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| 研究生： |
林秀紅 LIN, XIU-HONG |
|---|---|
| 論文名稱： |
非高斯過程時間序列選模之研究 |
| 指導教授： | 鄭天澤 |
| 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： | 1992 |
| 畢業學年度： | 80 |
| 語文別： | 中文 |
| 論文頁數： | 42 |
| 相關次數： | 點閱：78 下載：0 |
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第一章 緒論.................... 1
1. 1 研究動機與目的.................... 1
1. 2 文獻探討....................2
第二章 PKK選模法.................... 5
2.1 模型定義.................... 5
2.2 PKK 選模步驟.................... 7
2.3 一般化最小平方法....................9
2.4 模型診斷....................13
第三章 模擬結果與分析....................17
3.1 摸擬過程....................17
3.2 PKK 選模結果與分析.................... 18
3.3 AIC &BIC 選模結果與分析....................25
第四章 結論與後續研究.................... 28
參考文獻.................... 41
Akaike, H. (1974), "A New Look at the Statisitcal Model Identification", IEEE Transactions on Automatic Control, 19, 716-723.
Box, G. E. P., and Jenkins, G. M. (1976), Time Series Analysis: Forecasting and Control, 2nd ed, San Francisco, Holden-Day.
Box, G. E. P., and Pierce, D. A. (1970), "Distribution of Residual Autocorrelations in Autoregressive-Intergrated Moving Average Time Series Models," Journal of the Amercian Statistical Association, 65, 1509-1526.
Hannan, E. J. (1980), "The Estimation of the Order of an ARMA Process," The Annals of Statistics, 8, 1071-1081.
Hurvich, C. M., and Shumway, R., and Tsai, C. L. (1990), " Improved Estimation of Kullback-Leibler Information for Autoregressive Model Selection in Small Samples," Biometrika, 77, 709-719.
Hurvich, C. M., and Tsai, C. L. (1989), "Regression and Time Series Model Selection in Small Samples," Biometrika, 76, 297-307.
Hurvich, C. M., and Tsai, C. L. (1991), "Bias of the Corrected Ale Criterion for Underfitted Regression and Time Series Models," Biometrika, 79, 499-509.
Gooijer, J. G. D., and Abraham, B., and Gould, and Roubinson, L. (1985), "Methods for Determining the Order of Autoregressive Moving Average Process: A Survey," International Statistics Review, 53, 301-329.
Koreisha, S., and Pukkila, T. (1990a), "A Generalized Least-Squares Approach for Estimation of Autoregressive Moving-Average Models," Journal of Time Series Analysis, 11, 139- 151.
Koreisha, S., and Pukkila, T. (1990b), "Linear Methods for Estimating ARMA and Regression Models with Serial Correlation," Communication in Statistical Simulation, 19(1), 71-102.
Li, W. K., and McLeod, A. I. (1988), "ARMA Modelling with Non Gaussian Innovations," Journal of Time Series Analysis, 9, 155-167.
O'Donovan, T. M. (1983), Short Tenn Forecasting: An Introduction to the Box-Jenkins Approach, New York, Wiley.
Pukkila, T., and Koreisha, S., and Kallinen, A. (1990), "The identification of ARMA Models,"Biometrika, 77, 537-548.
Pukkila, T. M., and Krishnaiah, P. R. (1988), "On the Use of Autoregressive Order Detennination Criteria in Univariate White Noise Tests," IEEE Transaction on Acoustics, Speech, and, Signal Processing, 36, 764-774.
Schwarz, G. (1978), "Estimation the Dimension of A Model," The Annals of Statistics, 6, 461-464.
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