Fractional Lévy stable motion: Finite difference iterative forecasting model

He Liu, Wanqing Song, Ming Li, Aleksey Kudreyko and Enrico Zio

Chaos, Solitons & Fractals, 2020, vol. 133, issue C

Abstract: In this study we use the fractional Lévy stable motion (fLsm) to establish a finite iterative forecasting model with Long Range Dependent (LRD) characteristics. The LRD forecasting model considers the influence of current and past trends in stochastic sequences on future trends. We find that the discussed model can accurately forecast the trends of stochastic sequences. This fact enables us to introduce the fLsm as the fractional-order model of Lévy stable motion. Self-similarity and LRD characteristics of the flsm model is introduced by using the relationship between self-similar index and the characteristic index. Thus, the order Stochastic Differential Equation (FSDE) which describes the fLsm can be obtained. The parameters of the FSDE were estimated by using a novel characteristic function method. The forecasting model with the LRD characteristics was obtained by discretization of FSDE. The Monte Carlo method was applied to demonstrate the feasibility of the forecasting model. The power load forecasting history data demonstrates the advantages of our model.

Keywords: Fractional Lévy stable motion; Long-range dependence; Stochastic differential equation; Forecasting model (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:133:y:2020:i:c:s096007792030031x

DOI: 10.1016/j.chaos.2020.109632

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