臺灣博碩士論文加值系統

在這一篇論文之中,我們想要比較不同預測方法在有限樣本時的優劣情形,並且想要知道預測方法中的隨機性是否對於預測二元數列有實質的幫助。透過模擬研究結果發現,對於幾乎所有的二元數列之預測問題而言,任何類型的隨機性對於預測是無益的,因此建議使用多數決方法來預測二元數列。此外,我們亦建構一個在馬可夫鏈模型下多數決方法之大樣本理論。

In this work, we compare the finite sample performances of some prediction algorithms through simulation studies.We also want to see if the randomization is really beneficial in predicting binary sequences.Our study indicates that any sort of randomization is not really favorable for predicting almost all kind of binary data,hence the play-the-winner strategy is suggested.Our study also establishes an asymptotic property of the play-the-winner rule under the Markov chain scheme.

1 Introduction 2
1.1 The Background 2
1.2 Predictors 3
1.3 Motivation 11
1.4 Organization 12

2 Simulated Comparsion of Different Prediction Algorithms 13
2.1 Independent Case 14
2.1.1 Comparisons 14
2.2.2 Summary 15
2.2 Dependent Case 20
2.2.1 Preliminary Results 20
2.2.2 Comparisons 26
2.2.3 Summary 29

3 Asymptotic Property of Play-the-winner Strategy under
the Markov Chain Scheme 39

4 Application and Conclusion 45
4.1 Simple Application to Stock Price Process 45
4.1.1 Data 45
4.1.2 Comparisons 46
4.1.3 Summary 47
4.2 Conclusion 48

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