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研究生： 李品青
Li, Piin-Ching
論文名稱： 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
指導教授： 鄭天澤
Yang, Su-Fen
學位類別： 碩士
Master
系所名稱： 商學院 - 統計學系
Department of Statistics
論文出版年： 2013
畢業學年度： 83
語文別： 中文
論文頁數： 47
中文關鍵詞： 轉換模型
外文關鍵詞： Level shift, Variance changes, Transfer function models
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    • 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.

    Chapter1：Introduction..........1
    Chapter2：Dynamic Regression Framework and Structure Changes..........3
    2.1：Dynamic Regression Framework..........3
    2.2：Structure Changes..........4
    Chapter3：Estimation of the Impact..........8
    3.1：”Passed” Situations..........8
    3.1.1：Transient Level Change..........8
    3.1.2：Permanent Level Chang..........10
    3.1.3：Variance Change..........12
    3.2：”Nonpassed” Situations..........13
    3.2.1：Transient Level Change..........14
    3.2.2：Permanent Level Change..........16
    3.2.3：Variance Change..........19
    Chapter4：Hypothesis and Detecting Procedure..........21
    4.1：Hypothesis and Test Statistice..........21
    4.2：The Detecting Procedure..........22
    Chapter5：Simulation Results..........28
    Appendix A：The SCA Program－For Model 1, Model 5..........32
    Appendix B：The Borland C++Program－For Model 1, Model 5..........35
    Reference..........41

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