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題名 含有外生變數(exogenous)之向量ARIMA模式分析與應用
作者 劉明得
貢獻者 吳柏林
劉明得
日期 1991
1990
上傳時間 2-May-2016 17:02:30 (UTC+8)
參考文獻 一、中文部份
     1. 觀光局，外國遊客調查報告，民國 75 年。
     2. 徐瑞玲，時間數列模型建立之各種分析方法的比較與實証研究，政大統計研究所，民國77 年
     3. 吳柏林、廖敏治，利用結婚率、人口成長率、出生率三指標之多變量模式來探討台灣地區未來人口總數，中央大學中國統計年會，民國80 年。
     
     二、英文部份:
     1. Akaike,H. (1974). A new look at statistical model identification.IEEE.transactions on automatic control .AC-19:716-723.
     2. Bartlett,M.S. (1966). An introduction to stochastic process with reference to methods and application, 2nd ed. Cambrige University Press,London.
     3. Box,G.E.P. and Jenkins,G.M. (1976). Time series analysis forecasting and control .Revised Yeh Yeh ,Taipei.
     4. Box,G.E.P. and Tiao,G.C . (1977). A canonical analysis of multiple time series .Biometrika.64:355-365.
     5 . Chatfield,C. (1979). Inverse autocorrelations. Jounal of the Royal Statistical Society,Ser,A.142:363-377
     6. Donna F. Stroup, Stephen B. Thacker and Joy L. Herndon. (1988) Application of multiple time series analysis to the es~imation of pneumonia and influenza mortality by age 1962-1983. Statistics in medicine,vol . 7,1045-1059.
     7 . Hannan, E . J.(1976). Review of multiple time series. SIAM Reviews.
     7. Hannan,E.J. (1976). Rev?iew of multiple time series SIAM Reviews. B. Heyse,J.F. and Wei,W.W.S.(19B5). Inverse and partial lag autocorrelation for` vector time series. ASA.Proceedings of Business and Economic Statistics Section.
     9. Hillmer,S.C. and Tiao,G.C. (1979). Likelihood function of stationary multiple autoregressive move average models. J.Amer.Statist.Assoc.74:652-660
     10. Hosking,J.R.M. (1980). The multivariate portmanteau statistic. Journal of The American Statistical Association.75:602-60B.
     11. Hosking,J.R.M. (1981). Equivalent forms of the multivariate portmanteau statistic. Journal of Royal Statistical Society.B.43:261-262.
     12. Kalman,R.E.and Bucy,R.S. (1961).New results in filtering and prediction prolems,T~ans.ASME.J.Basic Engrg. ,Series D,83,95-108.
     13. Li,W . K. and A.I . McLeod(19B1) . Oistribution of the residual autocorrelations in multivariate arma time series models. Journal of ` the Royal Statistical Society.B.43:231-239.
     14 . Nicholls,D.F. and Hall,A.D.(1979). The exact likelihood of multivariate autoregressive moving average models. Biometria.66:259-264.
     15 . Osbovn,D.R.(1977). Exact and approximate maximum likelihood estimators for vector moving average processes. Journal of the Royal Statistical Society ,Ser.B.39:114-11B.
     16 . Phadke,M.S . and Kedem,G. (197B) .Computation of the exact likelihood function of multivariate moving average models .Biometrika.65:515-519.
     17. Schwartz,G. (1978). Estimating the dimension of a model.Ann.Statist.6:461-464.
     18. Tiao,G . C. and Box,G.E.P. (19B1) . Modeling multiple time series with application.J.Amer.Statist.Assoc. 76:B02-B16. - BO -
     19. Tiao.G.C. and Tsay.R.S. (1983). Multiple time series modeling and extended sample cross-correlation - Journal of Business and Economic Statistics ,1.No.1:43-56.
     20. Tsay,R.S. and Tiao,G.C.(1982) .Consistent estimates of autoregressive parameters and extended sample autocorrelation funtions for stationary and nonstationary arma models ,Technical Report No:683 University of Wisconsin-Madison, Department of Statistics.
     21. Wi1son , G . T . ( 1 9 7 3 ). T he estimation of parameter in multivariate time series models. Journal of the Royal Statistical Society ,Ser.B.35:76-85.
