Computer Engineering and Applications ›› 2020, Vol. 56 ›› Issue (2): 255-260.

### Tolerable Prediction Error and Its Application on Combination Forecast of Exchange Rate

TAO Zhifu, ZHAO Qin, ZHU Jiaming, LIU Jinpei

1. 1.School of Economics, Anhui University, Hefei 230601, China
2.School of Mathematical Sciences, Anhui University, Hefei 230601, China
3.School of Business, Anhui University, Hefei 230601, China
• Online:2020-01-15 Published:2020-01-14

### 可容忍预测误差及其在汇率组合预测中的应用

1. 1.安徽大学 经济学院，合肥 230601
2.安徽大学 数学科学学院，合肥 230601
3.安徽大学 商学院，合肥 230601

Abstract: For the reason that the extreme values have not been considered in traditional weighting methods of optimal combination forecasting models, there exist certain drawbacks. In order to improve the accuracy of combination forecasting, the concept of tolerable error is developed. The concept is then applied to effect analysis of each single forecasting model and the combination forecasting model, a novel optimal combination forecasting model with tolerable error is developed, in which the weighting vector of single forecasting models is determined. Finally, taking the exchange rate data between America and Japan in the period of 2016-01-04 to 2018-06-12 as an example, the feasibility and validity of the proposed model are illustrated. The numerical result shows that the developed combination forecasting model can effectively improve the prediction accuracy.