Predictive accuracy for chaotic economic models
نویسندگان
چکیده
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. 2001 Elsevier Science B.V. All rights reserved.
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