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Granger相关性与时间序列预测

DOI: 10.13195/j.kzyjc.2013.0005, PP. 764-768

Keywords: 时间序列,预测,Granger,相关,神经网络

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Abstract:

提出一种将Granger相关信息用于时间序列预测的方法,以解决时间序列预测过程中信息利用不完全的问题.首先,通过Granger相关性检验确定时间序列系统中的可利用信息;然后,利用神经网络将可利用信息抽取出来;最后,将抽取的可利用信息融入到时间序列的预测中.实验结果验证了所提出预测方法的有效性和稳定性.

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