Prediction in Chaotic Time Series: Methods and Comparisons Using Simulations.

In this paper, we describe and compare three methods that can be used in forecasting chaotic time series. We simulate four well known chaos and apply the methods developed here. We discuss the existence of measure noise and structural noise and their impact on predictions. Particular attention is paid to the sampling time step used in the study of continuous time dynamical systems, in view to obtain an optimal sampling time step for predictions.

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Year of publication:	1996
Authors:	Guegan, D. ; Mercier, L.
Subject:	MATHEMATICS \| ECONOMETRICS \| TIME SERIES

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Type of publication:	Book / Working Paper
Notes:	22 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; C10 - Econometric and Statistical Methods: General. General ; C19 - Econometric and Statistical Methods: General. Other ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671552