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題名 轉換模式中結構性變化之偵測與處理
Detecting and Treating Structure Changes in Transfer Function Models
作者 李品青
Li, Piin-Ching
貢獻者 鄭天澤
Yang, Su-Fen
李品青
Li, Piin-Ching
關鍵詞 轉換模型
Level shift
Variance changes
Transfer function models
日期 1994
上傳時間 29-四月-2016 09:21:01 (UTC+8)
摘要 經由研究一個輸入序列的轉換模式來關注結構性變化之偵測與處理。
Time series data are often subject to uncontrolled or unexpected interventions, from which various types of outlying observations or structure changes are produced. In this article, we focus on detecting and treating structure change events in multiple time series by studying transfer function models with one input series. Monte Carlo simulations will be used to study the performance of the proposed procedures.
參考文獻 Abraham, B. (1980), "Intervention Analysis and Multiple Time Series, " Biometrika, 67, 73-78.
Abraham, B., and Chuang, A. (1989), "Outlier Detection and Time Series Modeling, " Technometrics, 31, 241-248.
Bamett, V., and Lewis, T. (1984), Outhers in Statistical Data (2nd ed.), New York: John WiIey.
Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control (rev. ed), San Francisco: Holden-Day.
Chang,1., Tiao, G. c., and Chen, C. (1988), "Estimation of Time Series parameters in the Presence of Outliers," Technometrics, 30, 193-204.
Chen, c., and Tiao, G. C. (1990), "Random Level Shift Time Series Models, ARllv1A Approximation, and Level Shift Detection, " Journal of Business and Economic Statistics, 8, 170-186.
Chen, c., and Liu L. M. (1993), "Joint Estimation of Model Parameters and Outlier Effects in Time Series, " Journal of the American Statistical Association, 88, 284-297.
Laurie, D., and Ursula, G. (1993), "The Identification of Multiple Outliers, " Journal of the American Statistical Association, 88, 782-792.
Liu, L. M. (1991), "Dynamic relationship Analysis of US gasoline and Crude Oil Prices, 11 Journal of Forecasting, 7, 1-20.
Liu, L. M., Hudak, G., Box. G. E . P., Muller, M. E., and Tiao, G. C. (1986), The SeA Statistical System: Reference Manualfor Forecasting and Time Series Analysis, DeKalb, IL: Scientific Computing Associates.
Muirhead, C. R. (1986), "Distinguishing Outlier Types in Time Series, " J R. Statist. Soc., 48,39-47.
Pankratz, A. (1993), "Detecting and Treating Outliers in Dynamic Regression Models," Biometrika, 80, 847-54.
Pankratz, A. (1991), Forecasting with Dynamic Regression Models, John Wiley & Sons.
Tsay, R. S. (1986), "Time Series Model Specification in the Presence of Outliers, " Journal of the American Statistical Association, 81, 132-141.
Tsay, R. S. (1988), "Outliers, Level Shifts, and Variance Changes in Time Series, " Journal of Forecasting, 7, 1-20.
Wei, William W, S. (1993), Time Series Analysis - Univariate and Multivariate Methods, Addison-Wesley.
