应用罚函数方法构建广义指数因子预报模型——黄金价格预测的实证分析
收稿日期: 2010-11-15
修回日期: 2011-03-24
网络出版日期: 2012-03-15
基金资助
国家自然科学基金青年科学基金(71001095)和高等学校博士学科点专项科研基金(20103402120010)资助
Constructing generalized exponential predictors via penalty methods: empirical analysis on gold price
Received date: 2010-11-15
Revised date: 2011-03-24
Online published: 2012-03-15
严威 , 尹伟 , 缪柏其 , 叶五一 . 应用罚函数方法构建广义指数因子预报模型——黄金价格预测的实证分析[J]. 中国科学院大学学报, 2012 , (2) : 162 -168 . DOI: 10.7523/j.issn.2095-6134.2012.2.003
We construct generalized exponential predictors for forecasting gold price using different loss and penalty functions. The construction methods include: 1) ridge regression and 2) selection of linear combinations of EWMA predictors with different parameters by adding LASSO and SCAD penalties based on L1,L2 and the LM loss function which combines both L1 and L2. Practical data show that our models improve the single parameter EWMA model effectively and they perform better than the models suggested in the literature.
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