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題名 時間數列模型建立之各種分析方法的比較與實證研究
作者 徐瑞玲
貢獻者 葉小蓁
徐瑞玲
日期 1988
上傳時間 4-五月-2016 14:24:55 (UTC+8)
參考文獻 參考書目
     一、中文部分
     1.林茂文:時間數列分析與預測，華泰書局。
     2.朱健萍碩士論文:時間數列模型建立分析應用之研究，政大統計研究所。
     
     二、英文部分
     l. Akaike,H.(l974):" A new look at statistical model identification ," IEEE Transactions on Automatic control, AC-19,716-723.
     2. Begnin,J. M., Gourieroux, C., and Monfort, A.(l980) : "identification of a mixed Autoregressive-Moving Average Process : The corner method, in "Time? Series", ed, O. D. Anderson, Amsterdam: North-Holland, 423-436.
     3. Box , G. E . P., and Cox ,D. R. (l964):"An analysis of transformations," Journal of Royal Statistical Society, B26,2ll.
     4. Box, G. E. P., and Jenkins, G . M. (l976):"Time Series Analysis, Forecasting Control? Revised Edition,雙葉書局，台北。
     5. Box , G. E. P. , and Tiao, G. C. (1977) : " A Canonical analysis of multiple thme series ," Biometrika,64,2,p. 355-365.
     6. Chang, I., and Tiao,G. C. (l983):"Estimation of Time Series Parameters in the Presence of Outliers, "Technical Report 8,University of Chicago, Statistics Research Center.
     7. Chatfield, C. (l979):"Inverse Autocorrelations," Journal of the Royal statistical Society,Ser. A, 142,363-377.
     8. Cryer, J. D. (l987):Time Series Analysis.智邦書局，台北。
     9. Davies, N.,and Petruccelli, J. D.(l984):"On the Use of the General Partial Autocorrelation Function for Order Determination in ARMA(p,q) Processes," JASA, Vol.79,No.386,374-377.
     10. Durbin,J. (l959):"Efficient Estimation of Parameters in Moving Average models,"Biometrika,46, 306-316.
     11. Fox,A. J. (l972):"0utliers in Time Series," Journal of the Royal statistical Society,Ser.B,34,350-363.
     12. Gray,H. L., Kelly,G. D., and Mcintire. D. D. (l978):"A new approach to ARMA modeling," Communications in Statistics, B7, 1-77.
     13. Guttman, I.,and Tiao,G. C. (l978):" Effect of Correlation on the Estimation of a Mean in the Presence of Spurious Observations," Canadian Journal of Statistics,6,229-247.
     14. Kashyap,R. L. (l980):"Inconsistency of the AIC rule for Estimating the order of Autoregressive Models," IEEE Transactions on Automatic Con trol,AC-25,996-998.
     15. Nelson,C. R. ( l972 ) :" Applied Time Series Analysis For Managerial Forecasting", 華泰書局，台北。
     16. Neftce,S. N. (l982):"Specification of Economic Time Series Models Using Akaike`s Criterion," JASA,Vol.77, No.379,537-540.
     17. Schwarz,G. (l978):" Estimating the Dimension of a Model, "Annals of Statistics,6,461-464.
     18. Tiao ,G. C., and Box,G. E. P. (l98l):"Modeling multiple time series with applications," JASA,Vol. 76,No.376, 802-816.
     19. Tiao,G. C. ,and Tsay,R. S.(l983):"Multiple time series modeling and ex tended sample cross-correlations," Journal of Business & Economic Statistics, Vol. l, No. 1,43-56.
     20. Tsay,R. S. , and Tiao,G. C. (l984):" Consistent estimates of Autoregressive Parameters and Extended Sample Autocorrelation Functions for Stationary and Nonstationary ARMA
     Models,"JASA,79,84-96.
     21. Tsay,R. S., and Tiao,G. C. (l985):"Use of Canonical Analysis in Time Series model identification,"Biometrika,72,2, 299-315.
     22. Tsay ,R. S. ( l986 ) :"Time Series Model Specification in the Presence of Outliers, " JASA, Vol. 81, No. 393, 132-141.
     23. Tsay ,R. S. ,and Tiao,G. C. (l987 ):"Model specification in multivariate time series , "Technical Report # 407 , Department of Statistics Carnegie-Mellon University.
     24. Vandaele,W. (l983):Applied Time Series and Box-Jenkins Models, 雙葉書局，台北。
     25. Woodward, W. A.,and Gray,H. L. ( l98l ): "On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification," JASA, Vol. 36 , No.375, 579-587.
