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Forecasting: it is not about statistics, it is about dynamics

2009; Royal Society; Volume: 368; Issue: 1910 Linguagem: Inglês

10.1098/rsta.2009.0195

1471-2962

Kevin Judd, Thomas Stemler,

Time Series Analysis and Forecasting

In 1963, the mathematician and meteorologist Edward Lorenz published a paper (Lorenz 1963 J. Atmos. Sci. 20 , 130–141) that changed the way scientists think about the prediction of geophysical systems, by introducing the ideas of chaos, attractors, sensitivity to initial conditions and the limitations to forecasting nonlinear systems. Three years earlier, the mathematician and engineer Rudolf Kalman had published a paper (Kalman 1960 Trans. ASME Ser. D, J. Basic Eng. 82 , 35–45) that changed the way engineers thought about prediction of electronic and mechanical systems. Ironically, in recent years, geophysicists have become increasingly interested in Kalman filters, whereas engineers have become increasingly interested in chaos. It is argued that more often than not the tracking and forecasting of nonlinear systems has more to do with the nonlinear dynamics that Lorenz considered than it has to do with statistics that Kalman considered. A position with which both Lorenz and Kalman would appear to agree.