区间时间序列的混合预测模型.pdfVIP

第28 卷 第12 期 控 制 与 决 策 2013 年 12 月 Vol. 28 No. 12 Control and Decision Dec. 2013 文章编号: 1001-0920 (2013) 12-1915-06 区间时间序列的混合预测模型 1 1 1 2 岳继光 , 杨臻明 , 孙 强 , 王晓保 (1. 同济大学电子与信息工程学院，上海201804 ；2. 上海申通轨道交通研究咨询有限公司，上海201103) 摘 要: 提出一种基于自回归求和移动平均(ARIMA) 与人工神经网络(ANN) 的区间时间序列混合模型, 并用混合 模型分别对区间中值序列和区间半径序列建模. 采用Monte Carlo 方法生成模拟区间序列, 分别用ARIMA 、ANN和 混合模型3 种方法进行建模和预测实验, 并用统计学方法检验模型误差. 最后分别采用3 种方法对H 市轨道交通某 号线牵引能耗区间序列进行了建模和预测, 实验结果表明混合模型的建模精度和预测性能均优于单一模型. 关键词: 区间分析；时间序列；混合模型；ARIMA 模型；人工神经网络；城市轨道交通；Monte Carlo方法 中图分类号: TP273 文献标志码: A Hybrid model for interval-valued time series 1 1 1 2 YUE Ji-guang , YANG Zhen-ming , SUN Qiang , WANG Xiao-bao (1. College of Electronic and Information Engineering，Tongji University ，Shanghai 201804，China ；2. Shanghai Shentong Rail Transit Research and Consultancy Co Ltd，Shanghai 201103，China ．Correspondent ：YANG Zhen-ming, E-mail ：yangzhenmingtk@163.com) Abstract ：：：A hybrid model based on the autoregressive integrated moving average(ARIMA) model and the artificial neural network(ANN) model is proposed to model and predict interval-value time series. The interval-valued time series are converted to the mid-point and the half-range series, the forecasting of which is accomplished through a hybrid model, respectively. The evaluation of the ARIMA, ANN and hybrid models is based on the estimation of the average behavior of the mean squared error with synthetic and real interval-valued series in the framework of a Monte Carlo experiment. The experimental results show that the hybrid model is an