文档介绍：2
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第 23 卷第 2 期重庆工学院学报(自然科学) 2009 年 2 月
Vol. 23 No. 2 Journal of Chongqing Institute of Technology(Natural Science) Feb. 2009
ARMA 模型参数估计算法改进及
在股票预测中的应用
何永沛
(重庆大学软件学院,重庆 400030)
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摘要:针对股票市场中 ARMA 模型的识别、建立和估计问题,提出一种 ARMA 模型参数估计的改
进算法,以加快计算的收敛速度和提高模型参数估计的精确度. 该算法借助反向过程确定初值,
结合优化阻尼最小二乘法求解模型参数. 应用该算法对预测股票价格进行了仿真试验,并与 SAS
预测结果作了对比,获得了满意的效果. 实验结果表明该算法在预测性能上有了较大的提高,证
实了该算法的有效性.
关键词:ARMA 模型;时序数据;股票预测;SAS 软件
中图分类号:TP391 文献标识码:A 文章编号:1671 - 0924(2009) 02 - 0109 - 04
Improved Algorithm of Parameter Estimating for ARMA Model
and Its Application in the Stock Markets Forecasting
HE Yong pei
(College of Software Engineering , Chongqing University , Chongqing 400030 , China)
Abstract : Aimed at the problems of identifying , establishing and estimating of ARMA model in the Stock
Market Forecasting , the paper proposes a sort of improved algorithm of parameter estimate for ARMA model
so as to expedite puting convergence speed and enhance the accuracy of model parameter estimate.
By means of backward process , it determines the initial value , bined with optimized damping least
squares method , it solves model parameters. It carries out the simulation experiment to forecast stock
price , and parison with forecast result of SAS showing that the satisfactory result is obtained.
The experiment shows that the forecasting performance of this algo