希尔伯特-黄变换
非线性系统
ARCH模型
异方差
碳价格
核(代数)
支持向量机
自回归模型
计算机科学
稳健性(进化)
粒子群优化
计量经济学
数学优化
算法
数学
人工智能
统计
波动性(金融)
温室气体
白噪声
组合数学
物理
基因
生物
生态学
量子力学
化学
生物化学
作者
Bangzhu Zhu,Shunxin Ye,Ping Wang,Kaijian He,Tao Zhang,Yi‐Ming Wei
标识
DOI:10.1016/j.eneco.2017.12.030
摘要
In this study, a novel multiscale nonlinear ensemble leaning paradigm incorporating empirical mode decomposition (EMD) and least square support vector machine (LSSVM) with kernel function prototype is proposed for carbon price forecasting. The EMD algorithm is used to decompose the carbon price into simple intrinsic mode functions (IMFs) and one residue, which are identified as the components of high frequency, low frequency and trend by using the Lempel-Ziv complexity algorithm. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used to forecast the high frequency IMFs with ARCH effects. The LSSVM model with kernel function prototype is employed to forecast the high frequency IMFs without ARCH effects, the low frequency and trend components. The forecasting values of all the components are aggregated into the ones of original carbon price by the LSSVM with kernel function prototype-based nonlinear ensemble approach. Furthermore, particle swarm optimization is used for model selections of the LSSVM with kernel function prototype. Taking the popular prediction methods as benchmarks, the empirical analysis demonstrates that the proposed model can achieve higher level and directional predictions and higher robustness. The findings show that the proposed model seems an advanced approach for predicting the high nonstationary, nonlinear and irregular carbon price.
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