Structural Change ARIMA Modeling and Application

• Main Authors: Tseng,Shuhui, 曾淑惠
• Other Authors: Wu,Berlin
• Format: Others
• Language: zh-TW
• Published: 1993
• Online Access: http://ndltd.ncl.edu.tw/handle/44658612423888170873

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.