| 利用样条函数建立季节性时间序列的预测模型 |
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| 引用本文： | 赵俊龙,赵秀丽.利用样条函数建立季节性时间序列的预测模型[J].北京理工大学学报,2007,27(4):370-373. |
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| 作者姓名： | 赵俊龙 赵秀丽 |
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| 作者单位： | 北京理工大学,理学院,北京,100081;中原工学院,理学院,郑州,河南,450007 |
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| 摘 要： | 用B样条函数最小二乘法的非参数回归与时间序列相结合的方法建立了季节性时间序列预测模型. 利用滑动平均估计季节项,再利用B样条函数非参数回归估计长期项和周期波动,对于随机项建立ARMA模型,最后对某产品需求量进行了实例分析. 结果表明该方法有较高的预测精度.
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| 关 键 词： | 预测模型 时间序列 非参数回归分析 光滑样条函数 ARMA(pq)模型 |
| 文章编号： | 1001-0645(2007)04-0370-04 |
| 收稿时间： | 9/7/2006 12:00:00 AM |
| 修稿时间： | 09 7 2006 12:00AM |
Prediction Model of Time Series By Smoothing Spline |
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| ZHAO Jun-long and ZHAO Xiu-li.Prediction Model of Time Series By Smoothing Spline[J].Journal of Beijing Institute of Technology(Natural Science Edition),2007,27(4):370-373. |
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| Authors: | ZHAO Jun-long and ZHAO Xiu-li |
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| Institution: | School of Science,Beijing Institute of Technology,Beijing 100081,China;School of Science,Zhongyuan University of Technology,Henan,Zhengzhou 450007,China |
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| Abstract: | Nonparametric regression is combined with the method of time series to establish the prediction model of time series with seasonal fluctuations.Seasonal index is first established by the moving average method.The long-time trend and cyclic fluctuation are estimated by nonparametric regression based on smooth spline of the B form.In addition,ARMA mode is established with the random term.The order of a product is finally analysed showing that the method is effective. |
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| Keywords: | prediction model time series nonparametric regression smoothing spline ARAM(p q) model |
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