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| Title | Genetic detection with application of time series analysis |
| Creator | 呂素慧 |
| Contributor | 吳柏林 Wu, Ber-Lin 呂素慧 |
| Key Words | Non-linear time series Genetic algorithm The genetic detection |
| Date | 1997 |
| Date Issued | 10-May-2016 18:56:23 (UTC+8) |
| Summary | This article investigates the detection and identification problems for changing of regimes about non-linear time series process. We apply the concept of genetic algorithm and AIC criterion to test the changing of regimes. This way is different from traditional detection methods According to our statistical decision procedure, the mean of moving average and the genetic detection for the underlying time series will be considered to decide change points. Finally, an empirical application about the detection and identification of change points for the Taiwan Business Cycle is illustrated. |
| 參考文獻 | 黃仁德、吳柏林(Hwang and Wu) (1994), "台灣短期貨幣需求函數穩定性的檢定:模糊時間數列方法之應用"台灣經濟學會年會議文集: 169-190. 調查資料(Survey Data)(1990)，310，71-77，106-111. 調查資料(Survey Data)(1994)，394, 1-7，60-65. Balke, N. S. (1993), "Detecting Level Shifts in Time Series.", Journal of Business & Economic Statistics, 11,81-92. Beleaney, M. (1990), "Some Comparisons of the Relative Power of Simple Tests for Structural Change in Regression Models.", Journal of Forecasting, 9,437-444. Chow. G. C. (1960), "Testing for Equality Between Sets of Coefficients in two Linear Regressions.", Econometrica, 28, 591-605. Chan, K.S. and H. Tong (1990), "On likelihood ratio tests for thresholds auto regression.", Journal of the Royal Statistical Society, B 52, 469-476. Chen, C., and Tiao, G.C. (1990), "Random level-shift time series models, ARlMA approximations, and level-shift detection.", Journal of business and Economic statistics, 8, 83-97. De Gooijer, 1. G. and Kumar K. (1992), "Some recent developments in nonlinear time sel1es modelling, testing, and forecasting.", Internal Journal of Forecasting, 8 , 135-156. Engle, R.F. (1982), "Autoregressive conditional heteroskedasticity with estimates of the variances of UK inflation.", Econometrics, 50,987-1008. Goldberg, D. E. (1996), "Genetic Algorithms in Search, Optimization, and Machine Learning.". Hsu, D. A. (1977), "Tests for Variance Shift at an Unknown Time Point.", Apply Statistics, 26, 279-284. Imai, H. (1996), "Explaining China`s Business Cycles.", The Developing Economies, 2, 154-185. Inclan, C. and C. G. Tiao (1994), "Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance.", Journal of the American Statistical Association, 89, 913-923. Lin, C.F. J. and T. Terasvirta (1994), "Testing the Constancy of Regression Parameters against Continuous Structural Change.", Journal of Econometrics, 62, 211-228 . Liuukkonen, R., P. Saikkonen and T. Terasvirta (1988a), «Testing linearity against smooth transition autoregressive model.", Biometrika, 75,491-499. Nyblom, J. (1989), "Testing for the constancy of Parameters Over Time.", Journal of the American Statistical Association, 84, 223-230. Penon P. and Vogelsang, T. J. (1992), "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity.", Journal of Business Economic Statistics, 10, 301-320. Stock, J. H. and Watson, M. W. (1996), "Evidence on Structural Instability in Macroeconomic Time Series Relations.", Journal of Business & Economic Statistics, 14,11-30. Tay, R. S. (1989), "Testing and Modelling Threshold Autoregressive Processes. ", Journal of the American Statistical Association, 84, 231-240. Thomas, G.M., R.Gerth, T. Velasco, and L.C. Rabeo (1995), "Using Real Coded Genetic AlgOlithms For Weibull Parameter Estimation.", Computers industrial Engineering, 23, 337-381. Tsay, R. S. (1988), "Outliers, Level Shifts, and Variance Changes in Time Series.", Journal of Forecasting, 7, 1-20. Tyssedal, J. S., D. Tj∅stheim (1988), "An Autoregressive Model with Suddenly Changing Parameters and an Application to Stock Market Prices.", Apply Statistics, 37, 353-369. Weiss, A .A. (1986), "ARCH and bilinear time series models: Comparison and combination.", Joun1al of Business and Economic Statistics, 4, 59-70. Wichern, D.W., R. B. Miller, and D.A. Hsu (1976), "Changes of Variance in First-Order Autoregressive Time Series Models - With an Application.", Apply Statistics, 25, 248-256. |
| Description | 碩士 國立政治大學 統計學系 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G91NCCV1012012 |
| Type | thesis |
| dc.contributor.advisor | 吳柏林 | zh_TW |
| dc.contributor.advisor | Wu, Ber-Lin | en_US |
| dc.contributor.author (Authors) | 呂素慧 | zh_TW |
| dc.creator (作者) | 呂素慧 | zh_TW |
| dc.date (日期) | 1997 | en_US |
| dc.date.accessioned | 10-May-2016 18:56:23 (UTC+8) | - |
| dc.date.available | 10-May-2016 18:56:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 10-May-2016 18:56:23 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G91NCCV1012012 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/96304 | - |
