基于小波神经网络的非线性误差校正模型及其预测  

Nonlinear Error Correction Model and Forecasting Based on Wavelet Neural Networks

作　　者：刘丹红[1] 张世英[2] 

机构地区：[1]天津大学理学院,天津300072 [2]天津大学管理学院,天津300072

出　　处：《控制与决策》2006年第10期1114-1118,共5页Control and Decision

基　　金：国家自然科学基金项目(70471050)

摘　　要：针对非线性系统的预测问题,在线性和非线性协整理论涵义的基础上,提出利用小波神经网络进行非线性协整系统的非线性误差校正模型的研究,并给出该模型的建模方法.对沪深股市进行实证研究,与线性向量自回归模型进行比较.研究证明,小波神经网络所建立的非线性误差校正模型有较好的预测效果,能够有效地预测非线性经济系统.The forecasting problem of the nonlinear system is discussed. Using wavelet neural network approach, nonlinear error correction model of nonlinear cointegration system is studied based on the signification of linear and nonlinear cointegration. The modeling method of nonlinear error correction model is proposed. The Shanghai and Shenzhen stock markets are analyzed. The results validate more validity of nonlinear error correction model on the wavelet neural network than linear vector autoregressive model, and forecast validly the nonlinear economy system.

关 键 词：协整 非线性协整 小波神经网络 非线性误差校正模型 VAR模型 

分 类 号：F830[经济管理—金融学]