Predictive accuracy for chaotic economic models

被引：6

作者：

Bordignon, S ^{[1
]}

Lisi, F ^{[1
]}

机构：

[1] Univ Padua, Dept Stat, I-35122 Padua, Italy

来源：

ECONOMICS LETTERS | 2001年 / 70卷 / 01期

关键词：

prediction; nonlinear economic models; chaotic dynamics; interval prediction;

D O I：

10.1016/S0165-1765(00)00352-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this work we present a technique to obtain prediction intervals for chaotic data. Using nearest neighbors method we give estimates of local variance and percentiles of the prediction error distribution. This allows to define an interval containing a future value with a given probability. Its effectiveness is shown with data generated by a chaotic economic model. (C) 2001 Elsevier Science B.V. All rights reserved. JEL classification: C53; C22.

引用

页码：51 / 58

页数：8

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