Forecasting chaotic systems: The role of local Lyapunov exponents
Résumé
We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov exponents of a system. This information is used to correct for the inevitable bias of most non-parametric predictors. Using simulated data, we show that gains in prediction accuracy can be substantial.
Domaines
Economies et finances| Origine | Fichiers produits par l'(les) auteur(s) |
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