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/#B2002005740
資料類型 thesis
dc.contributor.advisor 葉小蓁zh_TW
dc.contributor.author (作者) 徐瑞玲zh_TW
dc.creator (作者) 徐瑞玲zh_TW
dc.date (日期) 1988en_US
dc.date.accessioned 4-五月-2016 14:24:55 (UTC+8)-
dc.date.available 4-五月-2016 14:24:55 (UTC+8)-
dc.date.issued (上傳時間) 4-五月-2016 14:24:55 (UTC+8)-
dc.identifier (其他 識別碼) B2002005740en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90506-
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 目錄
     第一章 緒論………1
     第一節 研究動機與目的………1
     第二節 文獻回顧………3
     第三節 本文結構………7
     第四節 研究限制………8
     第五節 研究貢獻………8
     第二章 ESACF初步模型鑑定方法………10
     第一節 前言………10
     第二節 遞迴自我迴歸過程………11
     第三節 遞迴AR參數估計性質的探討………15
     第四節 ESACF的定義與性質探討………21
     第五節 模型的初步鑑定………26
     第三章 正規分析應用於初步模型的鑑定………31
     第一節 前言………31
     第二節 平穩ARMA模型之正規分析………32
     第三節 非平穩ARMA模型之正規分析………38
     第四節 理論探討與證現………41
     第五節 (p、q)階數的鑑定………47
     第四章 異常點存在下的模型鑑定………51
     第一節 前言………51
     第二節 異常點的偵測和型態的決定………53
     第三節 模型鑑定的程序………58
     第四節 討論………62
     第五章 模型建立之實證分析………64
     第一節 模型鑑定………65
     第二節 模型估計………67
     第三節 診斷檢定………71
     第四節 模擬分析………76
     第五節 異常點之鑑定………77
     第六節 最適模型的決定………81
     第七節 預測………83
     第六章 結論………88
     附表和附圖………90
     附錄(一) ………138
     參考書目………140		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005740en_US
dc.title (題名) 時間數列模型建立之各種分析方法的比較與實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目
     一、中文部分
     1.林茂文:時間數列分析與預測，華泰書局。
     2.朱健萍碩士論文:時間數列模型建立分析應用之研究，政大統計研究所。
     
     二、英文部分
     l. Akaike,H.(l974):" A new look at statistical model identification ," IEEE Transactions on Automatic control, AC-19,716-723.
     2. Begnin,J. M., Gourieroux, C., and Monfort, A.(l980) : "identification of a mixed Autoregressive-Moving Average Process : The corner method, in "Time? Series", ed, O. D. Anderson, Amsterdam: North-Holland, 423-436.
     3. Box , G. E . P., and Cox ,D. R. (l964):"An analysis of transformations," Journal of Royal Statistical Society, B26,2ll.
     4. Box, G. E. P., and Jenkins, G . M. (l976):"Time Series Analysis, Forecasting Control? Revised Edition,雙葉書局，台北。
     5. Box , G. E. P. , and Tiao, G. C. (1977) : " A Canonical analysis of multiple thme series ," Biometrika,64,2,p. 355-365.
     6. Chang, I., and Tiao,G. C. (l983):"Estimation of Time Series Parameters in the Presence of Outliers, "Technical Report 8,University of Chicago, Statistics Research Center.
     7. Chatfield, C. (l979):"Inverse Autocorrelations," Journal of the Royal statistical Society,Ser. A, 142,363-377.
     8. Cryer, J. D. (l987):Time Series Analysis.智邦書局，台北。
     9. Davies, N.,and Petruccelli, J. D.(l984):"On the Use of the General Partial Autocorrelation Function for Order Determination in ARMA(p,q) Processes," JASA, Vol.79,No.386,374-377.
     10. Durbin,J. (l959):"Efficient Estimation of Parameters in Moving Average models,"Biometrika,46, 306-316.
     11. Fox,A. J. (l972):"0utliers in Time Series," Journal of the Royal statistical Society,Ser.B,34,350-363.
     12. Gray,H. L., Kelly,G. D., and Mcintire. D. D. (l978):"A new approach to ARMA modeling," Communications in Statistics, B7, 1-77.
     13. Guttman, I.,and Tiao,G. C. (l978):" Effect of Correlation on the Estimation of a Mean in the Presence of Spurious Observations," Canadian Journal of Statistics,6,229-247.
     14. Kashyap,R. L. (l980):"Inconsistency of the AIC rule for Estimating the order of Autoregressive Models," IEEE Transactions on Automatic Con trol,AC-25,996-998.
     15. Nelson,C. R. ( l972 ) :" Applied Time Series Analysis For Managerial Forecasting", 華泰書局，台北。
     16. Neftce,S. N. (l982):"Specification of Economic Time Series Models Using Akaike`s Criterion," JASA,Vol.77, No.379,537-540.
     17. Schwarz,G. (l978):" Estimating the Dimension of a Model, "Annals of Statistics,6,461-464.
     18. Tiao ,G. C., and Box,G. E. P. (l98l):"Modeling multiple time series with applications," JASA,Vol. 76,No.376, 802-816.
     19. Tiao,G. C. ,and Tsay,R. S.(l983):"Multiple time series modeling and ex tended sample cross-correlations," Journal of Business & Economic Statistics, Vol. l, No. 1,43-56.
     20. Tsay,R. S. , and Tiao,G. C. (l984):" Consistent estimates of Autoregressive Parameters and Extended Sample Autocorrelation Functions for Stationary and Nonstationary ARMA
     Models,"JASA,79,84-96.
     21. Tsay,R. S., and Tiao,G. C. (l985):"Use of Canonical Analysis in Time Series model identification,"Biometrika,72,2, 299-315.
     22. Tsay ,R. S. ( l986 ) :"Time Series Model Specification in the Presence of Outliers, " JASA, Vol. 81, No. 393, 132-141.
     23. Tsay ,R. S. ,and Tiao,G. C. (l987 ):"Model specification in multivariate time series , "Technical Report # 407 , Department of Statistics Carnegie-Mellon University.
     24. Vandaele,W. (l983):Applied Time Series and Box-Jenkins Models, 雙葉書局，台北。
     25. Woodward, W. A.,and Gray,H. L. ( l98l ): "On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification," JASA, Vol. 36 , No.375, 579-587.		zh_TW