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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/87864


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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: 2016-04-29 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
    顯示於類別:[統計學系] 學位論文

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