基于成分数据作球坐标变换的非负可变权系数的确定

针对传统的确定不可变权系数的组合预测模型未考虑各时点权重变化的特征,引入变权组合预测模型权系数的确定方法;非负可变权系数组合预测模型中各时点的权系数可以被看成一个成分数据,已有研究将成分数据应用于组合预测中,但未对权重为零的情形作深入讨论;考虑将成分数据的球坐标变换方法与组合预测方法相结合,给出一类非负可变权系数的组合预测赋权方法;最后以2017-07-03—2018-05-11美元兑换人民币汇率的开盘价数据验证了确定可变权系数方法的可行性和合理性;结果表明,文中所提出的方法能够有效提高组合预测的预测精度。

Weight Coefficient Determination in Non-negative Variable Weight Combination Forecast Based on Composition Data of Spherical Coordinate Transformation

For the traditional combination forecasting model that determines the invariable weight coefficient, the characteristics of the weighting changes of each time point are not taken into account, the method for determining the weight coefficient of the variable weight combination forecasting model is introduced. However, the weight coefficient of non-negative variable weight combination forecast model at each time could be viewed as composition data. There are some papers that apply composition data to combination forecast model. However, the existed literatures merely discussed the situation that the weight is not zero. Therefore, this paper proposes a weighting method about non-negative variable weight combination forecast model that is combined with the spherical coordinate transformation method based on composition data. Finally, in order to verify the feasibility and rationality of the model, an example about the exchange rate between America and China in the period of 2017-07-03 to 2018-05-11 is given. The numerical result shows that the method can effectively improve the prediction accuracy.