在解釋變數含測量誤差的簡單線性迴歸模式中，欲使第t+1期之產出Y達到某一目標值Y^*，則必需控制第t+1期投入變數Z，若參數α，β為以知時，可以將其設定為θ=(Y^*-α)/β。但當參數α，β為未知時，我們利用LSCE控制法則的設定方法，得到第t+1期設定的控制值Z_t+1，而且在機率為1下，Z_t+1 收斂至θ=(Y^*-α)/β。而貝氏最佳控制法則部份則是由第t+1期的預測期望損失，找出使其為最小的Z值即是所應設定的第t+1期控制值Z_t+1，並利用模擬結果來說明。

國際研究中雖有針對國家級的銀行脆弱性作分析，卻並未定義或預測台灣系統性危機，本研究在這樣的背景下，決定建構台灣本土的銀行業預警系統，建立銀行危機的領先指標，希望不只順應國際潮流，更能發展適合台灣特殊性的模型。本研究利用貝氏網路模型的特殊性: (1)事後值(2)機率特性，以個體化資料著手，建構一總體性模型。故研究者能確切了解個別銀行財務狀況，對個別銀行發出預警。事後值的特性使研究者能同時考慮多項財務比率。另外，利用機率特性，可幫助研究者了解危機的程度，且能做總體的延伸運用。 本研究發展出兩種方法建構總體模型。第一種為百分比法，以危機銀行佔總銀行個數的比率為基礎；第二種為加權平均法，讓機率值高者有較大權數，機率小者有較小權數去建立一加權平均機率值。 將本研究的推論結果和「台灣金融服務業聯合總會委託計畫-台灣金融危機領先指標之研究」比較，顯示本模型的兩種方法皆與危機之發生有相同趨勢，而考慮危機訊號的設定後，方法二加權平均法顯然具備較佳的預測結果。此外相較總體面衝擊產生的危機，本模型在預測能力上，對來自銀行個體面造成的危機預測明顯較優異。 / International organizations defined and predicted country bank crises events without Taiwan, but they happened in Taiwan in the past twenty years. We construct the early warning system for banking crises in Taiwan and develop the specific model suited to our country. Using Bayesian Model’s specialities: (1) posterior value; (2) probability, we build a systematic model based on microeconomic data. So researcher can understand all financial conditions and predict the financial distresses of individual banks. The concept of posteriority lets researchers can consider a lot of financial ratio at the same time. The characteristic of probability makes researcher to extend the model to macroeconomic. We develop two methods to build systematic model. One is Percentage method which is based on the percentage of financial distress banks to all banks. The other one is weighted average method which used large weight in financial distress bank and small weight in financial sound banks. Comparing our results with the report that Taiwan Financial Services Roundtable issued in 2009, our methods have distress trends which link with crisis directly. But weighted average method has a better predict power than percentage method after considering the signals of distress we specify. Besides, our model has a stronger predictive power in crises from individual effect than crises from macroeconomic shocks.

在植被覆蓋的山區中，由於空載雷射掃描可穿透植被間縫隙的特性，有較高機會收集到植被下的地面資訊，因此適合作為製作植被覆蓋地區數值高程模型的資料來源，而在過濾過程中，一般僅利用點雲間的三維位置關係進行幾何過濾，而全波形空載雷射掃描可另外提供點位的波形寬、振幅值、散射截面積以及散射截面積數等波形資料，本研究將透過波形資料分析進行點雲過濾。 首先經最低點採樣後，本研究利用貝氏定理自動分析並計算得到地面點的波形資料的特徵區間範圍，採用振幅值、散射截面積以及散射截面積係數得到的特徵區間範圍開始第一階段的波形資料過濾，完成後再以第二階段的一般幾何過濾濾除剩餘之非地面點，最後的成果將與航測以及只採用幾何過濾時的成果比較。 由研究成果中顯示，不同的植被覆蓋間的單一回波波形資料的差異較明顯，最後回波類似。同一植被覆蓋下的單一回波及最後回波反應不同。而在成果的比較中，本實驗的成果與不採用波形資料輔助的成果大致相同本研究的成果在部分植被覆蓋的區域成果稍差，但透過波形過濾，可將幾何過濾所需計算的點雲數減少許多，可以增進整理過濾的效率。本研究的成果與航測相比時，在植被覆蓋區域較航測成果貼近實際的地面起伏，數值高程模型成果較為正確。 / In mountain areas covered with vegetation, discrete airborne laser scanning is an appropriate technique to produce DEMs for its laser signal is able to reach the ground beneath the vegetation. Once the scanned data was derived, point cloud filtering was performed based on the geometry relationship between the points at the processing stage. With the development of the advanced full-waveform laser scanning system, the additional waveform data has been proved useful for improving the performance of point cloud filtering. This research therefore focused on using the waveform data to extract DEM over vegetation covered area. The amplitude, backscatter cross-section and backscatter cross-section coefficient were the waveform parameters used to do the filtering. After initial waveform analysis was accomplished, an automated method to determine threshold range of each parameter representing ground points was proposed. By applying the thresholds, the original point cloud was filtered. Geometric filtering method was then used to eliminate the remained non-ground points. As a result, the DEM over the target vegetated area was derived. With the comparison against photogrammetric DEM and DEM derived from traditional filtering method, it was demonstrated that the quality of the resultant DEM was improved.

