Universidad Complutense de Madrid
E-Prints Complutense

Forecasting linear dynamical systems using subspace methods

Impacto

Downloads

Downloads per month over past year



García Hiernaux, Alfredo (2009) Forecasting linear dynamical systems using subspace methods. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 2009, ] (Unpublished)

[img]
Preview
PDF
362kB

Official URL: http://eprints.ucm.es/8588/


URLURL Type
https://www.ucm.es/icaeOrganisation


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
Uncontrolled Keywords:Forecasting, Subspace methods, Combining forecasts.
Subjects:Social sciences > Economics > Finance
JEL:C53, C22, E27
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2009
Number:02
ID Code:8588
Deposited On:03 Mar 2009 09:40
Last Modified:07 Jun 2017 11:38

Origin of downloads

Repository Staff Only: item control page