時間序列差分階數之偵測研究

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Title:	時間序列差分階數之偵測研究
Other Titles:	Studies on the detection of differenced order
Authors:	虞國興;陳惠龍
Contributors:	淡江大學水資源及環境工程學系
Keywords:	差分階數;時間序列;信賴區間;自相關函數;統計分析;Differenced Order;Time Series;Confidence Interval;Autocorrelation Function;Statistic Analysis
Date:	1992-07-10
Issue Date:	2009-08-04 14:42:48 (UTC+8)
Abstract:	傳統上,對於非定常性時間序列轉換成定常性時間序列,其差分階數之判定,並無明確的判斷準則,往往須藉由經驗加以判定。本研究利用自相關函數之95%信賴區間判斷序列所需之差分階數。根據合成資料及實測資料分析結果顯示,本研究所提之方法能準確判定具有趨勢或週期性之非定常性時間序列所需之差分階數。 In the conventional approach, there does not exist a theoretical criterion to determine the differenced order for transforming the nonstationary time series into stationary one. It is usually determined by the personal judgement. In this study, the 95% confidence interval of the autocorrelation function was proposed to detect the differenced order. On the basis of the results obtained by the synthetic data and real data studies, it indicates that the approach proposed by this study can successfully detect the exact differenced order for a given nonstationary time series with trend or periodicity.
Relation:	第六屆水利工程研討會論文集(下冊)=Proceedings of 6th Conference on Hydraulic Engineering，頁 896-908
Appears in Collections:	[Graduate Institute & Department of Water Resources and Environmental Engineering] Proceeding

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