Weighted Fixed Points in Self-Similar Analysis of Time Series
Condensed Matter
2009-10-31 v2
Abstract
The self-similar analysis of time series is generalized by introducing the notion of scenario probabilities. This makes it possible to give a complete statistical description for the forecast spectrum by defining the average forecast as a weighted fixed point and by calculating the corresponding a priori standard deviation and variance coefficient. Several examples of stock-market time series illustrate the method.
Keywords
Cite
@article{arxiv.cond-mat/9907422,
title = {Weighted Fixed Points in Self-Similar Analysis of Time Series},
author = {V. I. Yukalov and S. Gluzman},
journal= {arXiv preprint arXiv:cond-mat/9907422},
year = {2009}
}
Comments
two additional references are included