Regret theory-based multivariate fusion prediction system and its application to interest rate estimation in multi-scale information systems.

Estimating interest rates is a typical multivariate prediction problem that has garnered considerable attention in the finance industry. However, the rising complexity of the prediction environment has presented significant obstacles to the methodology and application of traditional single-scale rational prediction models. Considering this challenge, the paper presents a new multivariate fusion prediction system that aims to tackle the following issues: (1) How to mine prediction information from multi-scale information systems (MSISs)? (2) How to describe the irrational behavior of decision-makers (DMs) in prediction processes? (3) How to improve the prediction performance and generalization capability of the models? Specifically, the score function of each feature under MSISs is primarily established by applying scale rules, regret theory (RT), and dominance relations to thoroughly explore prediction information across varying scales. Second, an adaptive S3WD model is developed for feature selection, which leverages the feature score distribution and the sequential three-way decision (S3WD) concept to avoid the problem of dimensional disasters, thereby improving the accuracy of selected features and reducing the learning cost. Furthermore, to enhance the effectiveness and rationality of the kernel extreme learning machine (KELM), an improved version known as IKELM is developed, which combines the regret-based comprehensive score of each sample. Finally, a multivariate fusion prediction system is constructed and abbreviated as an S3WD-IKELM-PSO system, where the particle swarm optimization (PSO) algorithm is employed to determine optimal parameters. It is worth noting that actual interest rate estimation datasets are utilized to verify the feasibility and validity of the proposed prediction system. According to the experimental results, the S3WD-IKELM-PSO system exhibits superior prediction performance and generalization ability compared to existing machine learning models.