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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 管中閔(Chung-Ming Kuan) | |
| dc.contributor.author | Tzu-Chi Lin | en |
| dc.contributor.author | 林子期 | zh_TW |
| dc.date.accessioned | 2021-06-15T01:33:05Z | - |
| dc.date.available | 2009-07-31 | |
| dc.date.copyright | 2009-07-31 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-20 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43019 | - |
| dc.description.abstract | New data-driven smooth tests are proposed in this thesis. The new tests
are proposed to eschew the downward weighting problem of the traditional omnibus tests, and the new tests are constructed based on the components of Karhunen-Lo′eve expansion of limiting process. As examples, we construct tests for the null hypothesis of stationarity, coefficient stability, symmetric dynamics of quantile autoregressive model, and bivariate independence. Simulation results show that, new tests have moderate size control and nice power performance for a wide range of alternatives. In contrast to traditional omnibus tests, new tests are more robust to complex models and perform well under high-frequency alternatives. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T01:33:05Z (GMT). No. of bitstreams: 1 ntu-98-R96323032-1.pdf: 356902 bytes, checksum: 936aad7a7a4ed8afa28f7e2a6f513d7f (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | Contents
1 Introduction 1 2 Literature Review 3 2.1 The Smooth Test of Neyman (1937) . . . . . . . . . . . . . . . 4 2.2 Relationship Between Neyman’s Smooth Test and Rao’s Score Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.3 Applications of Neyman’s Test . . . . . . . . . . . . . . . . . . 9 2.3.1 Orthogonal Polynomials and Smooth Test in Regression 9 2.3.2 Rank Tests for Independence . . . . . . . . . . . . . . 12 3 Karhunen-Lo′eve Expansion and the Deficiency of the CvM Norm 14 4 New Tests 20 4.1 Testing Stationarity . . . . . . . . . . . . . . . . . . . . . . . . 20 4.2 Testing Coefficient Stability . . . . . . . . . . . . . . . . . . . 22 4.3 Testing Symmetric Dynamics of Quantile Autoregressive Model 24 4.4 Testing Bivariate Independence . . . . . . . . . . . . . . . . . 26 5 Monte Carlo Simulation 30 5.1 Block 1: Benchmark . . . . . . . . . . . . . . . . . . . . . . . 32 5.2 Block 2: Uncorrelated but Dependent Random Variables . . . 34 6 Conclusion 35 Appendix: Mathematical Proof 36 References 41 List of Figures 1 Block1.BN: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . . 48 2 Block1.Morgen: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . 48 3 Block1.Plack: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . 49 4 Block1.Gunbel: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . 49 5 Block1.Clay: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . . 50 6 Block2.Linear: blue - smooth; pink - Hoeff; red - TOR ,green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . 50 7 Block2.Exp: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . . 51 8 Block2.Tan: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . . 51 9 Block2.SIRV: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . 52 10 Block2.IRV: blue - smooth; pink - Hoeff; red - TOR ; green - SRB; yellow - CvM . . . . . . . . . . . . . . . . . . . . . . . . 52 | |
| dc.language.iso | zh-TW | |
| dc.subject | 尼曼平滑檢定 | zh_TW |
| dc.subject | 定態； | zh_TW |
| dc.subject | 結構轉變 | zh_TW |
| dc.subject | Karhunen-Loeve 展開式 | zh_TW |
| dc.subject | structural change | en |
| dc.subject | Cramer-von Mises test | en |
| dc.subject | stationarity | en |
| dc.subject | integral equation | en |
| dc.subject | Neyman smooth test | en |
| dc.subject | orthonormal polynomial | en |
| dc.subject | Karhunen-Loeve Expansion | en |
| dc.subject | bivariate independence | en |
| dc.subject | quantile autoregressive | en |
| dc.title | 運用 Karhunen-Loeve展開式
建構資料驅動的尼曼平滑檢定 | zh_TW |
| dc.title | Data-Driven Smooth Tests
Based on Karhunen-Loeve Expansion | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 銀慶剛(Ching-Kang Ing),陳宜廷(Yi-Ting Chen),陳旭昇(Shiu-Sheng Chen) | |
| dc.subject.keyword | 尼曼平滑檢定,Karhunen-Loeve 展開式,結構轉變,定態；, | zh_TW |
| dc.subject.keyword | Cramer-von Mises test,Karhunen-Loeve Expansion,Neyman smooth test,orthonormal polynomial,integral equation,stationarity,structural change,quantile autoregressive,bivariate independence, | en |
| dc.relation.page | 52 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-07-20 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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