     22. Wei, William W. S. (1990).Times series analysis univariate and multivariate methods. New York: Addison-Wesley.
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/#B2002005020
資料類型 thesis
dc.contributor.advisor 吳柏林zh_TW
dc.contributor.author (Authors) 劉明得zh_TW
dc.creator (作者) 劉明得zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:02:30 (UTC+8)-
dc.date.available 2-May-2016 17:02:30 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:02:30 (UTC+8)-
dc.identifier (Other Identifiers) B2002005020en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89634-
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
     第一節 前言--------------------1
     第二節 文獻回顧--------------------2
     第三節 論文結構--------------------4
     第二會 向量時間數列基本觀念與特性--------------------6
     第一節 前言--------------------6
     第二節 向量時間數列基本觀念--------------------6
     第三節 建立平穩向量時間數列之程序--------------------7
     第四節 向量時間數列特性分析--------------------8
     第三章 向曼時間數列模型之認定準則--------------------15
     第一節 前言--------------------15
     第二節 S C C M--------------------15
     第三節 P A (k) 與P (k) 之差異--------------------17
     第四節 ESCC 矩陣函數--------------------24
     第四章 實證分析--------------------30
     第一節 數列穩定性之確認--------------------31
     第二節 初步模型建立--------------------32
     第三節 模型之估計--------------------33
     第四節 模型之診斷檢定--------------------35
     第五節 與一最佳單變量時間數列比較配適程度--------------------35
     第六節 預測--------------------37
     第五章 結論與建議--------------------39
     附表--------------------41
     附圖--------------------74
     參考文獻--------------------79		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005020en_US
dc.title (題名) 含有外生變數(exogenous)之向量ARIMA模式分析與應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
     1. 觀光局，外國遊客調查報告，民國 75 年。
     2. 徐瑞玲，時間數列模型建立之各種分析方法的比較與實証研究，政大統計研究所，民國77 年
     3. 吳柏林、廖敏治，利用結婚率、人口成長率、出生率三指標之多變量模式來探討台灣地區未來人口總數，中央大學中國統計年會，民國80 年。
     
     二、英文部份:
     1. Akaike,H. (1974). A new look at statistical model identification.IEEE.transactions on automatic control .AC-19:716-723.
     2. Bartlett,M.S. (1966). An introduction to stochastic process with reference to methods and application, 2nd ed. Cambrige University Press,London.
     3. Box,G.E.P. and Jenkins,G.M. (1976). Time series analysis forecasting and control .Revised Yeh Yeh ,Taipei.
     4. Box,G.E.P. and Tiao,G.C . (1977). A canonical analysis of multiple time series .Biometrika.64:355-365.
     5 . Chatfield,C. (1979). Inverse autocorrelations. Jounal of the Royal Statistical Society,Ser,A.142:363-377
     6. Donna F. Stroup, Stephen B. Thacker and Joy L. Herndon. (1988) Application of multiple time series analysis to the es~imation of pneumonia and influenza mortality by age 1962-1983. Statistics in medicine,vol . 7,1045-1059.
     7 . Hannan, E . J.(1976). Review of multiple time series. SIAM Reviews.
     7. Hannan,E.J. (1976). Rev?iew of multiple time series SIAM Reviews. B. Heyse,J.F. and Wei,W.W.S.(19B5). Inverse and partial lag autocorrelation for` vector time series. ASA.Proceedings of Business and Economic Statistics Section.
     9. Hillmer,S.C. and Tiao,G.C. (1979). Likelihood function of stationary multiple autoregressive move average models. J.Amer.Statist.Assoc.74:652-660
     10. Hosking,J.R.M. (1980). The multivariate portmanteau statistic. Journal of The American Statistical Association.75:602-60B.
     11. Hosking,J.R.M. (1981). Equivalent forms of the multivariate portmanteau statistic. Journal of Royal Statistical Society.B.43:261-262.
     12. Kalman,R.E.and Bucy,R.S. (1961).New results in filtering and prediction prolems,T~ans.ASME.J.Basic Engrg. ,Series D,83,95-108.
     13. Li,W . K. and A.I . McLeod(19B1) . Oistribution of the residual autocorrelations in multivariate arma time series models. Journal of ` the Royal Statistical Society.B.43:231-239.
     14 . Nicholls,D.F. and Hall,A.D.(1979). The exact likelihood of multivariate autoregressive moving average models. Biometria.66:259-264.
     15 . Osbovn,D.R.(1977). Exact and approximate maximum likelihood estimators for vector moving average processes. Journal of the Royal Statistical Society ,Ser.B.39:114-11B.
     16 . Phadke,M.S . and Kedem,G. (197B) .Computation of the exact likelihood function of multivariate moving average models .Biometrika.65:515-519.
     17. Schwartz,G. (1978). Estimating the dimension of a model.Ann.Statist.6:461-464.
     18. Tiao,G . C. and Box,G.E.P. (19B1) . Modeling multiple time series with application.J.Amer.Statist.Assoc. 76:B02-B16. - BO -
     19. Tiao.G.C. and Tsay.R.S. (1983). Multiple time series modeling and extended sample cross-correlation - Journal of Business and Economic Statistics ,1.No.1:43-56.
     20. Tsay,R.S. and Tiao,G.C.(1982) .Consistent estimates of autoregressive parameters and extended sample autocorrelation funtions for stationary and nonstationary arma models ,Technical Report No:683 University of Wisconsin-Madison, Department of Statistics.
     21. Wi1son , G . T . ( 1 9 7 3 ). T he estimation of parameter in multivariate time series models. Journal of the Royal Statistical Society ,Ser.B.35:76-85.
     22. Wei, William W. S. (1990).Times series analysis univariate and multivariate methods. New York: Addison-Wesley.		zh_TW