中国科学院研究生院学报2012，Vol.29Issue(2)：162-168,7.
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
Constructing generalized exponential predictors via penalty methods:empirical analysis on gold price
摘要
Abstract
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 L, ,L2 and the LM loss function which combines both Lx 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.关键词
广义指数因子/黄金价格预测/变量选择/罚函数/损失函数Key words
generalized exponential predictors/ gold price forecast/ variable selection/ penalty functions/ loss function分类
管理科学引用本文复制引用
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].中国科学院研究生院学报,2012,29(2):162-168,7.基金项目
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 （71001095）
