| Summary: | 碩士 === 國立政治大學 === 應用數學研究所 === 85 ===
For recent years, the research of change point in nonlinear time series has been considered to be more and more important. Scholars have proposed a lot of detecting and testing methods about change points. If considering the trend of real situation, the concept of change period will show the phenomena of structure change. But there are not many researches about how to find change period in time series. My paper is based on the points of time series models and fuzzy theory. Besides, it combines the rules of genetic and provides the concepts of leading model to construct time series genetic model and to find out change period by decision rule. In thes paper, we use time series statistical models as chromosome in procedure of genetic evolution, and we also use membership function of selected models as pereformance index of chromosome. Finally, the empirical application about change periods and change points detecting by our method and other's for Taiwan stock closing prices is demonstrated and make a comparision with these results.
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