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Forecasting linear dynamical systems using subspace methods


García Hiernaux, Alfredo (2009) Forecasting linear dynamical systems using subspace methods. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0902, 2009, ] (Unpublished)


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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.

Item Type:Working Paper or Technical Report
Additional Information:

JEL Classification: C53,C22,E27

Uncontrolled Keywords:Forecasting, Subspace methods, Combining forecasts.
Subjects:Social sciences > Economics > Finance
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:8588

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Deposited On:03 Mar 2009 09:40
Last Modified:06 Feb 2014 08:10

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