Guégan, Dominique; Leroux, Justin - Institut d'Économie Appliquée, HEC Montréal (École … - 2007
We propose a novel methodology for forecasting chaotic systems which is based on the nearest-neighbor predictor and improves upon it by incorporating local Lyapunov exponents to correct for its inevitable bias. Using simulated data, we show that gains in prediction accuracy can be substantial....