基于奇异谱分析的汇率预测研究被引量：14

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摘要文章详细介绍了奇异谱分析(SSA)这种用于处理时间序列数据的方法,并用其对欧元兑美元汇率进行了分析和预测。将预测结果与随机游走模型进行比较的结果表明,该方法优于随机游走模型,且预测精度较高。

作者张一惠晓峰

机构地区哈尔滨工业大学经济与管理学院

出处《统计与决策》 CSSCI 北大核心 2012年第6期29-31,共3页 Statistics & Decision

基金国家自然科学基金资助项目(70773028 71173060) 高等学校博士学科点专项科研基金资助项目(200802130048)

关键词奇异谱分析时间序列汇率预测随机游走

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