生活於數位時代，巨量的個人生命記憶使得人們難以輕易解讀，必須經過檢索或標籤化才可以進一步瞭解背後的意涵。本研究著力個人記憶裡繁瑣及週期性的廣泛事件，進行於「情節記憶語意化」以及「何以權衡大眾與個人資訊」兩議題之探討。透過生命記憶平台裡影像標籤自動化功能，我們以時空資訊為索引提出持續性概念重構模型，整合共同知識、個人近況以及個人偏好三項因素，模擬人們對每張照片下標籤時的認知歷程，改善其廣泛事件上註釋困難。在實驗設計上，實作大眾資訊模型、個人資訊模型以及本研究持續性概念重構模型，並招收九位受試者來剖析其認知歷程以及註釋效率。實驗結果顯示持續性概念重構模型解決了上述大眾與個人兩模型上的極限，即舊地重遊、季節性活動、非延續性活動性質以及資訊邊界註釋上的問題，因此本研究達成其個人生命記憶在廣泛事件之語意標籤自動化示範。 / In the digital era, labeling and retrieving are ways to understand the meaning behind a huge amount of lifetime archive. Foucusing on tedious and periodic general events, this study will discuss two issues: (1) the semantics of episodic memory (2) the trade-off between common and personal knowledge. Using the automatic image-tagging technique of lifelong digital archiving system, we propose the Coutinuous Reconceptualization Model which models the cognitive processing of examplar categorization based on temporal-spatial information. Integrating the common knowlegde, current personal life and hobby, the Continuous Reconceptualization Model improves the tagging efficiency. In this experiment, we compare the accuracy of cognitive modeling and tagging efficiency of the three distinct models: the common knowledge model, personal knowledge model and Coutinuous Reconceptualization Model. Nine participants were recruited to label the photos. The results show that the Continous Reconceptualization Model overcomes the limitations inherent in other models, including the auto-tagging problems of modeling certain situations, such as re-visiting places, seasonal activities, noncontinuous activities and information boundary. Consequently, the Continuous Reconceptualization Model demonstrated the efficiency of the automatic image-tagging technique used in the semantic labeling of the general event of personal memory.

本篇論文的目的在介紹階層貝氏之時間與空間統計模式(spatio-temporal model)，將此模式應用在疾病地圖的分析，以了解疾病在空間上的分佈狀態與時間趨勢。模型中除了納入時間、空間和年齡的效應外，也包括時間與空間、時間與年齡的交互作用，並考慮到空間相關性(spatial correlation)，然後以DIC值(Deviance information criterion)作為模式選取的準則。 本文並以民國88-90年全身紅斑性狼瘡的女性患病人數做為實證分析的資料。配適時間與空間統計模式後，以馬可夫鏈蒙地卡羅法(MCMC)來模擬參數值，估計出各時間、地區、年齡層的對數疾病發生率。由疾病地圖可看出，台灣地區全身紅斑性狼瘡的女性疾病發生率，以20-59歲的年齡層發生率較高，0-19歲的發生率較低。不管在哪一個年齡層，北部和中部地區的發生率都是最高的。時間趨勢方面，88-90年整體疾病發生率有遞減的趨勢，60歲以上的發生率也是遞減的趨勢。但在部分地區，則有發生率遞增的趨勢。 / In this study, we introduce the spatio-temporal model in a hierarchical Bayesian framework and use disease maps to display the spatial patterns and the temporal trends of disease. A special feature of the model is the inclusion of spatial correlations used to examine spatial effects relative to both regional and regional changes over time by group. Then, we use deviance information criterion (DIC) to compare complex hierarchical models. The methodology is illustrated by an analysis of female Systemic Lupls Erythematosus (SLE) morbidity data in Taiwan during the period 1999-2001.The model inference is implemented using Markov chain Monte Carlo method. The outcomes of the practical analysis appear that the higher morbidity rate occurs in 20-year and 40-year period. No matter what age group, the morbidity rate is highest in the north and the middle of Taiwan. Furthermore, the morbidity rate decreases with respect to year as well as over the 60-year period but it increases in some places.

