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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/7394


    Title: 多變量臨界自迴歸模型之檢定
    Authors: 蔡明欽;Ming-Qian Cai
    Contributors: 統計研究所
    Keywords: 臨界自迴歸;threshold;change point
    Date: 2001-06-19
    Issue Date: 2009-09-22 10:57:11 (UTC+8)
    Publisher: 國立中央大學圖書館
    Abstract: 使用單一線性模型來描述一時間數列,這樣模型常常令人覺得是不夠的, 所以,非單一線性模型在近年來已經被廣泛的討論.臨界自迴歸模型(threshold autoregression model)用以描述非單一模型的時間數列資料,在非線性的時間序列資料的應用十分廣泛.本文主要依據Chan (1990)單變量臨界自迴歸模型的檢定方法,與Chan (1991)中求取檢定統計量漸近分配之方法,推廣至多變量模型,並驗證近似分配之準確度. Tsay(1989)及Tsay(1998)對於單變量與多變量臨界自迴歸模型提出一個檢定方法,並且做模擬來檢定其統計量的檢定力近似分配,本文將會在與Tsay相同模擬情況下,檢定Chan之統計量的檢定力,並就兩者之檢定力比較之. none
    Appears in Collections:[Graduate Institute of Statistics] Electronic Thesis & Dissertation

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