A closed solution to the Fokker–Planck equation applied to forecasting

Chris Montagnon

Physica A: Statistical Mechanics and its Applications, 2015, vol. 420, issue C, 14-22

Abstract: Closed solutions to the Fokker–Planck equation with linear and quadratic diffusion terms have been generated. These are applied to forecasting time series to generate a probability distribution for the next point, rather than a single point estimate as in autoregression. The parameters in these models are dynamically estimated from past data. The resulting solutions are compared to a conventional autoregressive approach with encouraging results.

Keywords: Forecasting; Fokker–Planck; Closed solutions; Autoregression (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:420:y:2015:i:c:p:14-22

DOI: 10.1016/j.physa.2014.10.079

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