Connectionist projection pursuit regression |
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Authors: | William Verkooijen Hennie Daniels |
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Affiliation: | (1) Faculty of Economics, Tilburg University, P.O. Box 90153, 500 LE Tilburg, The Netherlands |
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Abstract: | We present a novel regression method that combines projection pursuit regression with feed forward neural networks. The algorithm is presented and compared to standard neural network learning. Connectionist projection pursuit regression (CPPR) is applied to modelling the U.S. average dollar-Deutsch mark exchange rate movement using several economic indicators. The performance of CPPR is compared with the performances of other approaches to this problem. |
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Keywords: | projection pursuit regression neural networks forex modelling |
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