Title page for 86225001


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Student Number 86225001
Author Ming-Hung Kao(高銘宏)
Author's Email Address No Public.
Statistics This thesis had been viewed 240 times. Download 10 times.
Department Graduate Institute of Statistics
Year 1998
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title Bayesian Analysis of Long memory with Multiple Change-points using ARFIMA-ARCH models
Date of Defense
Page Count 43
Keyword
  • Change-points
  • long memory
  • reversible jump MCMC
  • Abstract
    Table of Content {第一章} {緒論}{1}
    {第二章} {模型介紹}{3}
    {第三章} {後驗分配}{6}
    {第四章} {可逆跳躍式馬可夫鏈蒙地卡羅法}{9}
    {4.1} {三種移動型態}{9}
    {4.2} {近似樣本的生成}{13}
    {4.3} {後驗預測分配}{14}
    {第五章} {資料分析}{17}
    {5.1} {模擬資料}{17}
    {5.2} {尼羅河每年最低水位資料}{18}
    {5.3} {北半球冬季氣溫資料}{20}
    {5.4} {美國消費者物價指數資料}{21}
    {5.5} {台灣加權股價報酬率資料}{22}
    {第六章} {結論}{23}
    {圖表}{24}
    {附錄一}{37}
    {附錄二}{39}
    {附錄三}{40}
    {參考文獻}{41}
    Reference Baillie, R. T. (1996), 'Long memory processes and fractional integration in econometrics', Journal of Econoemtrics, vol. 73, 5-59.
    Baillie, R. T., C.-F. Chung and M. A. Tieslau (1996), 'Analysing inflation by the fractionally integrated ARFIMA-GARCH model', Journal of Applied Econoemtrics,vol. 11, 23-40.
    Beran, J. (1994), Statistics for long-memory process, Chapman and Hall, New York.
    Beran, J. and N. Terrin (1996), 'Testing for a change of the long-memory parameter', Biometrika, vol. 83, 627-638.
    Bollerslev, T. (1986), 'Generalized autoregressive conditional heteroskedasticity', Journal of Econometrics, vol. 31, 307-327.
    Box, G. E. P. and G. M. Jenkins (1976), Time series analysis forecasting and control, 2nd ed., Holden-Day, San Francisco.
    Engle, R. F. (1982), 'Autoregressive conditional heteroscedasticity with estimates of the variance of United Kindom inflation', Econometrica, vol. 50, 987-1007.
    Granger, C. W. J. (1980), 'Long memory relationships and the aggregation of dynamic models', Journal of Econoemtrics,vol. 14, 227-238.
    Granger, C. W. J. (1981), 'Some properties of time series data and their use in econometric model specification', Journal of Econoemtrics, vol. 16, 121-130.
    Granger, C. W. J. and R. Joyeux (1980), 'An introduction to long memory time series models and fractional differencing', Journal of Time Series Analysis, vol. 1, 15-39.
    Green, P. J. (1995), 'Reversible jump Markov chain Monte Carlo computation and Bayesian model determination',  Biometrika, vol. 82, 711-732.
    Hasting, W. K. (1970), 'Monte Carlo sampling methods using Markov chains and their applications.' Biometrika, vol. 57, 97-109.
    Hosking, J. R. M. (1981), 'Fractional differencing', Biometrika, vol. 68, 165-176.
    Koop, G., E. Ley, J. Osiewalski and M. F. J. Steel (1997), 'Bayesian analysis of long memory and persistence using ARFIMA models', Journal of Econometrics, vol. 76, 149-169.
    Kuan, C.-M. and C.-C. Hsu (1998), 'Change-point estimation of fractionally integrated process', Journal of Time Series Analysis, vol. 19, 693-708.
    Ling, S. and W. K. Li (1997), 'On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity', Journal of American Statistical Association, vol. 92, 1184-1194.
    Metropolis, N., A. W. Rosenbluth, M. N. Rosenbluth, A. H. Teller, E. Teller (1953), 'Equations of state calculations by fast computing machines', Journal of Chemical hysics, vol. 21, 1087-1091.
    Pai, J. S. and N. Ravishanker (1996), 'Bayesian modelling of ARFIMA process by Markov chain Monte Carlo methods', Journal of Forecasting , vol. 15, 63-82.
    Raftery, A. E. and S. M. Lewis (1995), 'Implementing MCMC'. In Markov chain Monte Carlo, (eds W. R. Gilks, S. Richardson and D. J. Spiegelhalter),pp. 115-130. London: Chapman & Hall.
    Ritter, C. and M. A. Tanner (1992), 'The Gibbs stopper and the griddy Gibbs sampler', Journal of the American Statistical Association, vol. 87, 861-868.
    Advisor
  • Shu-Ing Liu(劉淑鶯)
  • Files No Any Full Text File.
    Date of Submission

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