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題名 Box-Jenkins隨機時間序列模式與指數平滑法之比較
作者 李恒祥
貢獻者 黃俊英
李恒祥
日期 1982
上傳時間 27-Sep-2018 14:18:15 (UTC+8)
參考文獻 附錄A參考文獻
一、中文部份：
1.林聰明及吳水丕合著，指數平滑法之選擇與應用，（台北，華泰書局，民國70年10月）
2.黃俊英著，行銷研究―管理與技術，（台北，華泰書局。民國70年2月）
3.郭明哲著，預測方法―理論與實例（台北，中興管理顧問公司印行。民國65年5月）
4.石油產品需求預測研究，（台北，中國石油公司企劃處印，民國69年9月）
5.張紹明著，Box-Jenkins model之個案研究――台北市雨量分析與預測（台北，淡江大學，66年碩土論文）
6.仲金城著，自廻歸―積―移動平均法（ARlMA）之檢討（台北，淡江大學管科所，69年碩士論文）
二、英文部份：
1. Anderson, R.L., “Distribution of the Serial Correlation Coefficient” Ann. Math. Stat., 13,1, (1942)
2. Armstrong, J.S. Long-Rang Forecasting, New York : John Willey & Sons, 1978.
2. Bartlett, M.S., “On the theoretical Specification of Sampling Properties of Autocorrelation time Series”, Jour. Roy. Stat. Soc., B8 , 27(1946)
4. Box G.E.P. and G.M. Jenkins, Time series Analysis-Forecasting and Control, New York : McGraw-Hill Book Company, 1976.
5. G,E.P. Box and D.A. pierce, “Distribution of residual Autocorrelation in Autoregressive-Integrated-Moving Average time Series Models”, Jorn. Amer. Stat. Assoc. 64, 1509, (1970)
6. Brown, R.G. Statistisal Forecasting for inventory Control, N.Y. : McGraw-Hill Book Company, 1957.
7. ________ , Smoothing Forecasting and Prdiction of discrete time Series, Englewood Cliffs, N.J. Prentices- Hall, Inc., 1963.
8. Chamber, J.C., S.R. Mullick and D.D. Smith, “How to Choose the right forecasting technique, H.B.R., July-Aug., (1971), pp.45-74.
9. Chow, W. M., “Adaptive Control of the Exponential Smoothing Constant,” The Jour. of Indust. Engineering, Vol. 16, No.5 (1965), pp.314-317.
10. Eilon, S. and J. Elmaleh, “ Adaptive Limits in inventory Control”, Management Science, Vol. 6, No. 8 (1970), PP. 533-538.
11. Gardner, E.S. and D.G. Danneubring, “Forecasting with Exponential Smoothing : some Guideline for Model Selection ”, Decision Science Vol.11, No.2 (1980), pp.370-383.
12. Geurts, M.D. and I.B. Ibrahim,Comparing the Box-Jenkins Approach with Exponentially smoothed Forecasting Model : An Application to Hawaii Tourist,” J.M.R. 12, No.2, (May, 1975) pp.182-187.
13. Gilchrist, W. Statistical Forecasting, London : John Wiley and Sons, 1976.
14. Groff, G.K. “Emprical Comparison, of Models for short range Forecasting,” Management Science Vol.20, No. 1, (Step, 1973) pp.22-31.
15. Holt, C.C. Forecasting Seasonal and trends by Exponentially weighted Average, Prittsbugh, Penn : Carnigie Institude of Technalogy, 1957.
16. Jenkins, G.M. and D.G. Watts, Spectral Analysis and its Application, San Francisco : Holdon-Day, 2968.
17. Makridakis S. and S.C. Wheelwight, Forecasting Method and Applications, New York : John wiley & Sons, 1978.
18.Meyer, R.F., “An Adaptive Method for Routine shortterm Forasting”, International Federation of Operation Research Societies, Oslo, (July, 1963)
19. Mongomery, D.C., “An Application of Statistical forecasting technique in an inventory Control Policy”, Production and inventory Management (Frist Quarter, 1969) pp.66-74.
