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| 研究生： |
王治鈞 Wang, Jhih Jyun |
|---|---|
| 論文名稱： |
含外生多變數之時間數列門檻模式模型分析與預測 Constructing Threshold Model with Exogenous Variables and its Forecasting |
| 指導教授： |
吳柏林
Wu, Berlin |
| 口試委員: |
吳柏林
Wu, Berlin |
| 學位類別： |
碩士
Master |
| 系所名稱： |
理學院 - 應用數學系 Department of Mathematical Sciences |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 39 |
| 中文關鍵詞： | 外生多變數 、時間數列 、門檻模式 、預測 |
| 外文關鍵詞： | Exogenous variables, Time series, Threshold model, Forecasting |
| DOI URL： | http://doi.org/10.6814/NCCU202000969 |
| 相關次數： | 點閱：107 下載：2 |
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研究目的: 探討含外生變數之時間數列門檻模式及其應用。 研究方法: 利用隱性變數找出模型之門檻值，並考慮系統內能變化修正預測。 研究發現: 含外生多變數之模糊時間數列門檻模式模型分析與預測。 研究創新: 提出以含外生多變數之門檻模式架構方法。 研究價值: 提出用模糊熵來做預測修正，增加預測之準確度。 研究結論: 本研究建構之模式，均優於傳統的模式分析與預測。
Research Objectives: Exploring the threshold model with exogenous variables and its application. Research Methods: Use implicit variables to find the threshold of the model, and consider the system internal energy change correction prediction. Research Findings: Analysis and Forecasting of threshold model of fuzzy time series with multivariate. Research Innovations: Proposing a threshold architecture method with multivariate. Research Value: Propose to use entropy to make prediction corrections and increase the accuracy of predictions.
1. 前言 1
2. 研究理論與方法 4
2.1 含外生多變數之門檻自迴歸模型 4
2.2 隱性變數的門檻設定 9
2.3 模式的比較 11
2.4 模式建構的程序 13
2.5 預測的修正—應用熵進行優質預測 14
3. 實證分析 15
3.1 建立含外生變數之台股指數門檻模式 15
3.2 預測與修正 23
3.3 模型的效率性 27
3.4 分析與討論 36
4. 結論 37
5. 參考文獻 38
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[2]. 吳柏林 (2005) 模糊統計導論, 方法與應用. 台北：五南書局
[3]. 楊奕農(2009) 時間序列分析：經濟與財務上之應用。台北，雙葉書廊。
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[12]. Hansen, Bruce E. (1999). Testing for Linearity, Journal of Economic Surveys, Vol.13, No.5, pp551-576..
[13]. Chia-Lin Chang (2009). A Panel Threshold Model of Tourism Specialization and Economic Development, International Journal of Intelligent Technologies and Applied Statistics, pp. 159-186
[14]. Qunyong Wang (2015). Fixed-effect panel threshold model using Stata, The Stata Journal (2015) 15, Number 1, pp. 121-134
[15]. Henk A Tennekes (2016). A Critical Appraisal of the Threshold of Toxicity Model for NonCarcinogens, Journal of r uoJ Environmental & Analytical Toxicology
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[17]. Klaus K.Holst (2016). The liability threshold model for censored twin data, Computational Statistics & Data Analysis, Vol.93, January 2016, pp324-335
