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تشخيص وفحص مدى الملاءمة لنماذج السلاسل الزمنية المختلطة ذات الرتب الدنيا == Identification And Diagnostic Checking For Low Order Mixed Models
Author name:
عبيد محمود محسن الزوبعي
Supervisor name:
عبد المجيد حمزة الناصر
General topic:
Administration and Economics
Specific topic:
Statistics
Degree:
Doctorate
University:
University of Baghdad - Faculty Of Administration And Economics - Department Of Statistics
Language:
Arabic
University location:
Baghdad
First pages:
07T3843 - p.pdf
Abstract:
تمثل الهدف ببحث مرحلتي التشخيص Identification وفحص مدى الملاءمة Diagnostic checking للنماذج المختلطة ARMA ذات الرتب الدنيا في مجال الزمن Time Domain وفي مجال التكرار Frequency Domain والمقارنة بين ادوات التشخيص ومعايير اختيار الرتبة واختبارات فحص مدى المل | The aim of this work is to study the two stages of identification and diagnostic checking of mixed models (ARMA) with low orders of time domain and frequency domain.The methodology of research had tackled in balanced way both the theoretical part (by using statistical theory) and experimental part (by using simulation). The thesis consisted of five chapters in addition to introduction. The first chapter contained the basic concepts of time series, stationary, mixed models with low orders and analysis tools for time domain and frequency domain.The second chapter included the identification stage as it contained the identification tools and selection criteria for models order.Also it included asggestion for two new methods of identification and anew criterion for order determination. The third chapter tackled the diagnostic checking by using a group of tests depending on time domain and frequency domain.Also it included viewing of some other aspects in time series analysis in order to open new avenues which could be traded by other researchers.The fourth chapter contained the experimental part by applying what had been depicted in previous chapters on mixed models (ARMA(1,1)), (ARMA(1,0)) and (ARMA(0,1)) and then to find out comparisions between identification tools, order selection criteria and diagnostic checking tests through giving different values of the parameters [?1,?1] and for different sizes of series and by iterating the experiments (1000) times.It had been arrived at some conclusions and recommendations which were consisting the fifth chapter
