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題名:應用灰色理論於時間序列轉折點之分析與預測
書刊名:大葉學報
作者:羅傑瀛林彥宏王正賢
作者(外文):Lo, Chieh-yingLin, Yen-hungWang, Jean-shyan
出版日期:2002
卷期:11:2
頁次:頁115-127
主題關鍵詞:灰色預測影響權重自迴歸模型臺灣股價指數Grey modelInfluential weightAuto-regression model
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:2
  • 點閱點閱:11
     灰色預測模型之特點為只需要少量的歷史資料即可達到預測的效果。然而,單純之灰色預測模型GM(1,1) 雖然可以對未來變動之趨勢有大致之預測成效;但是,在趨勢曲線之轉折處往往無法達到更精確的預測效果。因此,本研究即針對此現象提出改良之方法。首先,可利用對所有造成趨勢轉折之因素進行分析,並轉換成量化的因素影響權重值,同時使用此數值將實際數據間的波動予以減緩。同時,在經過GM(1,1) 進行預測後,對於預期在下一時間點產生影響之因素加以考量,而求得下一時間點之預測值。此外,由於預測之誤差是不可避免,因此本研究也利用自迴歸模型對於誤差之變化予以模式化,進而能將下一期之預測結果進行修正調整。透過實際之數據資料進行驗證,改良後之GM(1,1) 預測方法與誤差修正方法之結合確能有效提升原始GM(1,1) 模型之預測精準度,同時,實例中也同時說明此方法較一般傳統之方法有更好之預測績效。
     The advantage of the Grey Model is that it can obtain a good forecasting effect as long as a little historical data are provided. The simple Grey Model GM(1,1) can forecast changeable trends; however, it may produce serious errors at the turning points in a curve. Hence, the aim of this research is to discover a solution to improve the condition just descrived. First, the factors which cause the turning points can be analyzed and digitalized as influential weights. In addition, the usage of these factors can also make the historical data smoother. Through a forecast from GM(1,1), these factors still need to be added to the GM(1,1) Model forecasting values at the next time point so that the forecasting values can be produced there. Meanwhile, deviation in any forecast cannot be avoided; hence; this research also uses the Auto-regression Model to forecast deviation and modify it from the forecasting values. Actual data can be used to verify the research. The accuracy of the GM(1,1) Model is indeed increased by a combination of an improved GM(1,1) Model and deviation modification. The examples in this research are verified to be, indeed, better than the traditional forecasting models.
期刊論文
1.Chang, B. R.(2001)。Alternative view of grey relational analysis。The Journal of Grey System,13(1),31-40。  new window
2.Zhu, K. J.、Jing, Y.、Chang, D. Y.(1999)。A discussion on extent analysis method and applications of fuzzy AHP。European Journal of Operational Research,116,450-456。  new window
3.Deng, Ju-long(1989)。Introduction to Grey System Theory。The Journal of Grey System,1(1),1-24。  new window
4.Wu, J. H.、Chen, C. B.(1999)。An alternative form for grey relational grades。The Journal of Grey System,11(1),7-12。  new window
5.徐守德、黃玉娟、余明芳(2001)。臺股指數期貨日內交易型態之研究-摩根臺指期貨與臺灣指數期貨之比較。管理評論,20(2),31-53。new window  延伸查詢new window
會議論文
1.刑治宇、蔡勇斌(2000)。GM(1,1) 預估值之簡化模式探討。第五屆灰色系統理論與應用研討會,271-275。  延伸查詢new window
2.郭怡華、巫沛倉(2001)。修正模糊層級分析法之應用--以基金經紀人之選股策略為例。中國工業工程學會九十年會暨學術研討會,1-18。  延伸查詢new window
3.Chang, B. R.(2001)。An optimal grey relational measurement。Proceeding of International Joint Conference on Neural Networks,1609-1614。  new window
圖書
1.陳耀茂(1994)。迴歸分析導論。臺北:全華科技圖書股份有限公司。  延伸查詢new window
2.陳耀茂(1998)。階層構造分析法入門。臺中:東海大學圖書館。  延伸查詢new window
3.鄧聚龍、郭洪、溫坤禮、張廷政、張偉哲(1999)。灰預測模型與應用。臺北:高立圖書有限公司。  延伸查詢new window
4.劉應興(1998)。非線性迴歸與相關分析應用線性迴歸模型--補篇。臺北:華泰書局。  延伸查詢new window
5.Diebold, F. X.(2001)。Elements of Forecasting。South-Western, Cincinnati, Ohio。  new window
6.袁嘉祖(1991)。灰色系統理論及其應用。臺北:科學出版社。  延伸查詢new window
7.吳柏林(1995)。時間數列分析導論。華泰文化事業股份有限公司。  延伸查詢new window
8.區奕勤、張先迪(1991)。模糊數學原理及應用。儒林圖書有限公司。  延伸查詢new window
9.林茂文(1992)。時間數列分析與預測。臺北:華泰書局。  延伸查詢new window
10.鄧聚龍(2000)。灰色系統理論與應用。臺北:高立圖書有限公司。  延伸查詢new window
11.張偉哲、溫坤禮、張廷政(2000)。灰關聯模型方法與應用。高立圖書有限公司。  延伸查詢new window
 
 
 
 
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