The Application of Relative Moving Ratio for Forecasting and performance Evaluation in Interval Time Series

• Main Authors: Li, Chih-Sheng, 李治陞
• Other Authors: Liu, Ming-Long
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/53251703499496531040

碩士 === 國立政治大學 === 應用數學研究所 === 100 === The time series is an important technology that is used to predict future trends, however in the real world, parameter is difficult to estimate effectively when we construct a time series model due to the of the fuzzy property of the times series data. The estimated parameters in the time series will cause a big error due to the uncertainty of fuzzy data. It is too complex to introduce the fuzzy parameters into the time series model. In this thesis, we propose relative moving ratio as a new criteria in constructing procedure of an interval time series. We defuzzify a fuzzy data and use point estimation to obtain an initial center, then we adjust the center and radius making it more appropriately. The resulting center and radius is then become an interval time series that can be use to forecast an interval data. We also apply relative moving ratio in threshold autoregressive models by replacing the threshold in constructing interval time series. Finally, in empirical studies chapter, we use Taiwan weighted Stock Index as examples to evaluate the performance of the proposed two methods in building the interval time series.