Forecasting linear dynamical systems using subspace methods

• Autores: Alfredo Garcia-Hiernaux
• Localización: Documentos de Trabajo (ICAE), ISSN-e 2341-2356, Nº. 2, 2009, págs. 1-15
• Idioma: inglés
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• Resumen

  • This paper presents a novel approach to predict with subspace methods.

    It consists in combining multiple forecasts obtained from setting a range of values for a speci c parameter that is typically xed by the user in this literature. Two procedures are proposed. The rst one combines all the forecast in a particular range. The second one predicts with a restricted number of combinations previously optimized. Both methods are evaluated using Monte Carlo experiments and by forecasting the German gross domestic product.