Weighted Fixed Points in Self-Similar Analysis of Time Series

Details Weighted Fixed Points in Self-Similar Analysis of Time Series Weighted Fixed Points in Self-Similar Analysis of Time Series

1999-07-27

arxiv.org/abs/cond-mat/9907422v2

Int. J. Mod. Phys. B 13 (1999) 1463-1476

Physics

Condensed Matter

two additional references are included

Scientific paper

10.1142/S021797929900151X

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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