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研究生:陳淑瑜
研究生(外文):Shu-Yu Chen
論文名稱:DTGARCH時間數列模型之估計與適合度檢定
論文名稱(外文):Estimation And Diagnostics for Double-Threshold GARCH Time Series Models
指導教授:陳婉淑
指導教授(外文):Chen,Woan Shu
學位類別:碩士
校院名稱:逢甲大學
系所名稱:統計與精算研究所
學門:數學及統計學門
學類:統計學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
中文關鍵詞:時間數列模型門檻自我迴歸模型馬可夫鏈蒙地卡羅法估計診斷分析重點抽樣一般化自迴歸條件異質變異數模型貝氏分析
外文關鍵詞:DiagnosticsMCMCTARmodel adequacyGARCHThresholdGibbs samplerMetropolis
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Li and Li(1996)提出 DTARCH 模型(double-threshold autoregressive conditional heteroscedastic time series model)文中使用Tasy(1989)所提出的重建的自迴歸(arranged autoregression)技巧及Mak and Li (1994)的疊代加權最小平方方法來估計參數,並且使用Li(1992)和Li and Mak(1994)所提出的方法對模型進行診斷。本文將其模式加以延伸為結合TAR與GARCH模型,簡稱為DTGARCH模型,並利用貝氏分析,以馬可夫鏈蒙地卡羅的方法對參數進行估計,在適合度檢定方面,本文是將Gerlach,Carter,and Kohn(1997)在貝氏分析的架構下所提的方法應用於適合度檢定上。
第一章 緒論
第二章 模型建立與貝氏分析程序
2.1 模型介紹
2.2 參數之後驗分配
2.3 貝氏估計方法-馬可夫鏈蒙地卡羅(MCMC)法
2.3.1 吉氏取樣(Gibbs Sampler)
2.3.2 Metropolis 演算法
第三章 模型適合度
第四章 資料分析
4.1 模擬資料
4.1.1 參數估計
4.1.2 模型之適合度檢定
4.2 實例資料分析
4.2.1 資料說明
4.2.2 分析過程
4.2.3 分析結果
第五章 結論與未來研究方向
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