非参数区间估计在证券投资分析中的应用  

Application of Non-parameter Interval Estimation to Investment in Securities

作　　者：俞雪飞[1] 王金玉[2] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004 [2]东北大学理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2003年第9期877-880,共4页Journal of Northeastern University(Natural Science)

基　　金：国家科技攻关项目(99 562 03 01).

摘　　要：通过引入一种新的估计方法非参数区间估计方法,以达到对证券投资咨询机构对证券市场大盘走势预测准确度的估计·给出了U统计量及其相应的渐进性质,并找到了在一定的置信度下U统计量的置信区间·实证估计结果表明,有95%的把握认为,中国证券市场投资咨询机构所提供的对大盘涨跌的预测,每次有一半咨询机构正确的概率最高不超过52%,最低不小于36%·因而投资者应慎重对待投资咨询机构的大盘预测·A new method on the nonparameter interval estimation is introduced in estimating the exactness of forecasting the tendency of securities market price, which is often done and announced by some consultation companies for investment in securities. With Ustatistics given and their evolutionary feature discussed, a confidence interval of Ustatistics at a certain confidence level is obtained. A verified estimation result shows that it is of 95% sureness that the probability of exactness of the tendency forecasts announced each time by such companies in China is not higher than 52% and not lower than 36%. Chinese investors shall therefore deliberate on each and all of the forecast announcements of the tendency of securities market price.

关 键 词：证券投资 非参数统计 区间估计 U统计量 咨询机构 对称核 预测效果 

分 类 号：F830.9[经济管理—金融学]