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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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Use of Partial Cumulative Sum to Detect Trends and Change Periods in Time Series Analysis with Fuzzy Statistics陳力揚 Unknown Date (has links)
轉折點與趨勢的研究在時間數列分析、經濟與財務領域裡一直是重要的研究主題。隨著所欲研究的物件之結構複雜性日益增加,再加上人類的知識語言因人類本身的主觀意識、不同時間、環境的變遷與研判事件的角度等條件下,可能使得所蒐集到的時間數列資料具某種程度的模糊性。為此,Zadeh[1965]提出了模糊理論,專門解決這一類的問題。在討論時間數列分析中的轉折點與趨勢問題時,常常會遇到時間數列的轉折過程緩慢且不明顯的情況。因此傳統的轉折點研究方法在這種情形下便顯得不足。對此,許多學者提出了轉折區間的概念。然而轉折區間的概念仍然存在一個潛在的困擾:在一個小的時間區間下,一個被認定的轉折區間可能在時間區間拉得很長的情況下,被視為是一個不重要的擾動或雜訊。本文嘗試藉由模糊統計量,提出一個轉折區間與趨勢的偵測方法。與其他轉折區間偵測法不同的是我們所提的方法能藉由控制參數,偵測到合乎使用者需求的轉折區間,進而找到一個趨勢的起點與終點。藉此避免把雜訊當成轉折區間或把轉折區間當成雜訊的困擾。因為使用了模糊統計量,同時也解決了資料的模糊性問題。 / Because the structural change of a time series from one pattern to another may not switch at once but rather experience a period of adjustment time, conventional change points detection may be inappropriate to apply under this circumstance. Furthermore, changes in time series often occur gradually so that there is a certain amount of fuzziness in the change point. For this, many research have focused on the theory of change periods detection for a better model to fit. However, a change period in some small observation time interval may seem a neglectable noise in a larger observation time interval. In this paper, we propose an approach to detect trends and change periods with fuzzy statistics through using partial cumulative sum. By controlling the parameters, we can filter the noises and find out suitable change periods. With the change periods, we can further find the trends in a time series. Finally, some simulated data and empirical examples are studied to test our approach. Simulation and empirical results show that the performance of our approach is satisfactorily successful.
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模糊資料分類與模式建構探討-以單身人口數及失業率為例 / A study on the fuzzy data classification and model construction - with case study on the population of singles versus unemployment rate游鈞毅, Yu,Chun Yi Unknown Date (has links)
資料分類的應用在時間數列的分析與預測過程相當重要。而模糊資料近年來更受到重視,其應用的範圍包含:財金、社會、生醫、電機等各個領域。本研究欲運用模糊資料分類法,對區間時間數列的轉折偵測與模式建構做一個深入探討。主要應用平均累加模糊熵(average of the sum of fuzzy entropies), 找出其結構性改變的區間。並針對區間型時間數列進行模式建構診斷與預測。最後我們以單身人口數與失業率為實列做一個詳細的探討。結果顯示,失業率對單身人口數有顯著的影響而孤鸞年的效應並不顯著。 / The application of data classifications in time series analysis and forecasting is rather important. The fuzzy data classification has received much attention recently. It can be applied on various fields such as finance, sociology, biomedicine, electrical engineering and so on. This study is to use the fuzzy data classification to perform an intensive research on the change periods detection and model construction of the interval time series. We use average of the sum of fuzzy entropies to find out interval of the structural changes. Focusing on the time series of intervals, we build a model and make prediction about it. At the end, based on the case study on the population of singles versus, we thoroughly discuss this topic. The result shows that the unemployment rate does significantly correlate with the population of singles, but the "widow's year" does not .
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