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金融资产收益率的模糊双线性回归 被引量:8
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作者 李竹渝 刘威仪 王泰积 《统计研究》 CSSCI 北大核心 2009年第2期68-73,共6页
已有文献中对金融市场的区间观测数据利用模糊线性规划方法讨论动态模型结构(FAR(p)),这里引入模糊双线性回归模型(FBR(p,q)),利用模糊最小二乘法来估计未知参数。基于平均平方误差(MSE)与平方绝对误差(MAE)考察了两个模型的拟合效果,... 已有文献中对金融市场的区间观测数据利用模糊线性规划方法讨论动态模型结构(FAR(p)),这里引入模糊双线性回归模型(FBR(p,q)),利用模糊最小二乘法来估计未知参数。基于平均平方误差(MSE)与平方绝对误差(MAE)考察了两个模型的拟合效果,并在样本期内和样本期外分别评价了两个模型的实际拟合与预测能力。 展开更多
关键词 模糊金融资产收益率 模糊自回归 模糊双线性回归 模糊最小二乘估计
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Novel robust approach for constructing Mamdani-type fuzzy system based on PRM and subtractive clustering algorithm 被引量:1
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作者 褚菲 马小平 +1 位作者 王福利 贾润达 《Journal of Central South University》 SCIE EI CAS CSCD 2015年第7期2620-2628,共9页
A novel approach for constructing robust Mamdani fuzzy system was proposed, which consisted of an efficiency robust estimator(partial robust M-regression, PRM) in the parameter learning phase of the initial fuzzy syst... A novel approach for constructing robust Mamdani fuzzy system was proposed, which consisted of an efficiency robust estimator(partial robust M-regression, PRM) in the parameter learning phase of the initial fuzzy system, and an improved subtractive clustering algorithm in the fuzzy-rule-selecting phase. The weights obtained in PRM, which gives protection against noise and outliers, were incorporated into the potential measure of the subtractive cluster algorithm to enhance the robustness of the fuzzy rule cluster process, and a compact Mamdani-type fuzzy system was established after the parameters in the consequent parts of rules were re-estimated by partial least squares(PLS). The main characteristics of the new approach were its simplicity and ability to construct fuzzy system fast and robustly. Simulation and experiment results show that the proposed approach can achieve satisfactory results in various kinds of data domains with noise and outliers. Compared with D-SVD and ARRBFN, the proposed approach yields much fewer rules and less RMSE values. 展开更多
关键词 Mamdani-type fuzzy system robust system subtractive clustering algorithm outlier partial robust M-regression
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