AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING

DOI10.1111/J.1467-9892.1993.TB00168.XMaRDI QIDQ4272776zbMATH OpenOpenAlexFDO

Authors Liang Wang, Bao Liu, Gaëtan Libert

Publication date 20 December 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00168.x

zbMATH Keywords

time seriesidentification algorithmforecasting accuracysingular value decomposition techniqueinnovation state space modelling approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

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• Calculating the Singular Values and Pseudo-Inverse of a Matrix
• Identification of optimum filter steady-state gain for systems with unknown noise covariances
• Modeling Multiple Times Series with Applications
• Numerical linear algebra aspects of control design computations
• On the identifiability of parameters
• Realization and reduction of Markovian models from nonstationary data
• Structure determination and parameter identification for multivariable stochastic linear systems

Cited in

(7)

• A two-step state space time series modeling method
• A State Space Modeling Approach for Time Series Forecasting
• Modelling and forecasting based on recursive incomplete pseudoinverse matrices
• Forecasting time series with multiple seasonal patterns
• Modeling economic time series by forward and backward state space innovation models and IV estimators
• Forecasting international growth rates with leading indicators: A system- theoretic approach
• Observable trend-projecting state-space models

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