Model misspecification tests, model building and predictability in complex systems

DOI10.1016/0167-2789(95)00283-9MaRDI QIDQ1913542zbMATH OpenOpenAlexFDO

Authors Radu Manuca, Robert Savit

Publication date 15 May 1996

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-2789(95)00283-9

zbMATH Keywords

misspecification testspredictabilityconditional probabilitiesreconstruction spaces

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Recommendations

• On selecting models for nonlinear time series
• Nonlinear prediction of chaotic time series
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• Model specification testing of time series regressions
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Cites work

• A test for independence based on the correlation dimension
• Dependent variables in broad band continuous time series
• State space reconstruction in the presence of noise
• Statistical tests for deterministic effects in broad band time series
• Testing for nonlinearity in time series: the method of surrogate data

Cited in

(6)

• Consistent nonlinear dynamics: identifying model inadequacy
• Recurrence plots revisited
• Inferring mechanism from time-series data: Delay-differential equations
• Link between statistical equilibrium fidelity and forecasting skill for complex systems with model error
• Predicting future responses based on possibly mis-specified working models
• Nonlinear structures in electroencephalogram signals

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