| 企业失败动态预测的ARMA-EWMA模型及其应用 |
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| 引用本文： | 佘元冠,刘建国.企业失败动态预测的ARMA-EWMA模型及其应用[J].系统工程,2006,24(12):84-89. |
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| 作者姓名： | 佘元冠 刘建国 |
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| 作者单位： | 1. 北京科技大学,管理学院,北京,100083
2. 北京科技大学,管理学院,北京,100083;洛阳师范学院,工商管理系,河南,洛阳,471022 |
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| 摘 要： | 利用ARMA模型的时间序列分析和EWMA控制图对过程变异的加权累加记忆特征．以图示化的形式研究企业失败演化路径。实证结果显示．ARMA-EWMA模型能够预测出企业由缋效好向差转变的转折点，预测失败趋势；在预测精度上．ARMA—EWMA模型与统计判别Fisher模型、Logit模型近似，表现出较高的预测正确率，但在中长期预测上，ARMA—EWMA模型优于统计判别模型。
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| 关 键 词： | 企业失败 EWMA控制图 ARMA模型 多变量动态预测 Mahalanobis距离 |
| 文章编号： | 1001-4098（2006）12-0084-06 |
| 收稿时间： | 2006-10-11 |
| 修稿时间： | 2006-10-11 |
Dynamic Predicting in Business Failure Based on ARMA-EWMA Model |
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| SHE Yuan-guan,LIU Jian-guo.Dynamic Predicting in Business Failure Based on ARMA-EWMA Model[J].Systems Engineering,2006,24(12):84-89. |
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| Authors: | SHE Yuan-guan LIU Jian-guo |
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| Institution: | 1. School of Management,Beijing University of Science and Technology,Beijing 100083,China 2. School of Business, Luoyang Normal University,Luoyang 471022,China |
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| Abstract: | This paper utilized the multivariate time series process of ARMA model and the accumulative memory in the process variation of EWMA Control Chart to predict business failure. The result showed that ARMA-EWMA model can detect the transition time of the enterprise achievement from good to bad, The proposed model also can forecast the enterprise failure tendency. The ARMA-EWMA model with the Fisher model and the Logit model equally has a higher correct rate in predicting business failure. In the metaphase or long-term predicting, the ARMA-EWMA model surpasses the statistical distinction model. |
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| Keywords: | Business Failure EWMA Control Chart ARMA Model Multivariate Dynamic Predicting Mahalanobis Distance |
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