English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110944/141864 (78%)
Visitors : 47883134      Online Users : 598
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/87864
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87864


    Title: 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
    Authors: 李品青
    Li, Piin-Ching
    Contributors: 鄭天澤
    Yang, Su-Fen
    李品青
    Li, Piin-Ching
    Keywords: 轉換模型
    Level shift
    Variance changes
    Transfer function models
    Date: 1994
    Issue Date: 2016-04-29 09:21:01 (UTC+8)
    Abstract: 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.
    Reference: 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.
    Description: 碩士
    國立政治大學
    統計學系
    82354010
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003386
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback