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Article type: Research Article
Authors: He, Liua | Zhu, Yuanguoa; * | Ye, Tingqingb
Affiliations: [a] School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing, Jiangsu, China | [b] School of Science, China University of Geosciences (Beijing), Beijing, China
Correspondence: [*] Corresponding author. Yuanguo Zhu, School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094 Jiangsu, China. E-mail: [email protected].
Abstract: In recent years, uncertain fractional differential equations was proposed for the description of complex uncertain dynamic systems with historical characteristics. For wider applications of uncertain fractional differential equations, researches on parameter estimation for uncertain fractional differential equations are of great importance. In this paper, based on the thought of least squares estimation and uncertain hypothesis test, an algorithm of parameter estimation for uncertain fractional differential equations is discussed. Finally, we consider the application of uncertain fractional differential equations based model to predict the forecasting stock price of three major indexes of U.S. stocks and make a comparison between uncertain fractional differential equations, uncertain differential equations and stochastic differential equations.
Keywords: Uncertainty theory, Uncertain fractional differential equations, Parameter estimation, Least squares estimation, Uncertain stock price model
DOI: 10.3233/JIFS-237977
Journal: Journal of Intelligent & Fuzzy Systems, vol. 46, no. 4, pp. 9739-9753, 2024
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