Signal diffusion mapping: optimal forecasting with time-varying lags

DOI10.1002/FOR.2365MaRDI QIDQ4687583zbMATH OpenOpenAlexFDO

Authors Paul Gaskell, Frank McGroarty, Thanassis Tiropanis

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.6443

zbMATH Keywords

Bayes estimatorscausalitylead-lagparticle filters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Abstract: We introduce a new methodology for forecasting which we call Signal Diffusion Mapping. Our approach accommodates features of real world financial data which have been ignored historically in existing forecasting methodologies. Our method builds upon well-established and accepted methods from other areas of statistical analysis. We develop and adapt those models for use in forecasting. We also present tests of our model on data in which we demonstrate the efficacy of our approach.

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• A time-varying diffusion index forecasting model
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