金融资产收益率的模糊双线性回归

统计研究 ›› 2009, Vol. 26 ›› Issue (2): 68-73.

金融资产收益率的模糊双线性回归

李竹渝刘威仪王泰积

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2009-02-15 发布日期:2009-02-15

Fuzzy Double Regression of Financial assets yield

Received:1900-01-01 Revised:1900-01-01 Online:2009-02-15 Published:2009-02-15

摘要/Abstract

摘要： 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（FDR（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。

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

Abstract: This paper use the interval data of the fuzzy financial yield, from introducing the fuzzy auto regression model(FAR(p)) to leading out the fuzzy double regression（FDR(p, q)）,and then deduce the fuzzy least square method to estimate the unknown parameter in the model. In order to evaluate and compare the fuzzy fitting results of the two models, we have employed two standards that is mean-squared error (MSE) and mean-absolute error (MAE), and then check the results in and out of the sample period. In Empirical studies, we discuss the modeling of the fuzzy

Key words: fuzzy financial yield, fuzzy auto regression(FAR), fuzzy double regression（FDR）, fuzzy least square estimation

李竹渝刘威仪王泰积. 金融资产收益率的模糊双线性回归[J]. 统计研究, 2009, 26(2): 68-73.