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基于局部线性核估计的GMDH建模及预测 被引量：2

GMDH modeling and forecasting based on local linear kernel estimation
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摘要 用非参数局部线性核估计方法改进分组数据处理建模方法(GMDH),提高预测精度.从理论上证明了,在大样本条件下,当核函数的窗宽小于某一常数C时,这种新的建模方法具有更好的拟合效果及预测能力.在人民币汇率的实证分析中,这种改进的方法也取得了明显优于传统方法的预测效果. This paper introduces the local linear kernel estimation method to group method of data handling （GMDH） modeling to improve forecasting accuracy. Moreover, the judgment that the new method has better fitting and forecasting ability when window-width of the kernel is less than a certain constant C has been proven. Empirical study on RMB exchange rate also demonstrates that this new method has outstanding better forecasting ability than classic method.
作者 田益祥 谭地军
机构地区 电子科技大学管理学院
出处 《系统工程学报》 CSCD 北大核心 2008年第1期9-15,共7页 Journal of Systems Engineering
关键词 GMDH建模 局部线性核估计 偏误 预测 GMDH modeling local linear kernel estimation bias forecasting
分类号 N945.12 [自然科学总论—系统科学]
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参考文献12

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共引文献33

同被引文献18

  • 1何应龙,田益祥.中小企业股票市场化发行定价的半参数自组织模型与实证[J].南方经济,2006,35(2):107-115. 被引量：2
  • 2李明,吕绪华.煤炭价格预测模型及其应用[J].武汉科技大学学报,2007,30(4):434-437. 被引量：11
  • 3Rajesh K.Aggarwal,Laurie Krigman,Kent L.Womack.Strategic IPO underpricing,information momentum,and lockupexpiration selling[J].Journal of Financial Economics,2002,(66),105-137.
  • 4Ann E.Sherman and Sheridan Titman.Building the IPOOrder Book:Underpricing and Participation Limits with CostlyInformation[J].Journal of Financial Economics,2002,(65):3-29.
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引证文献2

二级引证文献5

系统工程学报
2008年 第1期

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