Learning from the past, predicting the statistics for the future, learning an evolving system
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References listed on IDEAS
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- Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
- Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013. "Extracting information from the signature of a financial data stream," Papers 1307.7244, arXiv.org, revised Jul 2014.
- Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2022. "Applications of Signature Methods to Market Anomaly Detection," Papers 2201.02441, arXiv.org, revised Feb 2022.
- Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
- Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2013-09-06 (Central and Western Asia)
- NEP-ECM-2013-09-06 (Econometrics)
- NEP-FOR-2013-09-06 (Forecasting)
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