GMDH modeling and forecasting based on local linear kernel estimation
Dijun Tan · Journal of systems engineering · 2008
This paper introduces the local linear kernel estimation method to group method of data handling(GMDH)modeling to improve forecasting accuracy.Moreover,the judgment that the new method has better fitting and forecasting ability when window-width of the kernel is less than a cer- tain constant C has been proven.Empirical study on RMB exchange rate also demonstrates that this new method has outstanding better forecasting ability than classic method.