Forecasting linear dynamical systems using subspace methods

DOI10.1111/J.1467-9892.2010.00704.XMaRDI QIDQ5495692zbMATH OpenOpenAlexFDO

Authors A. García-Hiernaux

Publication date 6 August 2014

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00704.x

zbMATH Keywords

combining forecastsforecastingsubspace methods

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Recommendations

• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Subspace-based prediction of linear time-varying stochastic systems
• Forecasting using random subspace methods
• An Alternative to Transfer Function Forecasting Based on Subspace Methods
• Linear programming in the forecasting of optimal dynamic systems
• A subspace approach to linear dynamical systems
• A linear regression approach to state-space subspace system identification
• A subspace fitting method for identification of linear state-space models
• scientific article; zbMATH DE number 4157734
• Subspace predictive control for linear parameter varying system

Cites work

• A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
• Algorithm 808
• Business cycle analysis and VARMA models
• Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
• Consistency and relative efficiency of subspace methods
• Estimating cointegrated systems using subspace algorithms
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Estimating the dimension of a model
• Estimating the system order by subspace methods
• Fast estimation methods for time-series models in state–space form
• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Subspace methods for system identification.
• Unit roots and cointegration modelling through a family of flexible information criteria

Cited in

(4)

• Forecasting for big data: does suboptimality matter?
• Forecasting using random subspace methods
• An Alternative to Transfer Function Forecasting Based on Subspace Methods
• Identification of canonical models for vectors of time series: a subspace approach

Describes a project that uses

Uses Software

• ARfit

This page was built for publication: Forecasting linear dynamical systems using subspace methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5495692)