IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v420y2015icp14-22.html
   My bibliography  Save this article

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

Author

Listed:
  • Montagnon, Chris

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.

Suggested Citation

  • Montagnon, Chris, 2015. "A closed solution to the Fokker–Planck equation applied to forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 14-22.
    • Handle: RePEc:eee:phsmap:v:420:y:2015:i:c:p:14-22
    DOI: 10.1016/j.physa.2014.10.079
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437114009170
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2014.10.079?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Czechowski, Zbigniew & Telesca, Luciano, 2013. "Construction of a Langevin model from time series with a periodical correlation function: Application to wind speed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5592-5603.
    2. Medino, Ary V. & Lopes, Sílvia R.C. & Morgado, Rafael & Dorea, Chang C.Y., 2012. "Generalized Langevin equation driven by Lévy processes: A probabilistic, numerical and time series based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 572-581.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Polotto, Franciele & Drigo Filho, Elso & Chahine, Jorge & Oliveira, Ronaldo Junio de, 2018. "Supersymmetric quantum mechanics method for the Fokker–Planck equation with applications to protein folding dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 286-300.
    2. Habibi, Noora & Lashkarian, Elham & Dastranj, Elham & Hejazi, S. Reza, 2019. "Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker–Planck equations for special stochastic process in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 750-766.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Montagnon, C.E., 2021. "Forecasting by splitting a time series using Singular Value Decomposition then using both ARMA and a Fokker Planck equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    2. Montagnon, Chris, 2017. "Forecasting with the Fokker–Planck model: Bayesian setting of parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 253-262.
    3. Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:420:y:2015:i:c:p:14-22. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.