Deterministic and probabilistic forecasting in reconstructed state spaces

MaRDI QIDQ5326238zbMATH OpenFDO

Authors Holger Kantz, Eckehard Olbrich

Publication date 31 July 2013

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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(9)

• Forecasting the underlying potential governing the time series of a dynamical system
• A closed solution to the Fokker-Planck equation applied to forecasting
• Forecasting by splitting a time series using singular value decomposition then using both ARMA and A Fokker Planck equation
• Forecasting: predictability, probability, and persistence
• On the limits of probabilistic forecasting in nonlinear times series analysis
• scientific article; zbMATH DE number 759419 (Why is no real title available?)
• Deterministic prediction theory
• Probabilistic evaluation of time series models: a comparison of several approaches
• State-Space Reconstruction and Spatio-Temporal Prediction of Lattice Dynamical Systems

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