Grey multivariable convolution model with new information priority accumulation. (English) Zbl 1462.62558
Summary: The \(\mathrm{GM}(1,N)\) model with convolution integral appeals considerable interest in recent researches due to its effectiveness in multivariate time series forecasting. However, the failure of incorporation new information priority principle will cause large errors. To improve the simulation and prediction accuracy, \(\mathrm{GMC}(1,N)\) model with new information priority accumulation is put forward. A parameter is added to adjust the weight of data. By giving a large weight to the new information, the accuracy of the prediction is improved in theoretical. The priority of new \(\mathrm{GMC}(1,N)\) model is verified through some cases.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62H12 | Estimation in multivariate analysis |
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