A closed solution to the Fokker–Planck equation applied to forecasting

Closed solutions to the Fokker–Planck equation with linear and quadratic diffusion terms have been generated. These are applied to forecasting time series to generate a probability distribution for the next point, rather than a single point estimate as in autoregression. The parameters in these models are dynamically estimated from past data. The resulting solutions are compared to a conventional autoregressive approach with encouraging results.

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Year of publication:	2015
Authors:	Montagnon, Chris
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 420.2015, C, p. 14-22
Publisher:	Elsevier
Subject:	Forecasting \| Fokker–Planck \| Closed solutions \| Autoregression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011117919