کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102908 1480102 2017 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting with the Fokker-Planck model: Bayesian setting of parameter
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Forecasting with the Fokker-Planck model: Bayesian setting of parameter
چکیده انگلیسی
Using a closed solution to a Fokker-Planck model of a time series, a probability distribution for the next point in the time series is developed. This probability distribution has one free parameter. Various Bayesian approaches to setting this parameter are tested by forecasting some real world time series. Results show a more than 25% reduction in the '95% point' of the probability distribution (the safety stock required in these real world situations), versus the conventional ARMA approach, without a significant increase in actuals exceeding this level.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 471, 1 April 2017, Pages 253-262
نویسندگان
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