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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/89029
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89029


    Title: 非平穩時間序列模式選取之研究
    Model Selection Concerning Nonstationarity Time Series
    Authors: 廖寶珠
    Liao, Pao Chu
    Contributors: 鄭天澤
    Jeng, Tian Tzer
    廖寶珠
    Liao, Pao Chu
    Keywords: 非平穩
    時間序列
    單位根檢定
    模式選取
    Nonstationarity
    Time series
    Unit root test
    Model selection
    Date: 1993
    Issue Date: 2016-04-29 16:44:16 (UTC+8)
    Abstract: 時間序列中對於模式階數的選取,一直是重要的課題。從過去文獻研究得知,大多數的討論都局限於平穩的模式。然而近年來,非平穩型序列逐漸成為各學者研究的方向。因此,一個能協助研究者適當處理資料的方法,如採取適當的單位根檢定,是進行實證分析時所必需採行的程序。在本篇文章中我們是採用單位根檢定來決定差分階數,然後再結合 Pukkila etal.(1990)所提出的選模方法決定p、q的階數(簡稱PKK選模法)經由本文模擬結果所得之結論為當序列為平穩型時,直接用PKK選模法來進行階數的選取,能得到較強的選模能力 。但當序列為非平穩型時,則建議先以單位根檢定來決定差分階數,再佐以PKK選模法決定p、q階數。
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    l\\iIodels," ] ournal of the A m,erican Statistical Association, 80 , 369-374.
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    Series NIodels:Tests and hnplications," The A`meTican Statistician, 40,12-26.
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    Description: 碩士
    國立政治大學
    統計學系
    G80354020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004204
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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