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Author:宋珩箴
Author (Eng.):Heng-Chen Sung
Title:長距相關小波模型的參數估計
Title (Eng.):Estimation for Long-Memory Wavelet Models
Advisor:徐南蓉徐南蓉 author reflink
advisor (eng):Nan-Jung Hsu
degree:Master
Institution:國立清華大學
Department:統計學研究所
Narrow Field:數學及統計學門
Detailed Field:統計學類
Types of papers:Academic thesis/ dissertation
Publication Year:2006
Graduated Academic Year:94
language:Chinese
number of pages:45
keyword (chi):長距相關小波
keyword (eng):long memorywavelet
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本文利用小波係數的變異數將長距相關模型建構於小波域上,稱為長距相關小波模型,再利用最大概似估計法,EM演算法,貝氏分析法等方法來估計此模型的參數。透過模擬分析我們發現長距相關小波模型搭配最大概似估計法估計,普遍較GPH估計量的誤差小。在實證分析上我們利用長距相關小波模型來描述北半球月氣溫,其預測結果與ARFIMA模式相當。
第一章 文獻回顧 1 第二章 小波轉換 3
第三章 長距相關模型 7
3.1 ARFIMA模型……………………………………………. 7
3.2 長距相關小波模型………………………………………9
3.3 ARFIMA模型與長距相關小波模型之關聯性………...11
第四章 參數估計方法 22
4.1 最大概似估計…………………………………………..22
4.2 EM 演算法……………………………………………...23
4.3 貝氏分析…………………………………………………25
第五章 數值模擬 29
5.1 模擬的設定……………………………………………..29
5.2 模擬結果………………………………………………..30
第六章 實證應用 34
附錄 39
參考文獻 42
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Vidakovic, B. (1999). Statistical Modeling by Wavelets, John Wiley & Sons, New York.
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