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Structural breaks estimation methods for time series data.

Kong, Cheuk Kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 42-44). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Modelling Piecewise AR model --- p.4 / Chapter 2.1 --- Background --- p.4 / Chapter 2.2 --- Introduction to Auto-FARM --- p.5 / Chapter 2.3 --- Minimum Description Length --- p.6 / Chapter 2.4 --- Genetic Algorithm --- p.9 / Chapter 2.5 --- Reproduction Rules --- p.10 / Chapter 3 --- Bayesian-SCAD Approach --- p.14 / Chapter 3.1 --- Estimation via Penalty Function --- p.15 / Chapter 3.2 --- Introduction to SCAD --- p.17 / Chapter 3.3 --- Local Quadratic Approximation of SCAD --- p.20 / Chapter 3.4 --- Bayesian Formulation and GA Implementation --- p.22 / Chapter 4 --- Simulation Study --- p.25 / Chapter 4.1 --- Piecewise AR Process from Davis et al. (2006) --- p.25 / Chapter 4.2 --- Piecewise Seasonal AR Process --- p.29 / Chapter 5 --- Real Data Analysis --- p.33 / Chapter 5.1 --- Description and Source of Data --- p.33 / Chapter 5.2 --- Model Fitting --- p.36 / Chapter 5.3 --- Prediction Results --- p.39 / Chapter 6 --- Conclusion --- p.40 / Bibliography --- p.42

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325952
Date January 2007
ContributorsKong, Cheuk Kwan., Chinese University of Hong Kong Graduate School. Division of Statistics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 44 leaves : ill. ; 30 cm.
RightsUse 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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