| Reference: | 參考書目
一、中文部分
1.林茂文:時間數列分析與預測，華泰書局。
2.朱健萍碩士論文:時間數列模型建立分析應用之研究，政大統計研究所。
二、英文部分
l. Akaike,H.(l974):" A new look at statistical model identification ," IEEE Transactions on Automatic control, AC-19,716-723.
2. Begnin,J. M., Gourieroux, C., and Monfort, A.(l980) : "identification of a mixed Autoregressive-Moving Average Process : The corner method, in "Time? Series", ed, O. D. Anderson, Amsterdam: North-Holland, 423-436.
3. Box , G. E . P., and Cox ,D. R. (l964):"An analysis of transformations," Journal of Royal Statistical Society, B26,2ll.
4. Box, G. E. P., and Jenkins, G . M. (l976):"Time Series Analysis, Forecasting Control? Revised Edition,雙葉書局，台北。
5. Box , G. E. P. , and Tiao, G. C. (1977) : " A Canonical analysis of multiple thme series ," Biometrika,64,2,p. 355-365.
6. Chang, I., and Tiao,G. C. (l983):"Estimation of Time Series Parameters in the Presence of Outliers, "Technical Report 8,University of Chicago, Statistics Research Center.
7. Chatfield, C. (l979):"Inverse Autocorrelations," Journal of the Royal statistical Society,Ser. A, 142,363-377.
8. Cryer, J. D. (l987):Time Series Analysis.智邦書局，台北。
9. Davies, N.,and Petruccelli, J. D.(l984):"On the Use of the General Partial Autocorrelation Function for Order Determination in ARMA(p,q) Processes," JASA, Vol.79,No.386,374-377.
10. Durbin,J. (l959):"Efficient Estimation of Parameters in Moving Average models,"Biometrika,46, 306-316.
11. Fox,A. J. (l972):"0utliers in Time Series," Journal of the Royal statistical Society,Ser.B,34,350-363.
12. Gray,H. L., Kelly,G. D., and Mcintire. D. D. (l978):"A new approach to ARMA modeling," Communications in Statistics, B7, 1-77.
13. Guttman, I.,and Tiao,G. C. (l978):" Effect of Correlation on the Estimation of a Mean in the Presence of Spurious Observations," Canadian Journal of Statistics,6,229-247.
14. Kashyap,R. L. (l980):"Inconsistency of the AIC rule for Estimating the order of Autoregressive Models," IEEE Transactions on Automatic Con trol,AC-25,996-998.
15. Nelson,C. R. ( l972 ) :" Applied Time Series Analysis For Managerial Forecasting", 華泰書局，台北。
16. Neftce,S. N. (l982):"Specification of Economic Time Series Models Using Akaike`s Criterion," JASA,Vol.77, No.379,537-540.
17. Schwarz,G. (l978):" Estimating the Dimension of a Model, "Annals of Statistics,6,461-464.
18. Tiao ,G. C., and Box,G. E. P. (l98l):"Modeling multiple time series with applications," JASA,Vol. 76,No.376, 802-816.
19. Tiao,G. C. ,and Tsay,R. S.(l983):"Multiple time series modeling and ex tended sample cross-correlations," Journal of Business & Economic Statistics, Vol. l, No. 1,43-56.
20. Tsay,R. S. , and Tiao,G. C. (l984):" Consistent estimates of Autoregressive Parameters and Extended Sample Autocorrelation Functions for Stationary and Nonstationary ARMA
Models,"JASA,79,84-96.
21. Tsay,R. S., and Tiao,G. C. (l985):"Use of Canonical Analysis in Time Series model identification,"Biometrika,72,2, 299-315.
22. Tsay ,R. S. ( l986 ) :"Time Series Model Specification in the Presence of Outliers, " JASA, Vol. 81, No. 393, 132-141.
23. Tsay ,R. S. ,and Tiao,G. C. (l987 ):"Model specification in multivariate time series , "Technical Report # 407 , Department of Statistics Carnegie-Mellon University.
24. Vandaele,W. (l983):Applied Time Series and Box-Jenkins Models, 雙葉書局，台北。
25. Woodward, W. A.,and Gray,H. L. ( l98l ): "On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification," JASA, Vol. 36 , No.375, 579-587. |