20. ________, “Adaptive Control of Exponential Smoothing Parameter by Evolutionary Opration”, AIIE Tranactions Vol.2, No.3 (1970) pp.268-269.
21. Newbold, p. and C.W.J. Granger “Experience with forecasting Univariate time series and the Combination of Forecast”, Joun. of Roy. state Soc. A, 173, part2 (1974), pp.131-146.
22. Nelson, R. Chales, Applied time Series Analysis for Managerial forecasting, San Francisco: Holdeen-Day, 1970.
23. Pyndick R.S. and D.L. Rubinfeld, Econometric Models and economic forecasts, new york : McGraw-Hill Book Company, 1976.
24. Roberts, S.D. and R. Reed, “ The Development of self-adaptive forecasting technique”, AIIE Transacrions, Vol. 1, No.4 (1969) pp.314-322.
25. Schuter, A. “The Investigation of hidden periodicities”, Terr. Mag, 3. 13, (1879).
26. Thomopoulou, N.J., Applied Forecasting Method, Englewood Clisff, N.J. Prentice-Hall Inc., 1980.
27. Trigg D.W. and A.G. Leach, “Exponential smoothing with an Adaptive response rate”, Operation research Quarterly Vol. 18, No.1 (1967)
28. Whybark, D.C. “Comparing an Adaptive Decision model and humans”, Acadamic Management Jour. Vol.6, (1970).
29. ________, “ An Comparison of adpative forecasting techniques.”, The Logistics and Transportation review, Vol. 9, No.1 (19730, pp.13-26.
30. Winter, D.R., “Forecasting Sales by exponential wighted Moving average”, Management science, Vol. 6, No. 3 (1960), pp.324-342.
描述 碩士
國立政治大學
企業管理研究所
70
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002007560
資料類型 thesis
dc.contributor.advisor 黃俊英
dc.contributor.author (Authors) 李恒祥
dc.creator (作者) 李恒祥
dc.date (日期) 1982
dc.date.accessioned 27-Sep-2018 14:18:15 (UTC+8)-
dc.date.available 27-Sep-2018 14:18:15 (UTC+8)-
dc.date.issued (上傳時間) 27-Sep-2018 14:18:15 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120173-
dc.description (描述) 碩士
dc.description (描述) 國立政治大學
dc.description (描述) 企業管理研究所
dc.description (描述) 70
dc.description.tableofcontents ――Box-Jenkins隨機時間序列模式與指數平滑法之比較――
目錄
第一章 緒論1
第一節 研究動機1
第二節 研究目的2
第三節 研究方法3
第四節 研究限制5
第五節 研究內容5
第二章 Box-Jenkins時間序列分析法之理論與模式建立方法7
第一節 隨機時間序列模式之基本槪念7
第二節 隨機時間序刊模式之類別及特性14
第三節 隨機時間序列模式之建立25
第四節 更新與預測36
第三章 指數平滑模式之探討40
第一節 指數平滑法之意義及其發展40
第二節 指數平滑模式之分類與選擇48
第三節 Winters相乘式趨勢季節平滑模式之建立與預測52
第四章 研究設計67
第一節 模式比較基礎67
第二節 資料收集與運用72
第三節 研究架構及流程73
第五章 台灣區各縣市液化石油氣需求模式之建立與預測83
第一節 Box-Jenkins模式之建立與預測83
第二節 Winters平滑模式之建立與預測112
第六章 Box-Jenkins模式與Winters平滑模式之比較138
第一節 模式適合度之比較138
第二節 模式預測能力之比較141
第三節 模式穩定度之比較148
第七章 結論與建議156
第一節 結論156
第二節 建議158
附錄A 參考文獻160
附錄B Winters平滑模式建立與預測程式165
圖表目錄
圖：
圖2-1：需求型態示例9
圖2-2：AR（P）之自我相關函數圖17
