A differential geometric approach to time series forecasting

Babak Emami

Applied Mathematics and Computation, 2021, vol. 402, issue C

Abstract: A differential geometry based approach to time series forecasting is proposed. Given observations over time of a set of correlated variables, it is assumed that these variables are components of vectors tangent to a real differentiable manifold. Each vector belongs to the tangent space at a point on the manifold, and the collection of all vectors forms a path on the manifold, parametrized by time. We compute a manifold connection such that this path is a geodesic. The future of the path can then be computed by solving the geodesic equations subject to appropriate boundary conditions. This yields a forecast of the time series variables.

Keywords: Time series; Forecast; Manifolds; Geodesic (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:402:y:2021:i:c:s0096300321001983

DOI: 10.1016/j.amc.2021.126150

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