Forecasting by splitting a time series using singular value decomposition then using both ARMA and A Fokker Planck equation

DOI10.1016/j.physa.2020.125708OpenAlexW3117534238MaRDI QIDQ2066065

C. E. Montagnon

Publication date: 13 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125708

zbMATH Keywords

SVDsplittingforecastingARMAtime-seriesFokker-Planck

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Forecasting with the Fokker-Planck model: Bayesian setting of parameter
• The Fokker-Planck equation. Methods of solutions and applications.
• A note on estimating drift and diffusion parameters from time series
• Fokker–Planck equations in the modeling of socio-economic phenomena
• Variational Mode Decomposition

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