Forecasting Behavior of economic multivariate time series with neural networks

被引：0
|
作者：
Fan, Chongjun [1 ]
机构：
[1] Shanghai Univ Sci & Technol, Sch Management, Shanghai 200093, Peoples R China
来源：
PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON SYSTEM MANAGEMENT | 2008年
关键词：
neural network; modified genetic algorithms; BIDS test; fractal dimension; nonlinear time series; economic forecasting; statistical inference; real estate price index;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, the neural network approach to nonlinear multivariate time series forecasting is investigated. (1) The BIDS test is employed to test nonlinear dependence within time series. (2) A statistical method based on fractal dimension is designed for testing nonlinear dependence between time series. (3) A leaming algorithm for neural networks based on modified genetic algorithm is proposed. The methods of this paper have been used in forecasting the Shanghai Composite Index of Chinese Restate and work very well.
引用
收藏
页码：37 / 41
页数：5
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