Forecasting linear dynamical systems using subspace methods

A new procedure to predict with subspace methods is presented in this paper. It is based on combining multiple forecasts obtained from setting a range of values for a specic parameter that is typically xed by the user in the subspace methods literature. An algorithm to compute these predictions and to obtain a suitable number of combinations is provided. The procedure is illustrated by forecasting the German gross domestic product.

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Year of publication:	2009
Authors:	García-Hiernaux, Alfredo
Institutions:	Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
Subject:	Forecasting \| Subspace methods \| Combining forecasts

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Extent:	application/pdf
Series:	Documentos de Trabajo del ICAE.
Type of publication:	Book / Working Paper
Language:	English
Notes:	16 pages
Classification:	C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models ; E27 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005115648