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

作者：Montagnon Chris^*

来源：Physica A: Statistical Mechanics and Its Applications , 2015, 420: 14-22.

DOI：10.1016/j.physa.2014.10.079

• Forecasting
• Fokker-Planck
• Closed solutions
• Autoregression

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.

• 出版日期2015-2-15