Forecasting with the Fokker–Planck model: Bayesian setting of parameter
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DOI: 10.1016/j.physa.2016.12.005
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- 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.
- 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.
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Keywords
Probability distribution; Fokker–Planck equation; Bayesian parameter selection; Stock reduction;All these keywords.
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