摘要
文中首先从马尔可夫转换多分形模型(MSM)产生的背景出发,阐述了MSM模型的定义及其主要内容,从理论角度对MSM模型进行研究并对其发展历程和模型估计方法进行详尽的分析;其次,从实践的角度对MSM模型进行检验,同时,通过研究MSM模型在各方面的应用,发现现有研究存在一些不足之处。
Based on the background of Markov-Switching Multifractal model(MSM),this paper expounds the definition and main contents of MSM model.Firstly,it studies the MSM model from a theoretical point of view,and makes a detailed analysis of its development process and model estimation method.Secondly,the MSM model is tested from the perspective of practice.Meanwhile the application of MSM model in various aspects is studied,and there are still some shortcomings in the existing research.
作者
冉梦
唐振鹏
俞晓晗
RAN Meng;TANG Zhen-peng;YU Xiao-han(School of Economics and Management,Fuzhou University,Fuzhou 350116,China)
出处
《物流工程与管理》
2018年第4期142-144,149,共4页
Logistics Engineering and Management
基金
国家自然科学基金项目(71573042)
关键词
MSM
参数估计
模型应用
MSM
parameter estimation
model application
