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dc.contributor.authorChang, Bao Rong
dc.contributor.authorTsai, Shiou Fen
dc.date.accessioned2009-06-02T08:39:15Z
dc.date.accessioned2020-07-05T06:33:51Z-
dc.date.available2009-06-02T08:39:15Z
dc.date.available2020-07-05T06:33:51Z-
dc.date.issued2006-06-14T01:14:46Z
dc.date.submitted2003-12-18
dc.identifier.urihttp://dspace.fcu.edu.tw/handle/2376/1927-
dc.description.abstractA new approach, Garch smoothing hybrid GREY-CLMS prediction with BPNN weighting, is introduced herein for the applications of the non-periodic short-term forecasting. The Grey-CLMS hybrid prediction with BPNN weighting for the applications of the non-periodic short-term forecasting in order to overcome the crucial problem, overshooting and undershooting predicted outputs, by the way of compensation between grey and cumulative 3 points least squared linear predictions to yield the pretty satisfactory results. However, some predicted values have been shown not precisely enough as the observations are really far away from the both grey and cumulative 3 points least squared linear prediction outputs. Therefore, this paper proposes a new approach, GARCH(p,q) smoothing hybrid GREY-CLMS prediction with BPNN weighting, in which ARMAX/GARCH composite model has been incorporated into the hybrid GREY-CLMS prediction, and keep employing back-propagation neural net to train/simulate their weights so as to highly improve the prediction accuracy due to the smoothness enhanced. The proposed method is tested successfully in the empirical examples on the topics of international stock price indexes.
dc.description.sponsorship逢甲大學,台中市
dc.format.extent7P.
dc.format.extent198547 bytes
dc.format.mimetypeapplication/pdf
dc.language.isozh_TW
dc.relation.ispartofseries中華民國92年全國計算機會議
dc.subjectGARCH smoothing hybrid
dc.subjectGREY-CLMS prediction with BPNN-weighting
dc.subjectGM(1,1|α) prediction model
dc.subjectCumulative 3 points least mean squared linear model
dc.subject.other其他領域
dc.titleNew Approach for Non-Periodic Short-Term Forecasting:GARCH(p,q) Smoothing Hybrid Grey-CLMS with BPNN Weighting
分類:2003年 NCS 全國計算機會議

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