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研究生: 蕭維斌
Hsiao, Wei-Pin
論文名稱: 廣義極端值分佈之位置參數函數的斷點估計
Estimate Breakpoint in Location Parameter of General Extreme Value Distribution
指導教授: 蔡碧紋
Tsai, Pi-Wen
學位類別: 碩士
Master
系所名稱: 數學系
Department of Mathematics
論文出版年: 2019
畢業學年度: 107
語文別: 中文
論文頁數: 71
中文關鍵詞: 廣義極端值分佈斷點轉折點分段模型極端值分析模型選擇統計
英文關鍵詞: general extreme value distribution, breakpoint, change-point, piecewise model, extreme value analysis, model selection, statistic
DOI URL: http://doi.org/10.6345/NTNU201900240
論文種類: 學術論文
相關次數: 點閱:115下載:26
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  • 廣義極端值分佈(generalized extreme value distribution)模型廣泛應用於分析各類極端風險事件,但遇到實際的極端值資料可能有斷點(breakpoint)時,研究者需要自行假設斷點位置,將分段常函數(piecewise constant function)置入廣義極端值分佈模型之參數函數內進行參數估計,本研究藉由:方法一、利用逐段迴歸模型(piecewise regression model)最佳化候選斷點模型之目標函數的概念,以廣義極端值分佈的最大概似估計(maximum likelihood estimation)之負對數概似函數為目標函數,在單一斷點假設下建構斷點位置之廣義極端值分佈模型參數估計方法;方法二、藉由模型選擇準則比較含斷點模型與對應無斷點模型分辨模型有無斷點。以此兩方法發展毋需假設斷點位置之廣義極端值分布模型估計,並使用蒙地卡羅方法(Monte Carlo method),以四種不同位置參數假設下的廣義極端值分佈模型為對象,模擬斷點位置估計值之平均值與均方差,評估方法一之斷點位置參數估計之表現;並計算兩常用模型選擇準則 AIC、BIC 自候選模型選擇正確模型的比例,評估方法二之準則分辨模型有無斷點之表現。

    Generalized extreme value distribution is widely used in extreme value analysis. When extreme value data might has breakpoint(change-point), for estimate, we need assuming the location of breakpoint as a known parameter of piecewise constant function and form this function into parameter function of distribution. In this artical we try to approve breakpoint estimate in generalized extreme value distribution. First, by copy idea from piecewise regression, use maximized likelihood in maximum likelihood estimation of all posiable breakpoint as optimize function to estimatie parameter of breakpoint location. Second, use model selection criteria like AIC or BIC to considered the model should have breakpoint or not. To evaluate this two method we selete fore location parameter function as possiable model and use Monte Carlo method. Simulate estimate breakpoint location and investigation mean and mean square error of simulation to evaluate breakpoint location estimation, then use right model selection rate by AIC or BIC to evaluate model selection criteria in breakpoint model.

    誌謝 i 中文摘要 ii 英文摘要 iii 表目錄 v 圖目錄 vi 第一章 緒論 1 第二章 模型與方法 5 2.1 帶有斷點的廣義極端值分佈 5 2.2 模型選擇 12 第三章 模擬測試 15 3.1 模擬測試之共通架構 15 3.2 斷點位置估計模擬 18 3.3 模型選擇準則模擬 26 第四章 結論 33 參考文獻 35 附錄 37 附錄A 模擬成果表 37 A.1 斷點位置估計模擬 37 A.2 模型選擇準則模擬 50 附錄B 程式碼 65

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