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Analysis of Generalized Maximum Entropy Regression Effect


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Analysis of Generalized Maximum Entropy Regression Effect
HUO Ying-bao~1ZHU Chang-hong~2HAN Zhi-jun~2
1.School of Business and Management,Nanjing University of Finance and Economy,Nanjing 210046,China;2.School of Economy and Management,NUST,Nanjing 210094,China
regression method generalized m ax imum entropy least square m ethod partia l least square method
A im ing at generalizedm ax imum entropy ( GME ) regression effect and especially the indeterm ination o f the cho ice of support space of parameter and erro r in the mode,l the mode lling process o f GME reg ression method is analyzed, and its regression effect is compared w ith others. effects through tw o cases in this paper. Resu lts show that the forecasting prec ision and the exp laining ab ility of GME m ethod is higher than the least square method, the partial least squarem ethod and the princ ipal component ana lysis. The larger the support space of param eter is, the better, under the lack of pr ior in format ion, and the support space o f error should be betw een 3σ and 4σ.


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Last Update: 2006-12-30