Fuzzy Varying Coefficient Bilinear Regression of Yield Series

Qiujun  Lu; Ting  He

doi:10.4236/jdaip.2015.33006

Ting He, Qiujun Lu

Abstract: We construct a fuzzy varying coefficient bilinear regression model to deal with the interval financial data and then adopt the least-squares method based on symmetric fuzzy number space. Firstly, we propose a varying coefficient model on the basis of the fuzzy bilinear regression model. Secondly, we develop the least-squares method according to the complete distance between fuzzy numbers to estimate the coefficients and test the adaptability of the proposed model by means of generalized likelihood ratio test with SSE composite index. Finally, mean square errors and mean absolutely errors are employed to evaluate and compare the fitting of fuzzy auto regression, fuzzy bilinear regression and fuzzy varying coefficient bilinear regression models, and also the forecasting of three models. Empirical analysis turns out that the proposed model has good fitting and forecasting accuracy with regard to other regression models for the capital market.

Keywords: Fuzzy Varying Coefficient Bilinear Regression Model, Fuzzy Financial Assets Yield, Least-Squares Method, Generalized Likelihood Ratio Test, Forecast

Cite this paper: He, T. and Lu, Q. (2015) Fuzzy Varying Coefficient Bilinear Regression of Yield Series. Journal of Data Analysis and Information Processing, 3, 43-54. doi: 10.4236/jdaip.2015.33006.

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