Ip Ching-Tak. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 68-70). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- The Importance of Time Series Analysis with Outliers --- p.1 / Chapter 2 --- Outlier Analysis in Time Series --- p.4 / Chapter 2.1 --- Basic Idea --- p.4 / Chapter 2.2 --- Outliers in Time Series --- p.6 / Chapter 2.2.1 --- One Outlier Case --- p.6 / Chapter 2.2.2 --- Multiple Outliers Case --- p.8 / Chapter 2.3 --- Outlier Identification --- p.9 / Chapter 2.3.1 --- Outlier Detection of One Outlier Case --- p.9 / Chapter 2.3.2 --- Case of Unknown Model Parameters --- p.10 / Chapter 2.3.3 --- Iterative Identification Procedure --- p.10 / Chapter 3 --- ARMA Model Forecasting --- p.13 / Chapter 3.1 --- Unknown Model Problem --- p.13 / Chapter 3.1.1 --- AR Approximation --- p.14 / Chapter 3.1.2 --- ARMA Approximation --- p.15 / Chapter 3.1.3 --- "Comparison of AIC, AICC and BIC" --- p.16 / Chapter 3.2 --- A Simulation Study --- p.19 / Chapter 3.2.1 --- Results for One-Step-Ahead Forecast --- p.20 / Chapter 3.2.2 --- Results for the Mean of Multiple Forecasts --- p.22 / Chapter 4 --- ARIMA Model Forecasting --- p.24 / Chapter 4.1 --- Effect of Differencing on Time Series --- p.24 / Chapter 4.1.1 --- Outlier Free Model --- p.24 / Chapter 4.1.2 --- Outlier Model --- p.25 / Chapter 4.2 --- Unknown Model Problem --- p.28 / Chapter 4.2.1 --- AR Approximation --- p.28 / Chapter 4.2.2 --- ARMA Approximation --- p.28 / Chapter 4.3 --- Unknown Differencing Case --- p.29 / Chapter 4.4 --- A Simulation Study --- p.29 / Chapter 4.4.1 --- Results for One-Step-Ahead Forecast --- p.30 / Chapter 4.4.2 --- Results for the Mean of Multiple Forecasts --- p.32 / Chapter 5 --- Illustrative Examples --- p.34 / Chapter 5.1 --- Examples of Stationary Time Series --- p.34 / Chapter 5.1.1 --- Example 1 --- p.34 / Chapter 5.1.2 --- Example 2 --- p.36 / Chapter 5.2 --- Examples of Nonstationary Time Series --- p.37 / Chapter 5.2.1 --- Example 3 --- p.37 / Chapter 5.2.2 --- Example 4 --- p.38 / Chapter 6 --- Conclusion --- p.40 / Chapter A --- "Comparison of AIC, AICC and BIC" --- p.42 / Chapter A.1 --- AR Approximation Results --- p.42 / Chapter A.2 --- ARMA Approximation Results --- p.45 / Chapter B --- Simulation Results for ARMA Models --- p.47 / Chapter C --- Simulation Results for ARIMA Models --- p.56 / Chapter D --- SACF and SPACF of Examples --- p.65 / Bibliography --- p.68
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324687 |
| Date | January 2004 |
| Contributors | Ip, Ching-Tak., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 70 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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