Granger相关性与时间序列预测

被引：1

作者：

王立柱 ^{[1
,2
]}

刘晓东 ^{[1
]}

机构：

[1] 大连理工大学控制科学与工程学院

[2] 沈阳师范大学数学与系统科学学院

来源：

控制与决策 | 2014年 / 29卷 / 04期

关键词：

时间序列; 预测; Granger相关; 神经网络;

D O I：

10.13195/j.kzyjc.2013.0005

中图分类号：

F224 [经济数学方法]; TP183 [人工神经网络与计算];

学科分类号：

0701 ; 070104 ; 081104 ; 0812 ; 0835 ; 1405 ;

摘要：

提出一种将Granger相关信息用于时间序列预测的方法,以解决时间序列预测过程中信息利用不完全的问题.首先,通过Granger相关性检验确定时间序列系统中的可利用信息;然后,利用神经网络将可利用信息抽取出来;最后,将抽取的可利用信息融入到时间序列的预测中.实验结果验证了所提出预测方法的有效性和稳定性.

引用

页码：764 / 768

页数：5

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