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采用基于变压器的混合模型进行多步预测和间隔碳价格预测
Wang Yue1, Wang Zhong2, Wang Xiaoyi1
1College of Management Science, Chengdu University of Technology, Chengdu, 610059, China.
Environmental science and pollution research international
|August 9, 2023
概括
本研究引入了一种新的混合模型,用于准确的碳价格预测,在多步和间隔预测中表现优于现有的方法. 该模型通过提供碳市场稳定性的可靠参考来增强投资决策.
科学领域:
- 环境经济学环境经济学
- 金融预测 金融预测
- 数据科学数据科学数据科学
背景情况:
- 准确的碳价格预测对于市场稳定和投资决策至关重要.
- 现有的方法难以应对碳价格数据的非线性和非静止性,特别是对于多步和间隔预测.
- 应对这些挑战对于可靠的碳市场评估至关重要.
研究的目的:
- 为准确的多步预期和间隔碳价格预测提出一种新的混合模型.
- 为决策者和投资者提高碳价格预测的可靠性.
- 解决现有模型在处理复杂的碳价格动态方面的局限性.
主要方法:
- 一个混合模型,结合了Hampel标识符 (HI),基于时间变化的过的实证模式分解 (TVFEMD) 和变压器模型.
- HI用于异常值的识别和纠正;TVFEMD用于分解和重建碳价格系列.
- 坐标阵列调整用于超参数优化和量子损失函数用于预测.
主要成果:
- 拟议的HI-TVFEMD变压器模型在多步前进预测方面显著优于基准模型 (例如,一步前进的MAE为0.6546).
- 间隔预测在0.1信心区间内始终达到0.95以上的PICI,证明了有效的不确定性量化.
- 该模型在中国五个试点碳交易市场中被证明是可靠的.
结论:
- 新的混合模型在碳价格预测准确性和可靠性方面取得了重大进展.
- 它有效地处理碳价格数据的非线性和非静态特征.
- 该模型为碳市场的知情投资和运营决策提供了可靠的工具.
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