An Approach for the Determination of Predictable Time Series
Anja M. Busse, Detlef Steuer, Claus Weihs · RePEc: Research Papers in Economics · 2001
The forecasting of time series is one of the primary tasks in the analysis and modeling of unknown processes. Knowledge of predictability of a given time series can also be used to initially introduce a coarse classication for the modeling of the underlying processes. The main aim is to nd a facility for the separation into well-predictable and not-well-predictable processes without any information about the functional relationship of the process and with only the given data. We proposed a criterion for determination of predictable time series, which is given by the size of the Lyapunov exponent. 1