摘要
时间序列模型经历了从线性模型到非线性模型的发展。非线性时间序列模型又分为参数模型和非参数模型。人工智能发展起来以后,神经网络、支持向量回归在时间序列建模中,发挥着越来越重要的作用。
本文借鉴神经网络和支持向量回归应用到时间序列预测的思想,将基于统计学习(Statistical Learning记为:SL)理论的正则化最小二乘回归(Regularized Least-Squares Regression记为:RLSR)应用到时间序列建模和预测中。利用RLS方法,对平稳序列和非平稳序列进行了随机模拟,并得到较好结果。之后,将RLS方法分别应用到太阳黑子、石油价格和英镑/美元的汇率的时间序列预测中,取得了比文献中已有研究更好的结果。
RLS方法充分利用了统计学习理论中再生核希尔伯特空间(Reproducing Kernel Hilbert Space记为:RKHS)的性质。在算法的求解过程中,最终转化为一个简单的线性方程。相对于文献中已有的模型,RLS方法的求解过程相对简单。
文章的贡献:
●尝试将基于统计学习理论的RLS方法应用于时间序列建模和预测中。
●通过随机模拟,用RLS方法对平稳序列、非平稳序列(含趋势项、周期项)进行了模拟,为RLS方法在时间序列分析中的应用提供了一定的支撑。
●尝试利用RLS和WRLS方法对太阳黑子数、原油价格和英镑/美元的汇率进行了预测,并取得了相对较好的预测效果。
文章的主体结构安排:
第一章:对时间序列模型的发展历程进行了简单回顾,介绍了时间序列模型预测效果评价和准确性度量的常用指标。
第二章:在统计学习理论的基础上,介绍了正则化最小二乘回归(RLSR)的基本框架。并阐述了如何将模型应用到时间序列建模和预测中。
第三章:通过随机模拟,模拟了RLS方法对平稳序列和非平稳序列(含趋势项、周期项)的预测。并在模拟的过程中,详细阐述了采用二维搜索和Holdout的方法选取参数的过程。
第四章:尝试利用RLS和WRLS方法,对太阳黑子个数进行了预测。预测效果与文献中已有的研究成果相当。同时,RLSR的算法求解相对简单。
第五章:尝试将RLS和WRLS方法应用于石油价格预测中,从RMSE指标来看,RLS方法的预测效果优于文献中已有的研究成果。
第六章:尝试将RLS和WRLS方法应用于英镑/美元汇率预测中,大部分情况下,RLS方法的预测效果优于文献已有的研究成果。
第七章:总结了文章的研究成果,与此同时提出了有待研究的问题。
In the development of time series model, two stages are included: linear model and nonlinear model. Nonlinear time series model can be classificed into parameter models and nonparemeter models. With the development of Artifical Intelligence (AI), Neural Network (NN) and Support Vector Regression (SVR) are adopted into the time series forecasting model.
Regularized Least-Squares Regression (RLSR) is a method of function estimation based on Statistical Learning (SL) theory. In this paper, we borrow the idea from using Neural Network (NN) and Support Vector Regession (SVR), and adopt the RLS method to the time series forecasting. After simuliating the RLS method with both stationary series and nonstationary series(with trend and seasonality), and get good performance. RLS method is applied to sunspot number, crude oil price, and GBP/USD currecy exchange rate times series forecasting. And the forecasting performance is better than the literature as far as we know. In addition, RLSR takes full use of the propertities of Reproducing Kernel Hilbert Space (RKHS), and the solution of RLSR is converted to solve a linear equation, the algorithm of RLS is comparably easier to be solved.The contributions of this paper are:
●Adopt the Regularized Least-Squares Regression (RLSR) to the time series forecasting model.
●Simulate the forecasting performance of RLS mothod with both stationary series and nonstationary series (with trend and seasonality).
●Apply the RLS method to the sunspot number prediction.
●Apply the RLS method to the crude oil price forecasting.
●Apply the RLS method to the GBP/USD exchange rate (daily, weekly, and biweekly) forecasting.
In the first chapter, this paper reviews the development of time series model, and introduces the forecasting evaluation and accuracy measures.
In the second chapter, this paper introduces the RLSR theory based on Statistical Learning (SL) theory and gives the frame work on how to apply RLS and WRLS methods to time series forecasting.
In the third chapter, this paper simulates the forecasting performance of RLS method with both stationary series and nonstationary series(with trend and seasonality). Parameters selection is detailed discussed.
In the fourth chapter, RLS and WRLS methods are applied to forecast the sunspot numer. The performance of RLS method is comparable to the model in the latest literature as far as sunspot number is concerned, in addition that the algorithm of RLS method is much ealier to be solved.
In the fifth chapter, RLS and WRLS methods are applied to forecast the crude oil price. The performance of RLS method is better than the models in the latest literature using the criteria of RMSE.
In the sixth chapter, RLS and WRLS methods are applied to forecast GBP/USD currency exchange rate. The performance of RLS method is better than the currency exchange rate forecasting model in the latest literature as far as daiy and weekly GBP/USD exchange rate is concered.
In the last chapter, this paper summarizes the result and gives some open problems needed to do further research.
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