Tam, Chik Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 66-67). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Problem of identifying d in ARIMA model --- p.1 / Chapter 1.2 --- Another Approach --- p.4 / Chapter 2 --- Polyvariogram approach --- p.8 / Chapter 2.1 --- Variogram --- p.8 / Chapter 2.2 --- Polyvariogram --- p.11 / Chapter 2.3 --- A testing procedure --- p.13 / Chapter 2.4 --- Testing with integrated white noise series --- p.14 / Chapter 3 --- Aggregate time series in ARIMA --- p.17 / Chapter 3.1 --- The preservation of unity in ARIMA model under aggregation --- p.17 / Chapter 3.1.1 --- "Aggregation model of ARIMA(0,1,0)" --- p.20 / Chapter 3.1.2 --- "Aggregation model of ARIMA(0,1,1)" --- p.23 / Chapter 3.1.3 --- "Aggregation model of ARIMA(1,1,0)" --- p.26 / Chapter 4 --- Aggregation effects on the power of the test --- p.33 / Chapter 4.1 --- "Testing integrated white noise ARIMA(0,1.0) under aggregation" --- p.35 / Chapter 4.1.1 --- Simulation scheme --- p.35 / Chapter 4.1.2 --- Result --- p.39 / Chapter 4.2 --- "Testing ARIMA(0,1,1) under aggregation" --- p.42 / Chapter 4.2.1 --- Simulation scheme --- p.42 / Chapter 4.2.2 --- Result --- p.45 / Chapter 4.3 --- "Testing ARIMA(1, 1,0) under aggregation" --- p.52 / Chapter 4.3.1 --- Simulation scheme --- p.53 / Chapter 4.3.2 --- Result --- p.56 / Chapter 5 --- Conclusions and Discussions --- p.64
Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325930 |
Date | January 2007 |
Contributors | Tam, Chik Fai., 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, v, 67 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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