| 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.abstract (摘要) | This article investigates the detection and identification problems for changing of regimes about non-linear time series process. We apply the concept of genetic algorithm and AIC criterion to test the changing of regimes. This way is different from traditional detection methods According to our statistical decision procedure, the mean of moving average and the genetic detection for the underlying time series will be considered to decide change points. Finally, an empirical application about the detection and identification of change points for the Taiwan Business Cycle is illustrated. | en_US |
| dc.description.tableofcontents | 1. INTRODUCTION..........2 2.DETECTION PROCEDURES..........6 2.1 THE USE OF MEAN OF MOVING AVERAGE..........6 2.2 THE USE OF CUMULATIVE SUMS OF SQUARES OF VARIANCE..........9 2.3 THE USE OF GENETIC DETECTION..........11 3.SIMULATION..........18 3.1 THE CHANGE OF MODEL..........18 3.2 THE CHANGE OF MEAN..........20 3.3 THE CHANGE OF VARIANCE..........23 4. AN EMPIRICAL APPLICATION FOR TAIWAN BUSINESS CYCLE..........26 5. CONCLUSION..........31 6. REFERENCE..........33 | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G91NCCV1012012 | en_US |
| dc.subject (關鍵詞) | Non-linear time series | en_US |
| dc.subject (關鍵詞) | Genetic algorithm | en_US |
| dc.subject (關鍵詞) | The genetic detection | en_US |
| dc.title (題名) | Genetic detection with application of time series analysis | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 黃仁德、吳柏林(Hwang and Wu) (1994), "台灣短期貨幣需求函數穩定性的檢定:模糊時間數列方法之應用"台灣經濟學會年會議文集: 169-190. 調查資料(Survey Data)(1990)，310，71-77，106-111. 調查資料(Survey Data)(1994)，394, 1-7，60-65. Balke, N. S. (1993), "Detecting Level Shifts in Time Series.", Journal of Business & Economic Statistics, 11,81-92. Beleaney, M. (1990), "Some Comparisons of the Relative Power of Simple Tests for Structural Change in Regression Models.", Journal of Forecasting, 9,437-444. Chow. G. C. (1960), "Testing for Equality Between Sets of Coefficients in two Linear Regressions.", Econometrica, 28, 591-605. Chan, K.S. and H. Tong (1990), "On likelihood ratio tests for thresholds auto regression.", Journal of the Royal Statistical Society, B 52, 469-476. Chen, C., and Tiao, G.C. (1990), "Random level-shift time series models, ARlMA approximations, and level-shift detection.", Journal of business and Economic statistics, 8, 83-97. De Gooijer, 1. G. and Kumar K. (1992), "Some recent developments in nonlinear time sel1es modelling, testing, and forecasting.", Internal Journal of Forecasting, 8 , 135-156. Engle, R.F. (1982), "Autoregressive conditional heteroskedasticity with estimates of the variances of UK inflation.", Econometrics, 50,987-1008. Goldberg, D. E. (1996), "Genetic Algorithms in Search, Optimization, and Machine Learning.". Hsu, D. A. (1977), "Tests for Variance Shift at an Unknown Time Point.", Apply Statistics, 26, 279-284. Imai, H. (1996), "Explaining China`s Business Cycles.", The Developing Economies, 2, 154-185. Inclan, C. and C. G. Tiao (1994), "Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance.", Journal of the American Statistical Association, 89, 913-923. Lin, C.F. J. and T. Terasvirta (1994), "Testing the Constancy of Regression Parameters against Continuous Structural Change.", Journal of Econometrics, 62, 211-228 . Liuukkonen, R., P. Saikkonen and T. Terasvirta (1988a), «Testing linearity against smooth transition autoregressive model.", Biometrika, 75,491-499. Nyblom, J. (1989), "Testing for the constancy of Parameters Over Time.", Journal of the American Statistical Association, 84, 223-230. Penon P. and Vogelsang, T. J. (1992), "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity.", Journal of Business Economic Statistics, 10, 301-320. Stock, J. H. and Watson, M. W. (1996), "Evidence on Structural Instability in Macroeconomic Time Series Relations.", Journal of Business & Economic Statistics, 14,11-30. Tay, R. S. (1989), "Testing and Modelling Threshold Autoregressive Processes. ", Journal of the American Statistical Association, 84, 231-240. Thomas, G.M., R.Gerth, T. Velasco, and L.C. Rabeo (1995), "Using Real Coded Genetic AlgOlithms For Weibull Parameter Estimation.", Computers industrial Engineering, 23, 337-381. Tsay, R. S. (1988), "Outliers, Level Shifts, and Variance Changes in Time Series.", Journal of Forecasting, 7, 1-20. Tyssedal, J. S., D. Tj∅stheim (1988), "An Autoregressive Model with Suddenly Changing Parameters and an Application to Stock Market Prices.", Apply Statistics, 37, 353-369. Weiss, A .A. (1986), "ARCH and bilinear time series models: Comparison and combination.", Joun1al of Business and Economic Statistics, 4, 59-70. Wichern, D.W., R. B. Miller, and D.A. Hsu (1976), "Changes of Variance in First-Order Autoregressive Time Series Models - With an Application.", Apply Statistics, 25, 248-256. | zh_TW |