IDEAS home Printed from https://ideas.repec.org/a/wly/jforec/v35y2016i1p70-85.html
   My bibliography  Save this article

Signal Diffusion Mapping: Optimal Forecasting with Time‐Varying Lags

Author

Listed:
  • Paul Gaskell
  • Frank McGroarty
  • Thanassis Tiropanis

Abstract

We introduce a new methodology for forecasting, which we call signal diffusion mapping. Our approach accommodates features of real‐world financial data which have been ignored historically in existing forecasting methodologies. Our method builds upon well‐established and accepted methods from other areas of statistical analysis. We develop and adapt those models for use in forecasting. We also present tests of our model on data in which we demonstrate the efficacy of our approach. Copyright © 2015 John Wiley & Sons, Ltd.

Suggested Citation

  • Paul Gaskell & Frank McGroarty & Thanassis Tiropanis, 2016. "Signal Diffusion Mapping: Optimal Forecasting with Time‐Varying Lags," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(1), pages 70-85, January.
    • Handle: RePEc:wly:jforec:v:35:y:2016:i:1:p:70-85
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jforec:v:35:y:2016:i:1:p:70-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.