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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/7539

    Title: 股票變化之穩健預測
    Authors: 楊文熙;Wen-Hsi Yang
    Contributors: 統計研究所
    Keywords: 經驗振協分解;IMF;EMD
    Date: 2003-06-13
    Issue Date: 2009-09-22 10:59:37 (UTC+8)
    Publisher: 國立中央大學圖書館
    Abstract: 摘要 本文研究股票指數及股票報酬率的預測。由於上述資料屬於非平穩(nonstationary)非線性(nonlinear)時間數列,本文首先參考Huang et al. (1998)提出的經驗協振分解(empirical mode decomposition,記作EMD),取用其中變化量較大的數個本質協振函數(intrinsic mode function,記作IMF),描述上述時間數列。然後藉由配適資料預測未來數值。本文分析的資料除台灣的加權平均股票變化,亦包含美國高科技的那斯達克指數(Nasdaq index)及道瓊工業指數(Dow Jones industrial average index)的變化。
    Appears in Collections:[統計研究所] 博碩士論文

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