AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING

DOI10.1111/J.1467-9892.1993.TB00168.XzbMath0782.62089OpenAlexW2025307926MaRDI QIDQ4272776

Bao Liu, Liang Wang, Gaëtan Libert

Publication date: 20 December 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00168.x

zbMATH Keywords

time seriesidentification algorithmforecasting accuracysingular value decomposition techniqueinnovation state space modelling approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

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• Numerical linear algebra aspects of control design computations
• Realization and reduction of Markovian models from nonstationary data
• Modeling Multiple Times Series with Applications
• Structure determination and parameter identification for multivariable stochastic linear systems
• Identification of optimum filter steady-state gain for systems with unknown noise covariances
• Calculating the Singular Values and Pseudo-Inverse of a Matrix
• On the identifiability of parameters

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