Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 張志榮 | en_US |
dc.contributor.author | Zhang, Zhi-Rong | en_US |
dc.contributor.author | 周幼珍 | en_US |
dc.contributor.author | Zhou, You-Zhen | en_US |
dc.date.accessioned | 2014-12-12T02:16:19Z | - |
dc.date.available | 2014-12-12T02:16:19Z | - |
dc.date.issued | 1995 | en_US |
dc.identifier.uri | http://140.113.39.130/cdrfb3/record/nctu/#NT844337002 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/61176 | - |
dc.description.abstract | Granger(1981)和Granger and Weiss(1983)首先介紹共整合(cointegration) 的概念,Engle and Granger(1986)在處理非定態(nonstationary)時間序列時, 利用共整合理論來探討長期均衡(long-run equilibrinm)的關係;而Engle and Granger(1987)亦指出當變之間存在長期均衡關係時,即表示變數間具有共整合關 係,反之亦然;在經濟理論中不乏其例,如短期及長期利率.家庭所得與支出及同一 商品在不同市場的價格等皆具有共整合關係。 但實際上,許多的經濟變數常有季節變動,季節性共整合(seasonal cointegration )的觀念是由Engle,Granger and Hallman(1989)所提出,用來預測每月電力銷售 量;本文將延續Yap and Reinsel(1995)的方法,並考慮季節性共整合的問題,推 導出季節性部份非定態向量型自我迴歸移動平均模型(seasonal partially nonstationary vector autoregressive moving average model)的誤差修正式( error correction representation)以及估計其參數,並於實際運算時利用Newton- Raphson法,以求得□的高斯估計量,並且推導□的高斯估計量的漸近性質。 | zh_TW |
dc.language.iso | zh_TW | en_US |
dc.subject | 統計 | zh_TW |
dc.subject | 共整合 | zh_TW |
dc.subject | 季節性共整合 | zh_TW |
dc.subject | 長期均衡 | zh_TW |
dc.subject | 誤差修正式 | zh_TW |
dc.subject | Newton-Raphson法 | zh_TW |
dc.subject | STATISTICS | en_US |
dc.subject | NEWTON-RAPHSON法 | en_US |
dc.subject | cointegration | en_US |
dc.subject | seasonal cointegration | en_US |
dc.subject | long-run equilibrium | en_US |
dc.subject | error correction reprsentation | en_US |
dc.subject | New-Raphson method | en_US |
dc.title | 季節性共整合自我相關移動平均模型參數之估計及其漸近分佈 | zh_TW |
dc.title | The Estimation and Asymptotic Distribution of the Parameters of the Seasonal Partially Nonstationary Vctor ARMA Model | en_US |
dc.type | Thesis | en_US |
dc.contributor.department | 統計學研究所 | zh_TW |
Appears in Collections: | Thesis |