Journal of University of Chinese Academy of Sciences >
2012 >Issue 2: 162 - 168
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
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.
YAN Wei , YIN Wei , MIAO Bai-Qi , YE Wu-Yi . Constructing generalized exponential predictors via penalty methods: empirical analysis on gold price[J]. Journal of University of Chinese Academy of Sciences, 2012 , (2) : 162 -168 . DOI: 10.7523/j.issn.2095-6134.2012.2.003
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