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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/89028


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    題名: 雙線性時間序列模式選取之研究
    Model Selection of Bilinear Time Series
    作者: 劉瑞芝
    Liou, Ruey Chih
    貢獻者: 鄭天澤
    Jeng, Tian Tzer
    劉瑞芝
    Liou, Ruey Chih
    關鍵詞: 雙線性時間序列
    模式選取
    Bilinear time series
    Model selection
    日期: 1993
    上傳時間: 2016-04-29 16:44:14 (UTC+8)
    摘要: 時間序列在過去二十年當中，受到熱列地討論，而絕大多數的文獻都是研究線性時間序列模式。但在現實生活中，很多時間序列並不符合線性的假設，因此近十年來很多學者致力研究非線性時間序列模式。其中有一種雙線性模式，因其性質與線性模式類似，故引起了廣泛注意。在本篇文章中我們是採用Subba Rao 和Gabr(1984)提出的迭代等式以及高斯－賽德迭代法估計參數，再配合 Subba Rao(1981)提出的巢狀搜尋程序，來選取雙線性模式的階數。將其選模結果與AIC、BIC以及修正後的 PKK 選模法比較。
    參考文獻: Bhaskara Rao, [vl., and Subba Rao, T ., and Walker, A.IVl.(1983), "On the
    Existence of some Bilinear Time Series Models," Journal of Time Series
    Analysis, 4,95-110.
    Brockett, R.W.(1976), "Volterra Series and Geometric Control Theory," A•uto`matica,
    12, 167-176.
    Granger, C.W.J.,and Andersen, A.P.(1978),An Introduction to Bilinear Time
    Series Analysis) Vandenhoeck and Ruprecht: Gottingen.
    Haggan, V. and Ozaki) T. (1981) , " rvIodelling Non-linear RanclOln Vi brations
    Using an Amplitude-dependent Autoregressive Tirne Series Model,"
    Biometrika, 68, 189-196.
    Koreisha, S., and Pukklia, T.(1990), "A Generalized Least -Squares Approach
    for Estimation of Autoregressive Moving-Average Models," J ournal
    of Time Series Analysis, 11, 139-151.
    Eumar, K. (1986), "On the Identification of some Bilinear Time Series rdodels,"
    Journal of Ti`me Series Analysis, 7, 117-122.
    Li, W.K. (1984), "On the Autocorrelation Strnct ure and Identification of
    some Bilinear T ime Series," Jo urnal of T i`me S eries Analysis, 5 172-
    181.
    Liu, J., and Brockwell, P,J.(1988), "On the General Bilinear Time Series
    Ivlodels," Journal of Applied Probability, 25, 553-564.

    Pham Dinh, T., and Tran, L.(1981), On the First Order Bilinear Time
    Series Moclels," Journal of Applied Probability, 18, 617-627
    Priestley, M.B.(1988),Non-Linear and Non-Stationary Time Series Analysis)
    Academic Press: London.
    Pukkila, T.M., and Koreisha, S., and Kallinen, A.(1990), :`The Identification
    of ARMA Models," Biornetrika, 77, 537-548.
    Pukkila, T,IvI., and Krishnaiah , P.R.(1988), "On the Use of Autorgressive
    Order Determination Criteria in Univariate "White~ oise Tests," IEEE
    Transaction, on Aco`lLstics) Speech, Signal Processing, 36, 764-774.
    Quinn, B. G. (1982), " Stationarity and Invertibility of Simple Bilinear Mod-els, Stochastic Processes and their Applications, 12,225-229.
    Subba Rao, T. (1981), "On the Theory of Bilinear Time Series Model," Jour-nal of The Royal Statistical Society Series B ; 43, 244-255.
    Subba Rao, T., and Eduarda A. da Silva, M.(1992), "Identification of Bilinear
    Time Series Models," Statistica Sinica, 2, 479-494.
    Subba Rao, T., and Gabr, M.M.(1980), `A Test for Linearity of Stationary
    Tinle Series ," Journal of Time Series Analysis, 1, 145-158.
    Subba Rao, T., and Gabr, }VLNI.(1984),An Introd`uction to Bispectral Analysis
    and Bilinear Time Series NIodels) Springer-Verlag: Berlin.
    Tong, H., and Lim, K.S.(1980), "Threshold Autoregression, Limit Cycles
    and Cyclical Data," Journal of The Royal Statistical Society Series
    B, 42,245-2 92.
    Tsay, R.S .(1986), "Nonlinearity Tests for Time Series," Biometrika, 73, 461-
    466.
    描述: 碩士
    國立政治大學
    統計學系
    G80354019
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002004203
    資料類型: thesis
    顯示於類別:[統計學系] 學位論文

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