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    题名: 模糊時間數列分析與預測—以石油價格為例
    Fuzzy Time Series Analysis and Forcasting – with an Example of Oil Prices
    作者: 陳蒼山
    贡献者: 吳柏林
    陳蒼山
    关键词: 隸屬度函數
    模糊關係矩陣
    石油價格預測
    模糊命中
    日期: 2005
    上传时间: 2009-09-17 13:50:40 (UTC+8)
    摘要: 石油是維持人類生存必需的商品,是容易運輸、儲存、使用的能源。石油價格的漲跌,將直接或間接影響經濟成長與物價水準。以公司營運來說,對海運業、航空業、石油公司等石油高度相關行業來說,購油成本一直佔據公司總成本相當大的比例,因此石油價格的變動,將使得會計年度內的購油成本高低相差甚大,進而影響公司整體營運利潤,因此購油決策重要性自不待言。當預測油價會上漲時,則公司將會以較低的石油價格購入較多的石油事先加以貯存或使用,以降低全年購油成本與分散風險。本文嘗試著導入模糊統計的概念並建立多變量多階自廻歸模糊時間數列模式,以期應用在油價之預測。實證方面則收集紐約商品交易所 (NYMEX: New York Mercantile Exchange) 的每日原油收盤價原始資料,針對原油價格進行模糊時間數列分析與預測,並比較命中率、誤差率與準確度。相信這對於購油風險控管及降低成本,提高公司盈餘深具意義。
    參考文獻: 英文部份
    Arnold, S. (1990) Mathematical Statistics. Prentice Hall Inc.
    Chen, S. M. (1996) Forecasting enrollments based on fuzzy time series. Fuzzy Sets and Systems, 81, 311-319.
    Chiang, D., Chow, L., and Wang Y.(2000) Mining time series data by a fuzzy linguistic summary system. Fuzzy Sets and Systems, 112, 419-432.
    Graham, B. P. and Newell, R. B. (1989) Fuzzy adaptive control of a first-order process. Fuzzy Sets and Systems, 31, 47-65.
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    K. Huarng(2001)Heuristic models of fuzzy time series for forecasting. Fuzzy Sets and Systems,123,369-386.
    Klir, G. F. and Folger, T. A. (1988) Fuzzy Sets, Uncertainly and Information. Englewood Cliffs, NJ:Prentice Hall.
    Lee, Y. C., Hwnag, C. and Shih, Y. P. (1994) A Combined Approach to Fuzzy Model Identification. IEEE Transactions on Systems, Man, and Cybernetics, Vol.24, No.5, 736-743.
    Manski, C. (1990) The Use of Intention Data to Predict Behavior: A Best Case Analysis. Journal of the American Statistical Association, 85, 934-940.
    Richard A. J. and Dean W. W. (2002) Applied Multivariate Statistics Analysis. 5th Edition. Prentice Hall Inc.
    Song, Q. and Chissom, B. S. (1993a) Forecasting enrollments with fuzzy time series—Part I. Fuzzy Sets and Systems, 54, 1-9.
    Song, Q. and Chissom, B. S. (1993b) Fuzzy time series and its models. Fuzzy Sets and Systems, 54, 269-277.
    Song, Q. and Chissom, B. S. (1994) Forecasting enrollments with fuzzy time series—Part II. Fuzzy Sets and Systems, 62, 1-8.
    Song, Q., Leland, R. P. and Chissom, B. S. (1997) Fuzzy stochastic fuzzy time series and its models. Fuzzy Sets and Systems, 88, 333-341.
    Tong, R. M. (1978) Synthesis of fuzzy models for industrial processes. Int. J. Gen. Syst., Vol.4, 143-162.
    Tseng, F., Tzeng, G., Yu, H. and Yuan, B. (2001) Fuzzy ARIMA model for forecasting the foreign exchange market. Fuzzy Sets and Systems, 118, 9-19.
    Tseng, F., and Tzeng, G.(2002)A fuzzy seasonal ARIMA model for forecasting. Fuzzy Sets and Systems, 126,367-376.
    Wu, B. and Chen, M. (1999) Use of fuzzy statistical technique in change periods detection of nonlinear time series. Applied Mathematics and Computation, 99,
    241-254.
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    Xu, C. W. and Lee, Y. Z. (1987) Fuzzy Model Identification and Self-learning for Dynamic Systems. IEEE Transactions on Systems, Man, and Cybernetics, Vol. SCM-17, 683-689.
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    中文部份
    吳柏林 (2005) 模糊統計導論, 方法與應用. 台北:五南書局
    吳柏林 (1995) 時間數列分析導論. 台北:華泰書局
    顏月珠 (1992) 商用統計學. 台北:三民書局
    描述: 碩士
    國立政治大學
    應用數學研究所
    92751014
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0927510141
    数据类型: thesis
    显示于类别:[應用數學系] 學位論文

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