本研究以貝氏網路作為表示教學領域中各個學習觀念的關係的語言。教學領域中的學習觀念包含了基本觀念與綜合觀念，綜合觀念是由兩個以上的基本觀念所衍生出來的觀念，而綜合觀念的學習歷程即為學生在學習的過程中如何整合這些基本觀念的過程。了解綜合觀念的學習歷程可以幫助教師及出題者了解學生的學習路徑，並修改其教學或出題的方針，以期能提供適性化的教學及測驗。為了從考生答題資料中尋找出這個隱藏的綜合觀念學習歷程，我們提出一套以mutual information以及一套以chi-square test所發展出來的研究方法，希望能夠藉由一個模擬環境中模擬考生的答題資料來猜測考生學習綜合觀念的學習歷程。 初步的實驗結果顯示出，在一些特殊的條件假設下，我們的方法有不錯的機會找到暗藏在模擬系統中的學習歷程。因此我們進而嘗試提出一個策略來尋找較大規模結構中的學習歷程，利用搜尋的概念嘗試是否能較有效率的尋找出學生對於綜合觀念學習歷程。雖然在實驗中並沒有十分理想的結果，但是在實驗的過程中，我們除了發現學生答題資料的模糊程度為系統的正確率的主要挑戰之外，另外也發現了學生類別與觀念能力之間的關係也是影響實驗結果的主要因素。透過我們的方法，雖然不能完美的找出學生對於任何綜合觀念的綜合歷程，但是我們的實驗過程與結果也對隱藏的真實歷程結構提供了不少線索。 最後，我們探討如何藉由觀察學生接受測驗的結果來分類不同學習程度與狀況的學生之相關問題與技術。我們利用最近鄰居分類法與k-means分群法以及基於這些方法所變化出的方法，探討是否能透過學生的答題資料有效的分辨學生能力的類別。實驗結果顯示出，在每個觀念擁有多道測驗試題的情況下，利用最近鄰居分類法與k-means分群法以及基於這些方法所變化出的方法，藉由考生答題資料來進行學生能力類別的分類可以得到不錯的正確率。我們希望這些探討和結果能對適性化教學作出一些貢獻。 / In this thesis, I employ Bayesian networks to represent relations between concepts in pedagogical domains. We consider basic concepts, and composite concepts that are integrated from the basic ones. The learning processes of composite concepts are the ways how students integrate the basic concepts to form the composite concepts. Information about the learning processes can help teachers know the learning paths of students and revise their teaching methods so that teachers can provide adaptive course contents and assessments. In order to find out the latent learning processes based on students’ item response patterns, I propose two methods: a mutual information-based approach and a chi-square test-stimulated heuristics, and examine the ideas in a simulated environment. Results of some preliminary experiments showed that the proposed methods offered satisfactory performance under some particular conditions. Hence, I went a step further to propose a search method that tried to find out the learning process of larger structures in a more efficient way. Although the experimental results for the search method were not very satisfactory, we would find that both the uncertainty included by the students’ item response patterns and the relations between student groups and concepts substantially influenced the performance achieved by the proposed methods. Although the proposed methods did not find out the learning processes perfectly, the experimental processes and results indeed had the potential to provide information about the latent learning processes. Finally, I attempted to classify students’ competence according to their item response patterns. I used the nearest neighbor algorithm, the k-means algorithm, and some variations of these two algorithms to classify students’ competence patterns. Experimental results showed that the more the test items used in the assessment, the higher the accuracy of classification we could obtain. I hope that these experimental results can make contributions towards adaptive learning.

