中国管理科学 ›› 2022, Vol. 30 ›› Issue (9): 275-286.doi: 10.16381/j.cnki.issn1003-207x.2020.0899
• 论文 • 上一篇
李霞1, 李守伟2
收稿日期:
2020-05-18
修回日期:
2020-08-11
发布日期:
2022-08-31
通讯作者:
李守伟(1970-),男(汉族),山东临沂人,山东师范大学商学院,教授,博士,研究方向:智能算法与网络分析,Email:lishouwei@sdnu.edu.cn.
E-mail:lishouwei@sdnu.edu.cn
基金资助:
LI Xia1, LI Shou-wei2
Received:
2020-05-18
Revised:
2020-08-11
Published:
2022-08-31
Contact:
李守伟
E-mail:lishouwei@sdnu.edu.cn
摘要: 针对具有非线性和不稳定性的时间序列,提出一种结合经验模态分解(EMD)、有向可见图(DVG)网络的动态预测模型。利用经验模态分解将原时间序列分解为多个固有模态函数(IMF),然后对分解后的高频和低频IMF利用快速傅里叶变换得到各自的周期;依据每个周期,从原时间序列的尾部截取长短不一的子序列,然后采用有向可见图算法转换为多个有向网络,利用随机游走在每个有向网络中寻找与时间序列最后一个节点相似的节点;最后,依据平行线法,预测时间序列的下一个数值。原油价格的时间序列是一类典型的具有非线性和不稳定性的序列,利用此模型对WTI原油每日价格进行实证分析。研究结果表明,此模型不但可以有效地预测时间序列的变化趋势,而且具有较高的预测精度。
中图分类号:
李霞, 李守伟. 基于EMD与DVG的非线性时间序列预测模型及其应用研究[J]. 中国管理科学, 2022, 30(9): 275-286.
LI Xia, LI Shou-wei. Non-linear Time Series Prediction Model Based on EMD and DVG and Its Application[J]. Chinese Journal of Management Science, 2022, 30(9): 275-286.
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