García Hiernaux, Alfredo / A (2009) Forecasting linear dynamical systems using subspace methods. [Working Paper or Technical Report] (Unpublished)
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Abstract
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 |
| Volume: | 2009 |
| Number: | 0902 |
| ID Code: | 8588 |
| Deposited On: | 03 Mar 2009 10:40 |
| Last Modified: | 02 Nov 2010 12:15 |
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