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非線性時間序列轉折區間認定之模糊統計分析 / Fuzzy Statistical Analysis for Change Periods Detection in Nonlinear Time Series陳美惠 Unknown Date (has links)
Many papers have been presented on the study of change points detection. Nonetheless, we would like to point out that in dealing with the time series with switching regimes, we should also take the characteristics of change periods into account. Because many patterns of change structure in time series exhibit a certain kind of duration, those phenomena should not be treated as a mere sudden turning at a certain time.
In this paper, we propose procedures about change periods detection for nonlinear time series. One of the detecting statistical methods is an application of fuzzy classification and generalization of Inclan and Tiao’s result. Moreover, we develop the genetic-based searching procedure, which is based on the concepts of leading genetic model. Simulation results show that the performance of these procedures is efficient and successful. Finally, two empirical applications about change periods detection for Taiwan monthly visitors arrival and exchange rate are demonstrated.
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