圖2-3：一般常見ARMA模式之自我相關及偏自我相關函數圖形21
圖2-4：隨機時間序列模式建立流程圖29
圖3-1：不同平滑常數對過去資料加權數之比較圖41
圖3-2：相乘式趨勢季節需求型態之構成要素圖53
圖3-3：Winters相乘式趨勢季節模式建立流程圖55
圖3-4：平滑常數敏感分析流程圖60
圖4-1：模式穩定度流程圖71
圖4-2：研究架構及流程圖82
表：
表3-1：指數平滑模式之分類表49
表3-2：單一平滑常數應變平滑模式分類表51
表3-3：應變平滑模式分類表51
表4-1：預測能力種類表69
表4-2：台灣區液化石油氣歷年銷量資料表75
表5-1：Box-Jenkins分折法（t=1〜78）各縣市可能模式表84
表5-2：Box-Jenkins分析法（t=1〜78）各縣市最佳模式表86
表5-3：各縣市Box-Jenkins模式擬合之MSE，MAPE及Theil U數值表87
表5-4：Box-Jenkins模式起始預測及更新預測數值表89
表5-5：Box-Jenkins分析法（t=1〜50）各縣市最佳模式表110
表5-6：Box-Jenkins分析法（t=25〜78）各縣市最佳模式表111
表5-7：各縣市Winters平滑模式最佳平滑常數值及MSE MAPE，Theil U數值表113
表5-8：各縣市Winters平滑模式平滑常數敏感界限表114
表5-9：Winters平滑模式起始預測及更新預測數值表116
表5-10：各縣市重建Winters平滑模式最佳平滑常數表137
表6-1：Box-Jenkins模式與Winters平滑模式適合度比較表139
表6-2：Box-Jenkins模式與Winters平滑模式適合度比表結果表140
表6-3：Box-Jenkins模式與Winters平滑模式單期起始預測能力比較表142
表6-4：Box-Jenkins模式與Winters平滑模式多期起始預測能力比較表143
表6-5：Box-Jenkins模式與Winters平滑模式單期更新預測能力比較表145
表6-6：Box-Jenkins模式與Winters平滑模式多期更新預測能力比較表147
去6-7：Box-Jenkins模式與Winters平滑模式預測能力結果表148
表6-8：Box-Jenkins模式穩定性檢定表（t=1〜78與t=1〜50比較）150
表6-9：Box-Jenkins模式穩定性檢定表（t=1〜78與t=1〜50比較）151
表6-10：Winters平滑模式穩定性檢定表（t=1〜78與t=1〜50比較）153
表6-11：Winters平滑模式穩定性檢定表（t=1〜78與t=75〜78比較）154
表6-12：Box-Jenkins模式與Winters平滑模式穩定性比較表155
dc.format.extent 115 bytes-
dc.format.mimetype text/html-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002007560
dc.title (題名) Box-Jenkins隨機時間序列模式與指數平滑法之比較
dc.type (資料類型) thesis
dc.relation.reference (參考文獻) 附錄A參考文獻
一、中文部份：
1.林聰明及吳水丕合著，指數平滑法之選擇與應用，（台北，華泰書局，民國70年10月）
2.黃俊英著，行銷研究―管理與技術，（台北，華泰書局。民國70年2月）
3.郭明哲著，預測方法―理論與實例（台北，中興管理顧問公司印行。民國65年5月）
4.石油產品需求預測研究，（台北，中國石油公司企劃處印，民國69年9月）
5.張紹明著，Box-Jenkins model之個案研究――台北市雨量分析與預測（台北，淡江大學，66年碩土論文）
6.仲金城著，自廻歸―積―移動平均法（ARlMA）之檢討（台北，淡江大學管科所，69年碩士論文）
二、英文部份：
1. Anderson, R.L., “Distribution of the Serial Correlation Coefficient” Ann. Math. Stat., 13,1, (1942)
2. Armstrong, J.S. Long-Rang Forecasting, New York : John Willey & Sons, 1978.
2. Bartlett, M.S., “On the theoretical Specification of Sampling Properties of Autocorrelation time Series”, Jour. Roy. Stat. Soc., B8 , 27(1946)
4. Box G.E.P. and G.M. Jenkins, Time series Analysis-Forecasting and Control, New York : McGraw-Hill Book Company, 1976.
5. G,E.P. Box and D.A. pierce, “Distribution of residual Autocorrelation in Autoregressive-Integrated-Moving Average time Series Models”, Jorn. Amer. Stat. Assoc. 64, 1509, (1970)
6. Brown, R.G. Statistisal Forecasting for inventory Control, N.Y. : McGraw-Hill Book Company, 1957.
7. ________ , Smoothing Forecasting and Prdiction of discrete time Series, Englewood Cliffs, N.J. Prentices- Hall, Inc., 1963.
