南非通货膨胀模型使用启动的长期短期记忆方法
1Department of Computer Science and Applied Mathematics, University of Witswatersrand, Johannesburg Campus, Johannesburg, 2000 South Africa.
概括
深度学习模型,特别是集群启动式长短期记忆 (LSTM),在南非提供了优越的通胀预测,与ARFIMA-GARCH等传统统计模型相比. 这一发现有助于经济政策在不确定的时期.
科学领域:
- 经济学 经济学 经济学
- 计量经济学 计量经济学 计量经济学
- 数据科学数据科学数据科学
背景情况:
- 经济稳定依赖于有效的通胀目标.
- 由于COVID-19大流行造成了前所未有的经济状况,因此需要更新政策指导.
- 以前的南非通货膨胀研究主要使用统计模型,如ARFIMA,GARCH和GJR-GARCH.
研究的目的:
- 探索深度学习技术在南非通胀预测中的应用.
- 将深度学习模型的预测性能与已建立的统计方法进行比较.
- 确定最准确的预测模型,为经济政策提供信息.
主要方法:
- 实施深度学习模型,包括集群启动长短期记忆 (LSTM).
- 使用诸如平均平方误差 (MSE),根平均平方误差 (RMSE),根平均平方百分比误差 (RSMPE),平均绝对误差 (MAE) 和平均绝对百分比误差 (MAPE) 等指标评估模型性能.
- 应用Diebold-Mariano测试以统计比较模型之间的预测准确性.
主要成果:
- 集群启动LSTM模型表现出卓越的预测性能.
- 深度学习模型在预测南非通货膨胀方面明显优于传统的ARFIMA-GARCH和ARFIMA-GJR-GARCH模型.
- 迪博德-马里亚诺测试证实了LSTM模型优越性的统计学意义.
结论:
- 深度学习,特别是集群启动LSTM,代表了南非通胀预测准确性的重大进步.
- 这些发现为寻求应对当前经济挑战的政策制定者提供了宝贵的见解.
- 该研究强调了先进的机器学习技术在经济建模和政策制定中的潜力.
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