and prediction of the population in Spain:1910-2000, Journal of Forecasting, Vol. 10, 347-369.
     Haines,L.M.Munoz,W.p. and Vav Gelderen,C.J.(1989), ARIMA modeling of birth data, Journal of Applied Statistics, Vol. 16, No.1, 55-67.
     Hauser, J.A.(1992), Population,ecology and the new economics, guidelines for a steady-state economy, Futures,May,364-387.
     Holbert,D. (1982),A Bayesian analysis of a switching linear model, Journal of Econometrics, Vol.19, 77-88.
     Ploberger, W.Kramer,W. and Kontrus, K.(1989), A new test for structural stability in the linear regression model. Journal of Econometrics, Vol.40,307-318.
     Priestley,M.B.(1988),Non-linear and non-stationary time series analysis, Academic press, Harcourt Brace Jovanovich, Publishers.
     Petruccelli, J. D. (1990), A comparison of tests for SETAR-type non-linearity
     in time series, Journal of Forecasting, Vol. 9, 25-36.
     Roberts, G. R. (1988), Use of time-series methods in the preparation of quarterly
     estimates of vital events, The Canadian J o`urnal of Statistics, Vol.
     16, 75-82.
     Shaban S. A. (1980), Change point problem and two-phase regression: an
     annotated bibligraphy, International Statistical Review, Vol. 48, 83-93.
     Tong, H. (1983), Threshold models in non-linear time series analysis, SpringerVerlag,
     New York.
     Tsay, R. S. (1986), Nonlinearity tests for time series, Biometrika, Vol. 73,
     No.2. 461-466.
     Tsay, R. S. (1988), Outliers, level shifts, and variance changes in tinle serise,
     Jo`urnal of Forecasting, Vol. 7, 1-20.
     Tsay, R. S. (1989), Testing and modeling threshold autoregressive proc(~sses)
     Journal of the American Statistical Association, Vol. 84~ 231-240.
     Watier L. and fuchardson S. (1991), A t.ime series construction of an alert
     threshold with application to S. Bovismorbificans in France j Statistics
     in Medicine, Vol. 10, 1493-1509.
     Wei, W. W. S. (1990); Time series analysis) `univariate and `multi`variate
     methods, Redwood City: Addison-Wesley.		zh_TW