基于融合估计的金融数据预测

Prediction for Financial Data based on Fusion Estimation

本文提出了一个基于最小二乘预测和Kalman滤波预测的融合估计方法,并讨论了其性质.通过模拟和实例分析,验证了方法的可行性和优越性.

This paper proposes a fusion estimation method for financial data,which is based on the least squares prediction and Kalman prediction methods. Results from simulation and real data example are presented, which indicate the proposed method performs better than existing methods.