政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36921

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36921

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政大典藏 > College of Commerce > Department of Statistics > Theses > Item 140.119/36921

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36921

Title:	貝氏分量迴歸的探討與應用-以台灣股價報酬率資料為例
Authors:	陳繼舜
Contributors:	翁久幸陳繼舜
Keywords:	分量迴歸貝氏分量迴歸馬可夫鍊蒙地卡羅方法股價報酬率
Date:	2006
Issue Date:	2009-09-18 20:09:42 (UTC+8)
Abstract:	分量迴歸在近幾年來的應用相當廣泛，但透過貝氏方法估計分量迴歸參數，是由Yu & Moyeed（2001）所提出，拜電腦運算發達之賜而生的新估計方法，因此在實證應用上的研究，貝氏分量迴歸仍在起步的狀態。並且應用馬可夫鍊蒙地卡羅方法的貝氏分量迴歸，在後驗分配的收斂上並沒有類似的探討文獻。因此本研究嘗試以馬可夫鍊蒙地卡羅方法的應用觀點出發，研究運用貝氏方法的分量迴歸估計是否達到馬可夫鍊所重視的收斂至穩態分配，也就是利用模擬資料，探討使用馬可夫鍊蒙地卡羅方法的貝氏分量迴歸在何種情況下，具有較好的收斂情形，以及選擇適當的提議分配。接著以台灣上市公司為例，依電子、紡織以及塑膠產業為別，利用貝氏分量迴歸，觀察民國86~90年，以及91~95年兩區間，股價報酬率在各分量下與財務比率的關連性，並依產業分別進行探討。本論文研究結果指出，貝氏分量迴歸在使用時仍須注意馬可夫鍊的收斂情形，將馬可夫鍊的接受頻率定在約20%~30%為佳，且估計結果與Koenker & Bassett（1978）所提出的無母數方法相當一致。在實證資料的分析上，以電子、紡織以及塑膠產業各別的配適結果來看，都依產業別的不同而具有合理的解釋，但貝氏分量迴歸容易因自變數值域的問題，造成馬可夫鍊接受頻率不理想，以及收斂速度過慢的情形，因此在應用貝氏分量迴歸時，自變數值域的影響需要納入考慮，並仍須選擇適當的提議分配、馬可夫鍊重複次數，所得到的結果才會較佳。
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Description:	碩士國立政治大學統計研究所 94354015 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094354015
Data Type:	thesis
Appears in Collections:	[Department of Statistics] Theses

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