Fuzzy Varying Coefficient Bilinear Regression of Yield Series

• 作者: Qiujun Lu Ting He
• 来源期刊: 数据分析和信息处理(英文)
• 学科: 数学
• 关键词: FUZZY VARYING COEFFICIENT BILINEAR Regression Model FUZZY Financial Assets YIELD LEAST-SQUARES Method Generalized Likelihood Ratio Test Forecast
• 年，卷（期）: 2015,（3）
• 页码范围: 43-54
• 页数: 12页
• 分类号: O1

摘要

We construct a fuzzy varying coefficient bilinear regression model to deal with the interval financial data and then adopt the least-squares method based on symmetric fuzzy number space. Firstly, we propose a varying coefficient model on the basis of the fuzzy bilinear regression model. Secondly, we develop the least-squares method according to the complete distance between fuzzy numbers to estimate the coefficients and test the adaptability of the proposed model by means of generalized likelihood ratio test with SSE composite index. Finally, mean square errors and mean absolutely errors are employed to evaluate and compare the fitting of fuzzy auto regression, fuzzy bilinear regression and fuzzy varying coefficient bilinear regression models, and also the forecasting of three models. Empirical analysis turns out that the proposed model has good fitting and forecasting accuracy with regard to other regression models for the capital market.