{"title":"概述了卡尔曼滤波和递归参数估计方法在股票市场预测中的应用","authors":"D. McGonigal, D. Ionescu","doi":"10.1109/CCECE.1995.526633","DOIUrl":null,"url":null,"abstract":"An outline of a system that models and forecasts stock market processes is described. The method involves a spectral estimation approach to ARMA modelling, forecasting is performed through Kalman filtering, and adaptive parameter estimation performed via the Gauss-Newton algorithm.","PeriodicalId":158581,"journal":{"name":"Proceedings 1995 Canadian Conference on Electrical and Computer Engineering","volume":"300 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1995-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"An outline for a Kalman filter and recursive parameter estimation approach applied to stock market forecasting\",\"authors\":\"D. McGonigal, D. Ionescu\",\"doi\":\"10.1109/CCECE.1995.526633\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"An outline of a system that models and forecasts stock market processes is described. The method involves a spectral estimation approach to ARMA modelling, forecasting is performed through Kalman filtering, and adaptive parameter estimation performed via the Gauss-Newton algorithm.\",\"PeriodicalId\":158581,\"journal\":{\"name\":\"Proceedings 1995 Canadian Conference on Electrical and Computer Engineering\",\"volume\":\"300 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1995-09-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Proceedings 1995 Canadian Conference on Electrical and Computer Engineering\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/CCECE.1995.526633\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings 1995 Canadian Conference on Electrical and Computer Engineering","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CCECE.1995.526633","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
An outline for a Kalman filter and recursive parameter estimation approach applied to stock market forecasting
An outline of a system that models and forecasts stock market processes is described. The method involves a spectral estimation approach to ARMA modelling, forecasting is performed through Kalman filtering, and adaptive parameter estimation performed via the Gauss-Newton algorithm.
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