| 基于卡尔曼滤波算法的焦炭价格预测 |
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| 引用本文： | 朱美峰,赵国浩.基于卡尔曼滤波算法的焦炭价格预测[J].资源与生态学报（英文版）,2015,6(1):60-64. |
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| 作者姓名： | 朱美峰 赵国浩 |
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| 作者单位： | 1. 山西财经大学 统计学院,太原,030006
2. 山西财经大学 管理工程与科学学院,太原,030006 |
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| 基金项目： | National Natural Science Foundation in China，development projects in Higher Education Institution of Shanxi Province of China，special funds projects in Higher Education Institution of Shanxi Province of China，National Natural Science Foundation in China，soft science research project in Shanxi Province of China |
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| 摘 要： | 焦炭价格预测研究具有重要的理论和实践意义，本文利用卡尔曼滤波算法对焦炭价格进行预测研究。建立状态空间模型时，选取焦炭价格作为唯一的状态变量，通过每一时刻变量观测值与预测值形成的新息，不断更新和迭代，以寻求最优估测值。实证分析表明，该算法对焦炭价格的跟踪和预测效果较好。
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| 关 键 词： | 焦炭价格 预测 状态空间模型 卡尔曼滤波算法 |
| 收稿时间： | 2013-09-10 |
Forecasting the Coke Price Based on the Kalman Filtering Algorithm |
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| ZHU Meifeng,ZHAO Guohao.Forecasting the Coke Price Based on the Kalman Filtering Algorithm[J].Journal of Resources and Ecology,2015,6(1):60-64. |
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| Authors: | ZHU Meifeng ZHAO Guohao |
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| Institution: | 1.Faculty of Statistics, Shanxi University of Finance & Economics, Taiyuan 030006, China;2.School of Management Science and Engineering, Shanxi University of Finance & Economics, Taiyuan 030006, China |
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| Abstract: | Research on coke price forecasting is of theoretical and practical significance. Here, the Kalman filtering algorithm was used to analyze the price of coke. As the only state variable, the historical coke price is sorted out to build the state space model. The algorithm makes use of innovation composed of the difference between observed and predicted values, and allows us to obtain the optimal estimated value of the coke price via continuous updating and iteration of innovation. Our results show that this algorithm is effective in the field of coke price tracking and forecasting. |
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| Keywords: | coke price forecasting state space model Kalman filtering algorithm |
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