One-Step Prediction of Chaotic Time Series by Multivariate Reconstruction.

It is well known that when we have to do with possibly chaotic time series, it needs to reconstruct a pseudo state space. In this paper it has been studied, via simulations, a possible multivariate reconstruction and its effects on the one step prediction.

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Year of publication:	1997
Authors:	Lisi, F.
Subject:	EXCHANGE RATE \| TIME SERIES \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; F30 - International Finance. General ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641081