Statistical Inference of 1D Persistent Nonlinear Time Series and Application to Predictions
arXiv:2107.14619 · doi:10.1103/PhysRevResearch.4.013206
Abstract
We introduce a method for reconstructing macroscopic models of one-dimensional stochastic processes with long-range correlations from sparsely sampled time series by combining fractional calculus and discrete-time Langevin equations. The method is illustrated for the ARFIMA(1,d,0) process and a nonlinear auto-regressive toy model with multiplicative noise. We reconstruct a model for daily mean temperature data recorded at Potsdam (Germany) and use it to predict the first frost date by computing the mean first passage time of the reconstructed process and the zero degree Celsius temperature line, illustrating the potential of long-memory models for predictions in the subseasonal-to-seasonal range.
arXiv comment7 pages, 6 Figures
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