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Long-Term Prediction of Time Series Using State-Space Models

Long-Term Prediction of Time Series Using State-Space Models,10.1007/11840930_19,Elia Liitiäinen,Amaury Lendasse

Long-Term Prediction of Time Series Using State-Space Models   (Citations: 1)
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State-space models offer a powerful modelling tool for time series prediction. However, as most algorithms are not optimized for long- term prediction, it may be hard to achieve good prediction results. In this paper, we investigate Gaussian linear regression filters for parameter es- timation in state-space models and we propose new long-term prediction strategies. Experiments using the EM-algorithm for training of nonlinear state-space models show that significant improvements are possible with no additional computational cost.
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