DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Sung-Ho | - |
dc.contributor.advisor | 김성호 | - |
dc.contributor.author | Kim, Yong-Hwa | - |
dc.contributor.author | 김용화 | - |
dc.date.accessioned | 2013-09-12T02:32:56Z | - |
dc.date.available | 2013-09-12T02:32:56Z | - |
dc.date.issued | 2013 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=515067&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/181576 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2013.2, [ iii, 24 p. ] | - |
dc.description.abstract | A vector autoregression (VAR) is a statistical model used to capture the linear interdependencies among multiple time series data. Recently, a large dimensional VAR models are often used to analysis vector time series data. We suggested a method to find a marginal model of a VAR model of time-lag order 1 or VAR(1) model. First, we derived a formula for the marginal models of a VAR(1) model. Next, we explored properties of marginal models of a VAR model along with some examples of marginal models with their graphical displays. We then proposed some patterns of the coefficient matrix of a VAR model which yield VAR marginal models. We compared the two types of fitted values of time series; one type obtained under a whole (against marginal) VAR model and the other type obtained through the marginalization formula derived in the thesis. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Vector Autoregressive | - |
dc.subject | 벡터자기회귀모형 | - |
dc.subject | 주변모형 | - |
dc.subject | Marginal model | - |
dc.title | A study on marginal model of vector autoregressive model | - |
dc.title.alternative | 벡터자기회귀모형의 주변모형에 관한 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 515067/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020113132 | - |
dc.contributor.localauthor | Kim, Sung-Ho | - |
dc.contributor.localauthor | 김성호 | - |
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