气温衍生品是天气衍生品交易中最活跃的合约之一,确定合理预测气温动态变化的模型,是气温衍生品开发设计的基础。考虑到气温在时间变化上具有趋势性、季节性和周期性等特点,文中使用了以O-U均值回复过程为基础的Continuous Time Autoreg...气温衍生品是天气衍生品交易中最活跃的合约之一,确定合理预测气温动态变化的模型,是气温衍生品开发设计的基础。考虑到气温在时间变化上具有趋势性、季节性和周期性等特点,文中使用了以O-U均值回复过程为基础的Continuous Time Autoregressive Model(CAR)模型、Seasonal Autoregressive Integrated Moving Average(SARIMA)模型和小波神经网络算法,并选择漠河、北京、乌鲁木齐、芜湖、昆明和海口具有地域性代表的城市气温进行拟合,使用无偏绝对百分比误差、绝对百分比误差和平均绝对比例误差检验指标检验了模型的预测精度。研究结果表明,小波神经网络算法在预测6个城市的无偏绝对百分比误差、绝对百分比误差和平均绝对比例误差的值最小;同时,相比CAR模型、SARIMA模型,其预测效果最优。因此,小波神经网络算法能够很好地拟合气温数据的变化,可以为我国气温天气衍生品的定价提供一定的指导。展开更多
Experiments of forecasting daily bi-variate index of the tropical atmospheric Madden-Julian Oscillation (MJO) are performed in the context of adaptive filtering prediction models by combining the singular spectrum ana...Experiments of forecasting daily bi-variate index of the tropical atmospheric Madden-Julian Oscillation (MJO) are performed in the context of adaptive filtering prediction models by combining the singular spectrum analysis (SSA) with the autoregressive (AR) methods.the MJO index,a pair of empirical orthogonal function (EOF) time series,called RMM1 and RMM2,predicts by the combined statistical SSA and AR models:firstly,according to the index of historic observation decomposed by SSA and then reconstructed by selecting the first several components based on prominent variance contributions;after that,established an AR prediction model from the composite (scheme A) or built the forecast models for each of these selected reconstructed components,separately (Scheme B).Several experimental MJO index forecasts are performed based on the models.The results show that both models have useful skills of the MJO index forecast beyond two weeks.In some cases,the correlation coefficient between the observed and predicted index series stays above 0.5 in 20 leading days.The SSA-AR model,based on the reconstructed composite series,has better performance on MJO forecast than the AR model,especially for the leading time longer than 5 days.Therefore,if we build a real-time forecast system by the SSA-AR model,it might provide an applicable tool for the operational prediction of the MJO index.展开更多
基金National Key Technologies R & D Program (2009BAC51B01)Priority Academic Program Development of Jiangsu Higher Education Institutions (PAPD)Natural Science Foundation of China (40875058)
文摘Experiments of forecasting daily bi-variate index of the tropical atmospheric Madden-Julian Oscillation (MJO) are performed in the context of adaptive filtering prediction models by combining the singular spectrum analysis (SSA) with the autoregressive (AR) methods.the MJO index,a pair of empirical orthogonal function (EOF) time series,called RMM1 and RMM2,predicts by the combined statistical SSA and AR models:firstly,according to the index of historic observation decomposed by SSA and then reconstructed by selecting the first several components based on prominent variance contributions;after that,established an AR prediction model from the composite (scheme A) or built the forecast models for each of these selected reconstructed components,separately (Scheme B).Several experimental MJO index forecasts are performed based on the models.The results show that both models have useful skills of the MJO index forecast beyond two weeks.In some cases,the correlation coefficient between the observed and predicted index series stays above 0.5 in 20 leading days.The SSA-AR model,based on the reconstructed composite series,has better performance on MJO forecast than the AR model,especially for the leading time longer than 5 days.Therefore,if we build a real-time forecast system by the SSA-AR model,it might provide an applicable tool for the operational prediction of the MJO index.
