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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/46224Full metadata record
| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 杜憶萍(I-Ping Tu) | |
| dc.contributor.author | Jia-Hao Jhang | en |
| dc.contributor.author | 張家豪 | zh_TW |
| dc.date.accessioned | 2021-06-15T04:58:47Z | - |
| dc.date.available | 2015-07-29 | |
| dc.date.copyright | 2010-07-29 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-28 | |
| dc.identifier.citation | [1]Anderson, T. W. (1971) The Statistical Analysis of Time Series. Wiley, New York.
[2]Hamilton, J. D. (1994) Time Series Analysis, Princeton University Press. [3]Siegmund, D. (1985) Sequential Analysis: Tests and ConRdence Intervals. New York: Springer-Verlag. [4]Siegmund, D. (1988) Tail probabilities for the maxima of some random Relds. Ann. Probab., 16, 487-501. [5]Siegmund, D. (1992) Tail approximations for maxima of random Relds. In L.H.Y. Chen, K.P. Choi, K.Hu and J.-H. Lou (eds), Probability Theory. [6]Siegmund, D. and Yakir, B. (2000) Tail probabilities for the null distribution of scanning statistics. Bernoulli 6(2), 191-213. [7]Siegmund, D. and Yakir, B. (2000) Approximate p-values for local sequence alignments. The Annals of Statistics. Vol. 28,No.3, 657-680. [8]Woodroofe, M. (1976) Frequentist properties of Bayesian sequential tests. Biometrika, 63, 101-110. [9]Woodroofe, M. (1982) Nonlinear Renewal Theory in Sequential Analysis. Philadelphia: Society for Industrial and Applied Mathematics. [10]Yakir, B. and Pollak M. (1998) A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations. The Annals of Applied Probability, Vol8, No. 3, 749-774. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/46224 | - |
| dc.description.abstract | We are interested in the probability that the maximal value of a stochastic process exceeds a value a. The change-point detection is an example. A p-value approximation is obtained as a is large enough for testing a null hypothesis that all observations from the standard normal distribution are independent on the multi-dimensional index set against an alternative that they have a specific form on a particular subregion of the multi-dimensional index set, which is assigned to a vector autoregressive model in this paper. The VAR model is a natural extension of the univariate autoregressive model when multiple time series is concerned. Many methods have been developed to approximate the tail probabilities of the distribution of the maximum under null hypothesis. We use the method introduced by Yakir and Pollak to find a representation for the p-value approximation as a is large. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T04:58:47Z (GMT). No. of bitstreams: 1 ntu-99-R97221004-1.pdf: 281905 bytes, checksum: ade15258fdc5fe43bf5c2d0321647484 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | Abstract................................i
Contents................................ii Introduction............................1 Results and brief of the approaches.....4 A more precise treatment................14 Simulation..............................20 Appendix................................25 References..............................29 | |
| dc.language.iso | en | |
| dc.subject | 概似比 | zh_TW |
| dc.subject | 改變測度 | zh_TW |
| dc.subject | 改變點 | zh_TW |
| dc.subject | 向量自我迴歸模型 | zh_TW |
| dc.subject | vector autoregression | en |
| dc.subject | change point | en |
| dc.subject | change of measure | en |
| dc.subject | log-likelihood ratio | en |
| dc.title | 檢測向量自我迴歸模型下概似比的 p-value 估計 | zh_TW |
| dc.title | P-Value Approximation For The Log-Likelihood Ratio Statistic To Vector Autoregression | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 姚怡慶(Yi-Ching Yao),何淮中(Hwai-Chung Ho),張源俊(Yuan-chin Ivan Chang),傅承德(Cheng-Der Fuh) | |
| dc.subject.keyword | 改變點,改變測度,向量自我迴歸模型,概似比, | zh_TW |
| dc.subject.keyword | change point,change of measure,vector autoregression,log-likelihood ratio, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2010-07-29 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 數學研究所 | zh_TW |
| Appears in Collections: | 數學系 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-99-1.pdf Restricted Access | 275.3 kB | Adobe PDF |
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