Publication: Forecasting linear dynamical systems using subspace methods
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2009
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
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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.
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