一种基于局部回归的多尺度碳市场价格预测模型研究  

A Multi-scale Carbon Price Forecasting Model withLocal Regression Approach

作　　者：秦全德[1] 黄兆荣 黄凯珊 QIN Quan-de;HUANG Zhao-rong;HUANG Kai-shan(College of Management, Shenzhen University, Shenzhen 518060, China;Great Bay Area International Institute for Innovation, Shenzhen University, Shenzhen 518060, China)

机构地区：[1]深圳大学管理学院,广东深圳518060 [2]深圳大学大湾区国际创新学院,广东深圳518060

出　　处：《运筹与管理》2022年第1期107-114,共8页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71871146);教育部人文规划基金项目(18YJA630090)。

摘　　要：碳市场价格呈现非线性、非平稳的复杂特性,准确预测具有较大的挑战。基于“分而治之”的思想,提出了一种基于局部回归的多尺度碳市场价格预测模型。提出的模型利用集成经验模态分解(EEMD)对碳市场价格时间序列进行分解。启发于EEMD局部特征分解的特点,对分解后的分量采用局部回归方法进行预测,然后将分量预测结果进行集成。采用的局部回归方法包括局部线性回归(LLP)、局部多项式回归、局部岭回归、局部主成分回归、局部偏最小二乘回归和局部套索回归。实验结果表明基于局部回归的多尺度预测模型具有优异的预测性能。在提出的模型中,EEMD-LLP结构简单且性能更为突出,进一步对EEMD-LLP参数的适应性进行探讨。与新近提出模型的对比结果表明了EEMD-LLP在碳市场价格预测中的有效性。The carbon price exhibits non-linear and non-stationary characteristics.It is a challenging task to accurately predict the carbon price.Based on the framework of“divide and conquer”,a multi-scale carbon price forecasting model based on local regression is proposed.The ensemble empirical mode decomposition(EEMD)is used to decompose the original carbon price time series into several simple components.Motivated by the fully local characteristics of a time series decomposed by EEMD,the local regression methods are adopted to forecast each component.The forecasting results of components are aggregated to obtain the final results.The local regression methods include local linear regression(LLP),local polynomial regression,local ridge regression,local principal component regression,local partial least squares regression,and local lasso regression.The two-carbon market futures price time series of the European Climate Exchange are selected as samples.The experimental results show that the proposed multi-scale forecasting model based on local regression performs effectively.Note that the EEMD-LLP model has a simple structure and shows better performance.Further analyses are implemented for the adaptability of parameters of the EEMD-LLP model.We compare EEMD-LLP with the newly-proposed methods,demonstrating the effectiveness of the EEMD-LLP model for carbon price forecasting.

关 键 词：碳市场价格预测 多尺度预测 局部回归 集成经验模态分解 

分 类 号：F272.1[经济管理—企业管理]