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    題名: 含外生多變數之時間數列門檻模式模型分析與預測
    Constructing Threshold Model with Exogenous Variables and its Forecasting
    作者: 王治鈞
    Wang, Jhih Jyun
    貢獻者: 吳柏林
    Wu, Berlin
    王治鈞
    Wang, Jhih Jyun
    關鍵詞: 外生多變數
    時間數列
    門檻模式
    預測
    Exogenous variables
    Time series
    Threshold model
    Forecasting
    日期: 2019
    上傳時間: 2020-08-03 17:57:26 (UTC+8)
    摘要: 研究目的: 探討含外生變數之時間數列門檻模式及其應用。 研究方法: 利用隱性變數找出模型之門檻值，並考慮系統內能變化修正預測。 研究發現: 含外生多變數之模糊時間數列門檻模式模型分析與預測。 研究創新: 提出以含外生多變數之門檻模式架構方法。 研究價值: 提出用模糊熵來做預測修正，增加預測之準確度。 研究結論: 本研究建構之模式，均優於傳統的模式分析與預測。
    Research Objectives: Exploring the threshold model with exogenous variables and its application. Research Methods: Use implicit variables to find the threshold of the model, and consider the system internal energy change correction prediction. Research Findings: Analysis and Forecasting of threshold model of fuzzy time series with multivariate. Research Innovations: Proposing a threshold architecture method with multivariate. Research Value: Propose to use entropy to make prediction corrections and increase the accuracy of predictions.
    參考文獻: [1]. 吳柏林(1995) 時間數列分析導論。台北：華泰書局。
    [2]. 吳柏林 (2005) 模糊統計導論, 方法與應用. 台北：五南書局
    [3]. 楊奕農(2009) 時間序列分析：經濟與財務上之應用。台北，雙葉書廊。
    [4]. Kumar K and Wu B (2001). Detection of change points in time series analysis with fuzzy statistics, International Journal of Systems Science, Vol.32, No.9, pp1185-1192.
    [5]. Hansen, Bruce E. (1999). Testing for Linearity, Journal of Economic Surveys, Vol.13, No.5, pp551-576.
    [6]. Tong H. and Lim K. S. (1980), Threshold Autoregressive, Limit Cycles and Cyclical Data (with Discussion), Journal of the Royal Statistical Society. Series B, Vol.42, No.3, pp245-292.
    [7]. Subba Rao T. and Gabr M. (1980). A test for linearity of stationary time series analysis, Journal of Time Series Analysis , Vol.1, No.1, pp145-158.
    [8]. Haggan V. and Ozaki T. (1980). Amplitude-dependent Exponential AR Model Fitting for Non-linear Random Vibrations, in Time Series, (O. D. Anderson ed.), North-Holland, Amsterdam.
    [9]. Bai Jushan and Pierre Perron (2003). Computation and Analysis of Multiple Structural-Change Models, Journal of Applied Econometrics, Vol.18, No.1, pp1–22.
    [10]. Zhou H. D. (2005). Nonlinearity or structural break? - data mining in evolving financial data sets from a Bayesian model combination perspective, Proceedings of the 38th Hawaii International Conference on System Sciences
    [11]. Tsay Ruey S. (1989). Testing and Modeling Threshold Autoregressive Processes, Journal of the American Statistical Association, Vol.84, No.405, pp231-240.
    [12]. Hansen, Bruce E. (1999). Testing for Linearity, Journal of Economic Surveys, Vol.13, No.5, pp551-576..
    [13]. Chia-Lin Chang (2009). A Panel Threshold Model of Tourism Specialization and Economic Development, International Journal of Intelligent Technologies and Applied Statistics, pp. 159-186
    [14]. Qunyong Wang (2015). Fixed-effect panel threshold model using Stata, The Stata Journal (2015) 15, Number 1, pp. 121-134
    [15]. Henk A Tennekes (2016). A Critical Appraisal of the Threshold of Toxicity Model for NonCarcinogens, Journal of r uoJ Environmental & Analytical Toxicology
    [16]. Arastoo Bozorgi (2016). A community-based algorithm for influence maximization problem under the linear threshold model, Information Processing & Management Vol.52, Issue 6, November 2016, pp1188-1199
    [17]. Klaus K.Holst (2016). The liability threshold model for censored twin data, Computational Statistics & Data Analysis, Vol.93, January 2016, pp324-335
    描述: 碩士
    國立政治大學
    應用數學系
    105751010
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0105751010
    資料類型: thesis
    DOI: 10.6814/NCCU202000969
    顯示於類別:[應用數學系] 學位論文

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