Forecasting with the Fokker-Planck model: Bayesian setting of parameter

DOI10.1016/J.PHYSA.2016.12.005MaRDI QIDQ1620462zbMATH OpenOpenAlexFDO

Authors Chris Montagnon

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2016.12.005

zbMATH Keywords

Fokker-Planck equationprobability distributionBayesian parameter selectionstock reduction

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

• A note on estimating drift and diffusion parameters from time series
• Handbook of economic forecasting. Volume 1
• The Fokker-Planck equation. Methods of solutions and applications.
• Time series: theory and methods.

Cited in

(3)

• A closed solution to the Fokker-Planck equation applied to forecasting
• Forecasting via Fokker-Planck using conditional probabilities
• Forecasting by splitting a time series using singular value decomposition then using both ARMA and A Fokker Planck equation

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