本文以貝氏方法估計方向距離函數，加入單調性與曲度限制，同時考慮環境變數於模型中。為了凸顯考慮非意欲產出方向距離函數的優點，本文同時估計產出面射線距離函數，並與方向距離函數模型比較。實證分析資料為1970至2010年間各國總體經濟變數，分別在有無加入限制條件與環境變數的狀況下，估計兩種距離函數，從無效率值、效率分數與技術進步率等角度分析彼此間的差異。發現射線距離函數模型由於忽略非意欲產出，傾向高估生產單位的技術效率。另一方面，其係數估計值容易違反射線距離函數的先天性質，較不具參考性。而方向距離函數模型當中，有無加入限制條件與有無考慮環境變數的模型結果各不相同，其中同時加入限制條件與環境變數的模型結果最為合理。

現今市場競爭愈來愈激烈，迫使廠商紛紛至海外尋求產品消費市場，在跨國銷售的背景之下，需要有更多可以確定國家選擇、預測銷售及估計需求的方法。而其中可以滿足這些需求的方法之中，就是研究產品跨國擴散型態，藉以瞭解後進國家與領先國家中新產品如何擴散且會如何互相影響 (Douglas and Craig, 1992)。 在眾多的跨國產品中，本研究選擇好萊塢電影做為實證分析的對象。 經由集群分析，本研究發現（一）台灣高首週票房且口碑佳的電影，會遇到假日人潮、有很高的美國總票房、以及很高的美國首週票房；（二）美國影片在美國及台灣映演的每週票房趨勢有差異存在；（三）片商沒有做好影片在台灣映演的檔期歸劃；（四）三群電影中，在影片類型沒有明顯地區別。 經由十二個新產品銷售預測模型的建立：對數線性迴歸模式（LN-Regression Model）（不考慮新產品領先國擴散經驗）（以OLS估計）、卜瓦松迴歸模式(Poisson Regression Model) （不考慮新產品領先國擴散經驗）（以MLE估計）、負二項分配迴歸模式(Negative Binomial Distribution Regression Model) （不考慮新產品領先國擴散經驗）（以MLE估計）、Exponential Decay模式（以OLS估計）＋迴歸方程式體系（不考慮新產品領先國擴散經驗）（以SUR估計）、Exponential Decay模式（以OLS估計）＋迴歸方程式體系（考慮新產品領先國擴散經驗）（以SUR估計）、Exponential Decay模式＋層級貝氏迴歸模式（考慮新產品領先國擴散經驗）、Bass連續型擴散模式（以NLS估計）＋迴歸方程式體系（不考慮新產品領先國擴散經驗（以SUR估計）、Bass連續型擴散模式（以NLS估計）＋迴歸方程式體系（考慮新產品領先國擴散經驗（以SUR估計）、Bass離散型擴散模式（以OLS估計）＋迴歸方程式體系（不考慮新產品領先國擴散經驗）（以SUR估計）、Bass離散型擴散模式（以OLS估計）＋迴歸方程式體系（考慮新產品領先國擴散經驗）（以SUR估計）、層級貝氏BASS離散型擴散模式＋迴歸方程式體系（不考慮新產品領先國擴散經驗）（以SUR估計）、層級貝氏BASS離散型擴散模式＋迴歸方程式體系（考慮新產品領先國擴散經驗）（以SUR估計）。本研究發現：（一）在考慮影響後進國的新產品擴散速度時，領先國的擴散經驗為絕對必要的考慮因子；（二）必須使用Bass連續型擴散模式做為建構新產品銷售預測模型的基礎；（三）必須使用Bass連續型擴散模式的NLS估計法估計Bass模型的創新係數p、模仿係數q及市場潛量m。

自1997年以降，受到亞洲金融風暴的衝擊，亞洲各國匯率巨幅波動，於是如何增進匯率預測的準確度已成為重要的研究課題。而自1973年布列敦森林體制崩潰，各工業國家改採浮動匯率以來，匯率巨幅波動致使國際收支理論不再能解釋匯率如何決定，於是1970年代，學者們紛紛提出各種匯率決定理論，其中以貨幣學派模型與資產組合平衡模型最受到重視。然而，自1978年始，這些結構模型的解釋能力逐漸受到質疑，在1983年Meese and Rogoff甚至提出結構模型的樣本外預測能力不如隨機漫步模型的樣本外預測表現，引起學者們的討論到底何者的樣本外預測表現較佳。而隨著計量方法的演進實證研究已由恆定的計量方法演進至非恆定的計量方法，在非恆定的計量方法方面，MacDonald and Taylor(1993、1994)、吳宜璋(1996)等人的研究皆採誤差修正模型來做預測。 本研究亦採誤差修正模型來做預測，但對其他學者的研究稍作改良：1.加入結構變動虛擬變數2.以向量誤差修正模型而非一條誤差修正的式子來做預測，在此以整個體系的觀點來做預測3.以背氏方法加入相驗情報來改善預測。 結論為在金融風暴發生期間，匯率受非基本面因素影響較大時，貝氏向量自迴歸模型預測表現較佳。而在金融風暴發生之前，匯率受基本面影響較小時，以貝氏向量誤差修正模型為良好的預測模型。 / This study improves other scholars' empirical studies by testing structure changes and by using Vector Error Correction Model to forecast N.T. Dollars. Futhermore,use Bayesian Method to improve predition .The conclusion is Bayesian VAR Model perform better when forecasting period include Asian finanl crisis . And Bayesian VECM Model is better model when forecasting period don't include Asian financial crisis.And the out of sample prediction performance of structure model is better than Random Walk Model.