8. Chamber, J.C., S.R. Mullick and D.D. Smith, “How to Choose the right forecasting technique, H.B.R., July-Aug., (1971), pp.45-74.
9. Chow, W. M., “Adaptive Control of the Exponential Smoothing Constant,” The Jour. of Indust. Engineering, Vol. 16, No.5 (1965), pp.314-317.
10. Eilon, S. and J. Elmaleh, “ Adaptive Limits in inventory Control”, Management Science, Vol. 6, No. 8 (1970), PP. 533-538.
11. Gardner, E.S. and D.G. Danneubring, “Forecasting with Exponential Smoothing : some Guideline for Model Selection ”, Decision Science Vol.11, No.2 (1980), pp.370-383.
12. Geurts, M.D. and I.B. Ibrahim,Comparing the Box-Jenkins Approach with Exponentially smoothed Forecasting Model : An Application to Hawaii Tourist,” J.M.R. 12, No.2, (May, 1975) pp.182-187.
13. Gilchrist, W. Statistical Forecasting, London : John Wiley and Sons, 1976.
14. Groff, G.K. “Emprical Comparison, of Models for short range Forecasting,” Management Science Vol.20, No. 1, (Step, 1973) pp.22-31.
15. Holt, C.C. Forecasting Seasonal and trends by Exponentially weighted Average, Prittsbugh, Penn : Carnigie Institude of Technalogy, 1957.
16. Jenkins, G.M. and D.G. Watts, Spectral Analysis and its Application, San Francisco : Holdon-Day, 2968.
17. Makridakis S. and S.C. Wheelwight, Forecasting Method and Applications, New York : John wiley & Sons, 1978.
18.Meyer, R.F., “An Adaptive Method for Routine shortterm Forasting”, International Federation of Operation Research Societies, Oslo, (July, 1963)
19. Mongomery, D.C., “An Application of Statistical forecasting technique in an inventory Control Policy”, Production and inventory Management (Frist Quarter, 1969) pp.66-74.
20. ________, “Adaptive Control of Exponential Smoothing Parameter by Evolutionary Opration”, AIIE Tranactions Vol.2, No.3 (1970) pp.268-269.
21. Newbold, p. and C.W.J. Granger “Experience with forecasting Univariate time series and the Combination of Forecast”, Joun. of Roy. state Soc. A, 173, part2 (1974), pp.131-146.
22. Nelson, R. Chales, Applied time Series Analysis for Managerial forecasting, San Francisco: Holdeen-Day, 1970.
23. Pyndick R.S. and D.L. Rubinfeld, Econometric Models and economic forecasts, new york : McGraw-Hill Book Company, 1976.
24. Roberts, S.D. and R. Reed, “ The Development of self-adaptive forecasting technique”, AIIE Transacrions, Vol. 1, No.4 (1969) pp.314-322.
25. Schuter, A. “The Investigation of hidden periodicities”, Terr. Mag, 3. 13, (1879).
26. Thomopoulou, N.J., Applied Forecasting Method, Englewood Clisff, N.J. Prentice-Hall Inc., 1980.
27. Trigg D.W. and A.G. Leach, “Exponential smoothing with an Adaptive response rate”, Operation research Quarterly Vol. 18, No.1 (1967)
28. Whybark, D.C. “Comparing an Adaptive Decision model and humans”, Acadamic Management Jour. Vol.6, (1970).
29. ________, “ An Comparison of adpative forecasting techniques.”, The Logistics and Transportation review, Vol. 9, No.1 (19730, pp.13-26.
30. Winter, D.R., “Forecasting Sales by exponential wighted Moving average”, Management science, Vol. 6, No. 3 (1960), pp.324-342.