多统计频率信息协同下的季节性混频灰色预测模型及其应用
CSTR:
作者:
作者单位:

1.南京航空航天大学;2.重庆工商大学

作者简介:

通讯作者:

中图分类号:

N941.5

基金项目:

国家自然科学基金项目;江苏省研究生科研与实践创新计划项目


Seasonal Mixing Grey Prediction Model and Its Application Under the Collaboration of Multiple Frequency Statistical Information
Author:
Affiliation:

1.Nanjing University of Aeronautics and Astronautics;2.Chongqing Technology and Business University

Fund Project:

The National Natural Science Foundation of China ;The Postgraduate Research and Practice Innovation Program Project of Jiangsu Province

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    摘要:

    针对协同利用多频率信息进行建模时存在变量频率不齐,以及高频变量通常具有季节性影响的问题,本文构建了季节性混频灰色预测模型(SMFGM(1,N))。新模型通过引入Nakagami函数实现变量间频率对齐,基于季节因子消除变量的季节性影响,添加非线性项反映系统受时间因素的非线性影响。此外,为辨识新模型中滞后参数,将Nakagami函数与灰色关联度模型结合,提出了混频灰色关联度模型,以识别不同频率变量间的关联关系。最后,基于年度GDP与季度税收收入案例,将新模型与混频数据抽样模型、其他灰色预测模型、神经网络模型和统计模型进行对比分析。结果表明SMFGM(1,N)模型具有更优异的建模性能,能够有效处理具有季节性规律的混频数据预测问题,为多频率信息系统建模提供了新的方法。

    Abstract:

    When modeling with the collaborative use of multi-frequency information, the issues of inconsistent variable frequencies and the seasonal effects often associated with high-frequency variables arise. To address these, this paper proposes a Seasonal Mixed-Frequency Grey Prediction Model (SMFGM(1,N)). The new model aligns variable frequencies by introducing the Nakagami function, eliminates the seasonal effects of variables based on seasonal factors, and incorporates nonlinear terms to capture the nonlinear impacts of time on the system. Additionally, to identify the lag parameters in the new model, the Nakagami function is combined with the grey relational model to propose a Mixed-Frequency Grey Relational Model, which helps identify the relationships between variables with different frequencies. Finally, using a case study of annual GDP and quarterly tax revenue, the new model is compared with the mixed-frequency data sampling model, other grey prediction models, neural network models, and statistical models. The results demonstrate that the SMFGM(1,N) model has superior modeling performance and effectively addresses the prediction problems of mixed-frequency data with seasonal patterns, providing a new method for modeling multi-frequency information systems.

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历史
  • 收稿日期:2024-05-13
  • 最后修改日期:2024-11-13
  • 录用日期:2024-09-10
  • 在线发布日期: 2024-09-18
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