Nonparametric, nonlinear, short-term forecasting: Theory and evidence for nonlinearities in the commodity markets. (English) Zbl 1027.91511
Summary: In this paper we modify and investigate a nonparametric, nearest-neighbor forecasting method. We compare a minimal ‘volume’ simplex method, constructed out of the \(E+1\) \(E\)-dimensional points, with the \(E+1\) nearest points method. We then show nonlinearities in some precious metals commodities.
MSC:
| 91B82 | Statistical methods; economic indices and measures |
| 91B26 | Auctions, bargaining, bidding and selling, and other market models |
References:
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