Dynamic prediction of financial distress based on Kalman filtering

DOI10.1155/2014/370280MaRDI QIDQ2321384zbMATH OpenOpenAlexWikidataFDO

Authors Qian Zhuang, Lianghua Chen

Publication date 23 August 2019

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/370280

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Review text

Summary: The widely used discriminant models currently for financial distress prediction have deficiencies in dynamics. Based on the dynamic nature of corporate financial distress, dynamic prediction models consisting of a process model and a discriminant model, which are used to describe the dynamic process and discriminant rules of financial distress, respectively, is established. The operation of the dynamic prediction is achieved by Kalman filtering algorithm. And a general \(n\)-step-ahead prediction algorithm based on Kalman filtering is deduced in order for prospective prediction. An empirical study for China's manufacturing industry has been conducted and the results have proved the accuracy and advance of predicting financial distress in such case.

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Cites work

• Introduction to random signals and applied Kalman filtering. With Matlab exercises and solutions
• Kalman filter-based identification for systems with randomly missing measurements in a network environment
• Time series analysis by state space methods.

Cited in

(7)

• Evolutionary prediction of nonstationary event popularity dynamics of Weibo social network using time-series characteristics
• Online estimation for a predictive analytics platform with a financial-stability-analysis application
• Bayesian kernel based classification for financial distress detection
• PREDICTION OF FINANCIAL DISTRESS BY MULTIVARIATE STATISTICAL ANALYSIS: THE CASE OF FIRMS TAKEN INTO THE SURVEILLANCE MARKET IN THE ISTANBUL STOCK EXCHANGE
• Empirical models based on features ranking techniques for corporate financial distress prediction
• Dynamic financial distress prediction based on Kalman filtering
• Improving accuracy of financial distress prediction by considering volatility: an interval-data-based discriminant model

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