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題名 非高斯過程時間序列選模之研究
作者 林秀紅
LIN, XIU-HONG
貢獻者 鄭天澤
林秀紅
LIN, XIU-HONG
日期 1992
1991
上傳時間 2-May-2016 15:17:09 (UTC+8)
參考文獻 Akaike, H. (1974), "A New Look at the Statisitcal Model Identification", IEEE Transactions on Automatic Control, 19, 716-723.
     Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control, 2nd ed, San Francisco, Holden-Day.
     Box, G. E. P., and Pierce, D. A. (1970), "Distribution of Residual Autocorrelations in Autoregressive-Intergrated Moving Average Time Series Models," Journal of the Amercian Statistical Association, 65, 1509-1526.
     Hannan, E. J. (1980), "The Estimation of the Order of an ARMA Process," The Annals of Statistics, 8, 1071-1081.
     Hurvich, C. M., and Shumway, R., and Tsai, C. L. (1990), " Improved Estimation of Kullback-Leibler Information for Autoregressive Model Selection in Small Samples," Biometrika, 77, 709-719.
     Hurvich, C. M., and Tsai, C. L. (1989), "Regression and Time Series Model Selection in Small Samples," Biometrika, 76, 297-307.
     Hurvich, C. M., and Tsai, C. L. (1991), "Bias of the Corrected Ale Criterion for Underfitted Regression and Time Series Models," Biometrika, 79, 499-509.
     Gooijer, J. G. D., and Abraham, B., and Gould, and Roubinson, L. (1985), "Methods for Determining the Order of Autoregressive Moving Average Process: A Survey," International Statistics Review, 53, 301-329.
     Koreisha, S., and Pukkila, T. (1990a), "A Generalized Least-Squares Approach for Estimation of Autoregressive Moving-Average Models," Journal of Time Series Analysis, 11, 139- 151.
     Koreisha, S., and Pukkila, T. (1990b), "Linear Methods for Estimating ARMA and Regression Models with Serial Correlation," Communication in Statistical Simulation, 19(1), 71-102.
     Li, W. K., and McLeod, A. I. (1988), "ARMA Modelling with Non Gaussian Innovations," Journal of Time Series Analysis, 9, 155-167.
     O`Donovan, T. M. (1983), Short Tenn Forecasting: An Introduction to the Box-Jenkins Approach, New York, Wiley.
     Pukkila, T., and Koreisha, S., and Kallinen, A. (1990), "The identification of ARMA Models,"Biometrika, 77, 537-548.
     Pukkila, T. M., and Krishnaiah, P. R. (1988), "On the Use of Autoregressive Order Detennination Criteria in Univariate White Noise Tests," IEEE Transaction on Acoustics, Speech, and, Signal Processing, 36, 764-774.
     Schwarz, G. (1978), "Estimation the Dimension of A Model," The Annals of Statistics, 6, 461-464.
描述 碩士
國立政治大學
統計學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004644
資料類型 thesis
dc.contributor.advisor 鄭天澤zh_TW
dc.contributor.author (Authors) 林秀紅zh_TW
dc.contributor.author (Authors) LIN, XIU-HONGen_US
dc.creator (作者) 林秀紅zh_TW
dc.creator (作者) LIN, XIU-HONGen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 15:17:09 (UTC+8)-
dc.date.available 2-May-2016 15:17:09 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:17:09 (UTC+8)-
dc.identifier (Other Identifiers) B2002004644en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89233-
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.tableofcontents 第一章 緒論.................... 1
     1. 1 研究動機與目的.................... 1
     1. 2 文獻探討....................2
     第二章 PKK選模法.................... 5
     2.1 模型定義.................... 5
     2.2 PKK 選模步驟.................... 7
     2.3 一般化最小平方法....................9
     2.4 模型診斷....................13
     第三章 模擬結果與分析....................17
     3.1 摸擬過程....................17
     3.2 PKK 選模結果與分析.................... 18
     3.3 AIC &BIC 選模結果與分析....................25
     第四章 結論與後續研究.................... 28
     參考文獻.................... 41		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004644en_US
dc.title (題名) 非高斯過程時間序列選模之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Akaike, H. (1974), "A New Look at the Statisitcal Model Identification", IEEE Transactions on Automatic Control, 19, 716-723.
     Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control, 2nd ed, San Francisco, Holden-Day.
     Box, G. E. P., and Pierce, D. A. (1970), "Distribution of Residual Autocorrelations in Autoregressive-Intergrated Moving Average Time Series Models," Journal of the Amercian Statistical Association, 65, 1509-1526.
     Hannan, E. J. (1980), "The Estimation of the Order of an ARMA Process," The Annals of Statistics, 8, 1071-1081.
     Hurvich, C. M., and Shumway, R., and Tsai, C. L. (1990), " Improved Estimation of Kullback-Leibler Information for Autoregressive Model Selection in Small Samples," Biometrika, 77, 709-719.
     Hurvich, C. M., and Tsai, C. L. (1989), "Regression and Time Series Model Selection in Small Samples," Biometrika, 76, 297-307.
     Hurvich, C. M., and Tsai, C. L. (1991), "Bias of the Corrected Ale Criterion for Underfitted Regression and Time Series Models," Biometrika, 79, 499-509.
     Gooijer, J. G. D., and Abraham, B., and Gould, and Roubinson, L. (1985), "Methods for Determining the Order of Autoregressive Moving Average Process: A Survey," International Statistics Review, 53, 301-329.
     Koreisha, S., and Pukkila, T. (1990a), "A Generalized Least-Squares Approach for Estimation of Autoregressive Moving-Average Models," Journal of Time Series Analysis, 11, 139- 151.
     Koreisha, S., and Pukkila, T. (1990b), "Linear Methods for Estimating ARMA and Regression Models with Serial Correlation," Communication in Statistical Simulation, 19(1), 71-102.
     Li, W. K., and McLeod, A. I. (1988), "ARMA Modelling with Non Gaussian Innovations," Journal of Time Series Analysis, 9, 155-167.
     O`Donovan, T. M. (1983), Short Tenn Forecasting: An Introduction to the Box-Jenkins Approach, New York, Wiley.
     Pukkila, T., and Koreisha, S., and Kallinen, A. (1990), "The identification of ARMA Models,"Biometrika, 77, 537-548.
     Pukkila, T. M., and Krishnaiah, P. R. (1988), "On the Use of Autoregressive Order Detennination Criteria in Univariate White Noise Tests," IEEE Transaction on Acoustics, Speech, and, Signal Processing, 36, 764-774.
     Schwarz, G. (1978), "Estimation the Dimension of A Model," The Annals of Statistics, 6, 461-464.		zh_TW