Weighted Fixed Points in Self-Similar Analysis of Time Series

V. I. Yukalov; S. Gluzman

doi:10.1142/s021797929900151x

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arXiv · cond-mat/9907422

Weighted Fixed Points in Self-Similar Analysis of Time Series

V. I. Yukalov·S. Gluzman

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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.

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V. I. Yukalov, S. Gluzman. 1999-07-28. Weighted Fixed Points in Self-Similar Analysis of Time Series. https://doi.org/10.1142/s021797929900151x

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