Publications by authors named "Detlef Holstein"

Based on information theory, we present a method to determine an optimal Markov approximation for modeling and prediction from time series data. The method finds a balance between minimal modeling errors by taking as much as possible memory into account and minimal statistical errors by working in embedding spaces of rather small dimension. A key ingredient is an estimate of the statistical error of entropy estimates.

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We investigate precursors and the predictability of extreme increments in a time series. The events we are focusing on consist in large increments within successive time steps. We are especially interested in understanding how the quality of the predictions depends on the strategy to choose precursors, on the size of the event, and on the correlation strength.

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