本文包含關於估計風險與動態資產配置的兩篇研究。第一篇研究主要就當須估計的投資組合其投入參數具有高維度特質的觀點下，探究因忽略不確定性通膨而對資產配置過程中帶來的估計風險。此研究基於多重群組架構下所發展出的新投資決策法則，能夠確實地評價不確定性通膨對資產報酬的影響性，並在應用於建構大規模投資組合時，能有效減少進行最適化投資決策過程中所需的演算時間與成本。而將此模型應用於建構全球ETFs投資組合的實證結果則進一步顯示，若在均值變異數架構下，因建構大型投資組合時須估計高維度投入參數而伴隨有大量估計風險時，參數估計方式建議結合採用貝氏估計方法來估算資產報酬的一階與二階動差，其所對應得到的投資組合樣本外績效會比直接採用歷史樣本動差來得佳。此實證結果亦隱含：在均值變異數架構下，穩定的參數估計值比起最新且即時的參數估計資訊對於投資組合的績效來得有益。同時，若當投入參數的樣本估計值波動很大時，增加放空限制亦能有利投組樣本外績效。 第二篇文章則主要處理當處於對數常態證券市場下時，投資組合報酬率不具有有限動差並導致無法在均值變異數架構下發展出最適化封閉解時的難題。本研究示範此時可透過漸近方法的應用，有效發展出在具有放空限制下，考量了估計風險後的簡單投資組合配置法則，並且展示如何將其應用至實務上的資產配置過程以建構全球投資組合。本文的數值範例與實證模擬結果皆顯示，估計風險的存在對於最適投資組合的選擇有實質的影響，無估計風險下得出的最適投資組合，不必然是存有估計風險下的最適投資組合。此外，實證模擬結果亦證明，當存有估計風險時，本文所發展的簡單法則，能使建構出的投資組合具有較佳的樣本外績效表現。 / This dissertation consists of two essays on dynamic asset allocation with regard to dealing with estimation risk as being in different uncertainties in the mean-variance framework. The first essay concerns estimation errors from disregarding uncertain inflation in terms of the need in estimating high-dimensional input parameters for portfolio optimization. This study presents simplified and valid criteria referred to as the EGP-IMG model based on the multi-group framework to be capable of pricing inflation risk in a world of uncertainty. Empirical studies shows the proposed model indeed provides a smart way in picking worldwide ETFs that serves well to reduce the amount of costs and time in constructing a global portfolio when facing a large number of investment products. The effect of Bayesian estimation on improving estimation risk as the decision maker is subject to history sample moments for input parameters estimations is meanwhile examined. The results indicate portfolios implementing the Stein estimation and shrinkage estimators offer better performance compared with those applying the history sample estimators. It implicitly demonstrates that yielding stable estimates for means and covariances is more critical in the MV framework than getting the newest up-to-date parameters estimates for improving portfolio performance. Though short-sales constraints intuitively should hurt, they do practically contribute to uplift portfolio performance as being subject to volatile estimates of returns moments. The second essay undertakes the difficulty that the probability distribution of a portfolio's returns may not have finite moments in a lognormal-securities market, and thus leads to the arduous problem in solving the closed-form solutions for the optimal portfolio under the mean-variance framework. As being in a lognormal-securities market, this study systematically delivers a simple rule in optimization with regard to the presence of estimation risk. The simple rule is derived accordingly by means of asymptotic properties when short sales are not allowed. The consequently numerical example specifies the detailed procedures and shows that the optimal portfolio with estimation risk is not equivalent to that ignoring the existence of estimation risk. In addition, the portfolio performance based on the proposed simple rule is examined to present a better out-of-sample portfolio performance relative to the benchmarks.