期刊論文
| 學年 | 80 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 1991-12-01 |
| 作品名稱 | Methodology for selecting subset autoregressive time series models |
| 作品名稱（其他語言） | |
| 著者 | 虞國興; Yu, Gwo-hsing; Lin, Yow-chang |
| 單位 | 淡江大學水資源及環境工程學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of time series analysis 12(4), p.363-373 |
| 摘要 | In time series modelling, subset models are often desirable, especially when the data exhibit some form of periodic behaviour with a range of different natural periods in terms of days, weeks, months and years. Recently, Hokstad proposed a method based on personal judgement for selecting the first tentative model to obtain the best subset autoregressive model. The subjective approach adopted in the Hokstad method is a disadvantage in building up a computer program which could automatically select the appropriate model of a given time series. In this paper, we propose overcoming this disadvantage by employing the inverse autocorrelation function to select the first tentative model. In addition to sets of synthetic data, some well-known real series such as the D, E and F series of Box and Jenkins and the Canadian lynx data are analysed to validate the proposed method. The results indicate that the method can successfully detect the true model for a given time series. |
| 關鍵字 | Subset autoregressive model;inverse autocorrelation function;Bhansali information criterion |
| 語言 | en |
| ISSN | 0143-9782 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/67854 ) |