描述 碩士
國立政治大學
統計學系
82354010
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003386
資料類型 thesis
dc.contributor.advisor 鄭天澤zh_TW
dc.contributor.advisor Yang, Su-Fenen_US
dc.contributor.author (作者) 李品青zh_TW
dc.contributor.author (作者) Li, Piin-Chingen_US
dc.creator (作者) 李品青zh_TW
dc.creator (作者) Li, Piin-Chingen_US
dc.date (日期) 1994en_US
dc.date.accessioned 29-四月-2016 09:21:01 (UTC+8)-
dc.date.available 29-四月-2016 09:21:01 (UTC+8)-
dc.date.issued (上傳時間) 29-四月-2016 09:21:01 (UTC+8)-
dc.identifier (其他 識別碼) B2002003386en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87864-
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 (描述) 82354010zh_TW
dc.description.abstract (摘要) 經由研究一個輸入序列的轉換模式來關注結構性變化之偵測與處理。zh_TW
dc.description.abstract (摘要) Time series data are often subject to uncontrolled or unexpected interventions, from which various types of outlying observations or structure changes are produced. In this article, we focus on detecting and treating structure change events in multiple time series by studying transfer function models with one input series. Monte Carlo simulations will be used to study the performance of the proposed procedures.en_US
dc.description.tableofcontents Chapter1：Introduction..........1
Chapter2：Dynamic Regression Framework and Structure Changes..........3
2.1：Dynamic Regression Framework..........3
2.2：Structure Changes..........4
Chapter3：Estimation of the Impact..........8
3.1：”Passed” Situations..........8
3.1.1：Transient Level Change..........8
3.1.2：Permanent Level Chang..........10
3.1.3：Variance Change..........12
3.2：”Nonpassed” Situations..........13
3.2.1：Transient Level Change..........14
3.2.2：Permanent Level Change..........16
3.2.3：Variance Change..........19
Chapter4：Hypothesis and Detecting Procedure..........21
4.1：Hypothesis and Test Statistice..........21
4.2：The Detecting Procedure..........22
Chapter5：Simulation Results..........28
Appendix A：The SCA Program－For Model 1, Model 5..........32
Appendix B：The Borland C++Program－For Model 1, Model 5..........35
Reference..........41		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003386en_US
dc.subject (關鍵詞) 轉換模型zh_TW
dc.subject (關鍵詞) Level shiften_US
dc.subject (關鍵詞) Variance changesen_US
dc.subject (關鍵詞) Transfer function modelsen_US
dc.title (題名) 轉換模式中結構性變化之偵測與處理zh_TW
dc.title (題名) Detecting and Treating Structure Changes in Transfer Function Modelsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abraham, B. (1980), "Intervention Analysis and Multiple Time Series, " Biometrika, 67, 73-78.
Abraham, B., and Chuang, A. (1989), "Outlier Detection and Time Series Modeling, " Technometrics, 31, 241-248.
Bamett, V., and Lewis, T. (1984), Outhers in Statistical Data (2nd ed.), New York: John WiIey.
Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control (rev. ed), San Francisco: Holden-Day.
Chang,1., Tiao, G. c., and Chen, C. (1988), "Estimation of Time Series parameters in the Presence of Outliers," Technometrics, 30, 193-204.
Chen, c., and Tiao, G. C. (1990), "Random Level Shift Time Series Models, ARllv1A Approximation, and Level Shift Detection, " Journal of Business and Economic Statistics, 8, 170-186.
Chen, c., and Liu L. M. (1993), "Joint Estimation of Model Parameters and Outlier Effects in Time Series, " Journal of the American Statistical Association, 88, 284-297.
Laurie, D., and Ursula, G. (1993), "The Identification of Multiple Outliers, " Journal of the American Statistical Association, 88, 782-792.
Liu, L. M. (1991), "Dynamic relationship Analysis of US gasoline and Crude Oil Prices, 11 Journal of Forecasting, 7, 1-20.
Liu, L. M., Hudak, G., Box. G. E . P., Muller, M. E., and Tiao, G. C. (1986), The SeA Statistical System: Reference Manualfor Forecasting and Time Series Analysis, DeKalb, IL: Scientific Computing Associates.
Muirhead, C. R. (1986), "Distinguishing Outlier Types in Time Series, " J R. Statist. Soc., 48,39-47.
Pankratz, A. (1993), "Detecting and Treating Outliers in Dynamic Regression Models," Biometrika, 80, 847-54.
Pankratz, A. (1991), Forecasting with Dynamic Regression Models, John Wiley & Sons.
Tsay, R. S. (1986), "Time Series Model Specification in the Presence of Outliers, " Journal of the American Statistical Association, 81, 132-141.
Tsay, R. S. (1988), "Outliers, Level Shifts, and Variance Changes in Time Series, " Journal of Forecasting, 7, 1-20.
Wei, William W, S. (1993), Time Series Analysis - Univariate and Multivariate Methods, Addison-Wesley.		zh_TW