关于BDLM模型和ARMA模型的一个注解

A Note on The BDLM-model and ARMA-model

长期以来,ARMA模型在中国股市领域、预测领域得到了广泛的应用。近来的研究表明,由于中国股市的自身特点,一般不用ARMA模型来预测,而用贝叶斯动态模型BDLM进行股市预测。本文从理论研究的角度出发,证明这两类模型之间的关系,从而希望对应用研究能够产生一些指导意义。

ARMA-model has been widely used in the forecasting of Chinese stock market for a long time. Now, some researches found that the ARMA model cannot be used to forecast because of the Chinese market＇s feature, while the BDLM-model can be used for the forecasting. The ralation between two models in the sight of the theory research is found in this paper.