| dc.contributor.advisor | 吳柏林 | zh_TW |
| dc.contributor.advisor | Wu, Berlin | en_US |
| dc.contributor.author (Authors) | 許毓云 | zh_TW |
| dc.contributor.author (Authors) | Hsu, Yi-Yun | en_US |
| dc.creator (作者) | 許毓云 | zh_TW |
| dc.creator (作者) | Hsu, Yi-Yun | en_US |
| dc.date (日期) | 1998 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:28:04 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:28:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:28:04 (UTC+8) | - |
| dc.identifier (Other Identifiers) | B2002001687 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36392 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 86751005 | zh_TW |
| dc.description (描述) | 87 | zh_TW |
| dc.description.abstract (摘要) | Abstract In time series analysis, we often find the trend of dynamic data changing with time. Using the traditional model fitting can`t get a good explanation for dynamic data. Therefore, many scholars developed various methods for model construction. The major drawback with most of the methods is that personal viewpoint and experience in model selection are usually influenced in them. Therefore, this paper presents a new approach on genetic-based modeling for the nonlinear time series. The research is based on the concepts of evolution theory as well as natural selection. In order to find a leading model from the nonlinear time series, we make use of the evolution rule: survival of the fittest. Through the process of genetic evolution, the AIC (Akaike information criteria) is used as the adjust function, and the membership function of the best-fitted models are calculated as performance index of chromosome. Empirical example shows that the genetic model can give an efficient explanation in analyzing Taiwan exchange rates, especially when the structure change occurs. | en_US |
| dc.description.tableofcontents | Contents ABSTRACT LIST OF TABLE LIST OF FIGURE 1. Introduction……………………………………………………………………1 2. Genetic Modeling………………………………………………………………4 3. Procedure of Genetic Modeling…………………………………………………9 4. Combined Forecasting with Gene Models……………………………………11 5. Simulation………………………………………………………………………13 6. An Empirical Application for Exchange Rates………………………………18 7. Conclusion………………………………………………………………………21 References…………………………………………………………………………22 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#B2002001687 | en_US |
| dc.subject (關鍵詞) | 非線性時間數列 | zh_TW |
| dc.subject (關鍵詞) | 遺傳建模 | zh_TW |
| dc.subject (關鍵詞) | 主導模式 | zh_TW |
| dc.subject (關鍵詞) | 隸屬度函數 | zh_TW |
| dc.subject (關鍵詞) | 匯率 | zh_TW |
| dc.subject (關鍵詞) | Nonlinear time series | en_US |
| dc.subject (關鍵詞) | Genetic modeling | en_US |
| dc.subject (關鍵詞) | Leading models | en_US |
| dc.subject (關鍵詞) | Membership function | en_US |
| dc.subject (關鍵詞) | Exchange rates | en_US |
| dc.title (題名) | 遺傳模式在匯率上分析與預測之應用 | zh_TW |
| dc.title (題名) | Genetic Models and Its Application in Exchange Rates Analysis and Forecasting | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | References | zh_TW |
| dc.relation.reference (參考文獻) | Andel, J.(1993). A time series model with suddenly changing parameters. Journal of Time Series Analysis, 14(2), 111-123. | zh_TW |
| dc.relation.reference (參考文獻) | Bleany,M.(1990). Some comparisons of the relative power of simple tests for Structure Change in Regression Models. Journal of Forecasting, 9, 437-444. | zh_TW |
| dc.relation.reference (參考文獻) | Chow, G, C.(1960). Testing for equality between sets of coefficients in two linear regressions. Econometrica, 28, 291-605. | zh_TW |
| dc.relation.reference (參考文獻) | De Gooijer , J. G. and K. Kumar.(1992). Some recent developments in nonlinear time series modeling, testing, and forecasting. International Journal of Forecasting, 135-156. | zh_TW |
| dc.relation.reference (參考文獻) | George J. Klir and Bo Yuan. (1995). Fuzzy sets and fuzzy logic. Prentice-Hall International, Inc. | zh_TW |
| dc.relation.reference (參考文獻) | Goldberg, D.E. (1989). Genetic Algorithms: In Search,Optimization,and Machine Learning. Addison-Wesley Publishing Company. | zh_TW |
| dc.relation.reference (參考文獻) | Holland , J. H. (1975). Adaptation in Natural and Artificial Systems, University of Michigan Press, Ann Arbor. | zh_TW |
