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基于ARIMA模型的深证成指收益率分析 被引量:1

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摘要 文章根据ARIMA(p,d,q)模型的原理和方法,对我国深证成指对数收益率数据进行了建模,在实际计算过程中,考虑到对数收益率数据比较小的特点,利用矩阵的SVD分解和Moore-Penrose广义逆,来求解参数的极小最小二乘解,以减少中间过程的误差,从而获得比较好的模型。最后,对模型进行了实验仿真,经检验分析结果比较理想。
出处 《统计与决策》 CSSCI 北大核心 2008年第19期138-140,共3页 Statistics & Decision
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