Forecasting linear dynamical systems using subspace methods

Alfredo Garcia-Hiernaux

No 2009-02, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

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 speci c 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.

Keywords: Forecasting; Subspace methods; Combining forecasts. (search for similar items in EconPapers)
JEL-codes: C22 C53 E27 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-for
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Journal Article: Forecasting linear dynamical systems using subspace methods (2011)
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