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Optimal transformations for prediction in continuous-time stochastic processes: finite past and future

โœ Scribed by Basilis Gidas; Alejandro Murua

Publisher
Springer
Year
2005
Tongue
English
Weight
198 KB
Volume
131
Category
Article
ISSN
1432-2064

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In this paper, a linear model for forecasting a continuous-time stochastic process in a future interval in terms of its evolution in a past interval is developed. This model is based on linear regression of the principal components in the future against the principal components in the past. In order