| dc.relation.reference (參考文獻) | Inclan, C. and Tiao,G.C.(1994). Use of cumulative sum of squares for retrospective detection of changes of variances. Journal of the American Statistical Association, 913-923. | zh_TW |
| dc.relation.reference (參考文獻) | Koza, J. R.(1994). Genetic Programming II: Automatic Discovery of Reusable Pro grams. MIT Press,1994. | zh_TW |
| dc.relation.reference (參考文獻) | Loraschi, A., Tettamani, A.,Tomassini,M.and Verda, P.(1995). Distributed genetic algorithms with a application to portfolio selection problem. Artificial Neural Networks and Genetic Algorithms, Edited by Pearson , N.C, Steele, N. C . and Al- Brett, R.F.,Springer-Verlag ,384-387. | zh_TW |
| dc.relation.reference (參考文獻) | Mitchell, M .(1996) . An Introduction to Genetic Algorithms. Cambridge , MA : MIT Press. | zh_TW |
| dc.relation.reference (參考文獻) | Nyblom, J.(1989). Testing for the constancy of parameters over time. Journal of the American Statistical Association, 844,223-230. | zh_TW |
| dc.relation.reference (參考文獻) | Balke, N. S. (1993). Detecting level shifts in time series. Journal of Business and Economic Statistics, 11(1), 81-92. | zh_TW |
| dc.relation.reference (參考文獻) | Barry, D. and Hartigan, J. A. (1993). A Bayesian analysis for change point problems. Journal of the American Statistical Association, 88(421), 309-319. | zh_TW |
| dc.relation.reference (參考文獻) | Brown, R., Dubin, J., and Evans, J. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society, Ser. B, 37, 149-163. | zh_TW |
| dc.relation.reference (參考文獻) | Hinkey, D. V. (1971). Inference about the change point from cumulative sum test. Biometry, 26, 279-284. | zh_TW |
| dc.relation.reference (參考文獻) | Hsu D. A. (1979), Detecting shifts of parameter in gamma sequences, with applications to stock price and air traffic flow analysis. Journal of the American Statistical Association, 74, 31-40. | zh_TW |
| dc.relation.reference (參考文獻) | Hsu, D. A. (1982), "A Bayesian robust detection of shift in the risk structure of stock market returns," Journal of the American Statistical Association, 77, 29-39. | zh_TW |
| dc.relation.reference (參考文獻) | Inclan, C. & Tiao, G. C. (1994). Use of cumulative sums of squares for retrospective detection of changes of variance. Journal of the American Statistical Association, 89(427), 913-924. | zh_TW |
| dc.relation.reference (參考文獻) | Kao, C. & Ross, S. L. (1995). A CUSUM test in the linear regression model with serially correlated disturbances. Econometric Reviews, 14(3), 331-346. | zh_TW |
| dc.relation.reference (參考文獻) | Page, E. S. (1955). A test for change in a parameter occurring at an unknown point. Biometricka, 42, 523-527. | zh_TW |
| dc.relation.reference (參考文獻) | Rukhin, A. (1997). Change-point estimation under Asymmetric loss. Statistics & Decisions, 15, 141-163. | zh_TW |
| dc.relation.reference (參考文獻) | Saatri, T., Flores, B., and Valdes, J. (1989). Detecting points of change in time series, Computers Open Research, 16, 271-293. | zh_TW |
| dc.relation.reference (參考文獻) | Tsay, R. S. (1990). Testing and modeling threshold autoregressive processes. Journal of the American Statistical Association, 84 ,231-240. | zh_TW |
| dc.relation.reference (參考文獻) | Wosley, K. J. (1986). Confidence regions and tests for a change-point in a sequence of exponential family random variables. Biometrika, 73, 91-104. | zh_TW |
| dc.relation.reference (參考文獻) | Ploberger , W. and W. Kramer. (1992). The CUSUM-test with OLS Residuals. Econometrica, 60, 271-285. | zh_TW |
| dc.relation.reference (參考文獻) | Tsay , R, S.(1991). Detecting and Modeling Non-linearity in Univariate Time Series Analysis. Statistica Sinica,1:2,431-451. | zh_TW |
| dc.relation.reference (參考文獻) | Weiss, A. A.(1986). ARCH and bilinear time series models : compares and com bination. Journal of Business and Economic Statistics,4,59-70. | zh_TW |
| dc.relation.reference (參考文獻) | Wu, B.(1994). Identification Environment and Robust Forecasting for Nonlinear Time Series. Computational Economics, 7, 37-53. | zh_TW |
| dc.relation.reference (參考文獻) | Wu, B. (1995). Model-free forecasting for nonlinear time series: with application in exchange rates. Computational Statistics and Data Analysis. 19, 433-459. | zh_TW |
| dc.relation.reference (參考文獻) | Wu, B. and Chen, M. (1999). Use of fuzzy statistical technique in change periods detection of nonlinear time series. Applied Mathematics and Computation 99, 241-254. | zh_TW |
