Applications of AR*-GRNN model for financial time series forecasting
作者： Weimin Li , Yishu Luo , Qin Zhu , Jianwei Liu , Jiajin Le
DOI: 10.1007/S00521-007-0131-9
关键词:
摘要: AR* models contain Autoregressive Moving Average and Generalized Conditional Heteroscedastic class model which are widely used in time series. Recent researches forecasting with Regression Neural Network (GRNN) suggest that GRNN can be a promising alternative to the linear nonlinear series models. In this paper, composed of is proposed take advantage their feathers modeling. AR*-GRNN model, modeling improves performance combined by capturing statistical volatility information from The relative experiments testify provides an effective way improve achieved either separately.
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