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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

非線型時間序列之穩健預測 / Robust Forecasting For Nonlinear Time Series

劉勇杉, Liu, Yung Shan Unknown Date (has links)
由於時間序列在不同範疇的廣泛應用,許多實證結果已明白指出時間序列 資料普遍地存在非線性(nonlinearity),使得非線型方法在最近幾年受到 極大的重視。然而,對於某些特定的非線型模式,縱然現在已有學者提出 模式選取之檢定方法,但是它們的模式階數確認問題至今卻仍無法有效率 地解決,更遑論得到最佳的模式配適與預測結果了。所以,我們試圖利用 一已於其他科學領域成功應用之新技術──神經網路,來解決非線型時間 序列之預測問題,而我們之所以利用神經網路的原因是其多層前輸網路是 泛函數的近似器(functional approximator),對任意函數均有極佳之逼 近能力,使我們免除對時間序列資料之屬性(線性或非線性)作事先檢定或 假設的必要。在本篇論文中,我們首先建構15組雙線型時間序列資料,然 後對於這些數據分別以神經網路與自我迴歸整合移動平均(ARIMA) 模式配 適。藉著比較兩者間的配適與預測結果,我們發現神經網路對於預測非線 型時間序列是較具有穩健性。最後,我們以台幣對美元之即期匯率作為我 們的實證資料,結果亦證實了神經網路對於預測一般經濟時間序列亦較具 穩健性。 / With rapid development at the study of time series, the nonlinear approaches have attracted great attention in recent years. However, there are no efficient processes for the problem of identification to many specifically nonlinear models . Even if many testing methods have been proposed, we still can not find the best fitted model and obtain the best forecast performance. Hence, we try to solve the forecast problems by a new technique -- neurocomputing, which has been successfully applied in many scientific fields. The reason why we apply the neural networks is that the multilayer feedforward networks are functional approximators for the unknown function. In this paper, we will first construct several sets of bilinear time series and then fit these series by neural networks and ARIMA models. In this simulation study, we have found that the neural networks perform the robust forecast for some nonlinear time series. Finally, forecasting performance with favorable models will also be compared through the empirical realization of Taiwan.

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