| Summary: | 碩士 === 國立政治大學 === 統計學研究所 === 81 === Non-linear time series analysis is a rapidly developing subject
in recent years. One of special families of non-linear models
is threshold model. Many literatures have shown that even
simple threshold model can describe certain types of time
series, such as structural change behavior, more faithful than
using linear ARMA models. In this paper, we discuss some
problems about the threshold model and structural change
analysis. Instead of finding the change point, we present the
change period concepts on the model- building. An efficient
algorithem on constructing the structure change ARIMA models is
proposed. Finally, we demonstrate an example about the birth
rate of Taiwan, and the comparison of forecasting performance
for the structure change ARIMA model with alternative models
are also made.
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