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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 [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 2009, ] (Unpublished)
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Official URL: http://eprints.ucm.es/8588/
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 |
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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 |
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