Research output: Contribution to journal › Article › peer-review
Multi-regression Forecast in Stochastic Chaos. / Мусаев, Александр Азерович; Макшанов, Андрей; Григорьев, Дмитрий Алексеевич.
In: Computational Economics, 04.08.2023.Research output: Contribution to journal › Article › peer-review
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TY - JOUR
T1 - Multi-regression Forecast in Stochastic Chaos
AU - Мусаев, Александр Азерович
AU - Макшанов, Андрей
AU - Григорьев, Дмитрий Алексеевич
PY - 2023/8/4
Y1 - 2023/8/4
N2 - This paper addresses the challenge of short-term forecasting for processes modeled as output signals of nonlinear dynamic systems in unstable environments with non-stationary, non-Gaussian interference. Traditional computational forecasting methods are often ineffective for such chaotic processes, which exhibit exponential divergence of trajectories. We propose a solution based on multidimensional correlations with other processes in the same environment. Our main hypothesis, supported by previous research, is that the dynamics of mutual connections have higher inertia than the initial processes. This allows us to form a short-term forecast using modified multidimensional regression analysis techniques.
AB - This paper addresses the challenge of short-term forecasting for processes modeled as output signals of nonlinear dynamic systems in unstable environments with non-stationary, non-Gaussian interference. Traditional computational forecasting methods are often ineffective for such chaotic processes, which exhibit exponential divergence of trajectories. We propose a solution based on multidimensional correlations with other processes in the same environment. Our main hypothesis, supported by previous research, is that the dynamics of mutual connections have higher inertia than the initial processes. This allows us to form a short-term forecast using modified multidimensional regression analysis techniques.
KW - Asset management
KW - Forecasting
KW - Multi-regression data analysis
KW - Multidimensional statistical analysis
KW - Sliding observation window
KW - Stochastic chaos
UR - https://www.mendeley.com/catalogue/a5c390ef-98ca-382a-b0fd-126db4a49491/
U2 - 10.1007/s10614-023-10440-0
DO - 10.1007/s10614-023-10440-0
M3 - Article
JO - Computational Economics
JF - Computational Economics
SN - 0927-7099
ER -
ID: 107666153