| 基于Copula的回归预测 |
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| 引用本文： | 刘涛,李述山,安勇强. 基于Copula的回归预测[J]. 山东师范大学学报(自然科学版), 2013, 0(4): 57-59 |
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| 作者姓名： | 刘涛 李述山 安勇强 |
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| 作者单位： | 山东科技大学信息科学与工程学院,山东青岛266590 |
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| 摘 要： | 针对回归预测问题,分别引入Copula回归函数和Copula τ分位数来对因变量进行点预测和区间预测,相应的通过均方误差和区间的平均长度作为预测准确性的评价指标,最后通过实证研究并与线性回归预测做比较表明：基于Copula的回归预测方法效果更好.
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| 关 键 词： | Copula回归函数 Copula τ分位数 预测 极大似然估计 拟合检验 |
REGRESSION PREDICTION BASED ON COPULA |
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| Liu Tao Li Shushan An Yongqiang. REGRESSION PREDICTION BASED ON COPULA[J]. Journal of Shandong Normal University(Natural Science), 2013, 0(4): 57-59 |
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| Authors: | Liu Tao Li Shushan An Yongqiang |
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| Affiliation: | Liu Tao Li Shushan An Yongqiang ( School of Information Science and Engineering,Shandong University of Science and Technology, 266590, Qingdao, Shandong, China ) |
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| Abstract: | Aiming at regression prediction problems,we introduce Copula regression function and Copula τ quantile respectively,which is applied to the point prediction and the interval prediction for the dependent variable.Mean square error and the average length of interval are used as evaluation index of the prediction accuracy accordingly.At last,through empirical research and the linear regression prediction for contrast,it shows better effect for the method of regression prediction based on Copula. |
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| Keywords: | Copula regression function Copula quantile prediction maximum likelihood estimate fitting test |
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