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Multi-step-ahead Multivariate Predictors: A Comparative Analysis

Cescon, Marzia LU and Johansson, Rolf LU (2010) 49th IEEE Conference on Decision and Control p.2837-2842
Abstract
The focus of this article is to undertake a comparative analysis of multi-step-ahead linear multivariate predictors. The approach considered for the estimation will be based on geometrically reliable linear algebra tools, resorting to subspace identification methods. A crucial issue is quantification of both bias error and variance affecting the estimate of the prediction for increasing values of the look ahead when only a small number of samples is available. No complete theory is available so far, nor sufficient numerical experience. Therefore, the analysis of this paper aims at shading some lights on the topic providing some insights and help to develop some intuitions.
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author
organization
publishing date
type
Contribution to conference
publication status
published
subject
pages
2837 - 2842
conference name
49th IEEE Conference on Decision and Control
external identifiers
  • WOS:000295049103047
  • Scopus:79953159314
language
English
LU publication?
yes
id
02d43334-9d44-4e44-a31d-156cf72c5c17 (old id 1789264)
date added to LUP
2011-02-22 09:57:03
date last changed
2016-10-13 05:00:11
@misc{02d43334-9d44-4e44-a31d-156cf72c5c17,
  abstract     = {The focus of this article is to undertake a comparative analysis of multi-step-ahead linear multivariate predictors. The approach considered for the estimation will be based on geometrically reliable linear algebra tools, resorting to subspace identification methods. A crucial issue is quantification of both bias error and variance affecting the estimate of the prediction for increasing values of the look ahead when only a small number of samples is available. No complete theory is available so far, nor sufficient numerical experience. Therefore, the analysis of this paper aims at shading some lights on the topic providing some insights and help to develop some intuitions.},
  author       = {Cescon, Marzia and Johansson, Rolf},
  language     = {eng},
  pages        = {2837--2842},
  title        = {Multi-step-ahead Multivariate Predictors: A Comparative Analysis},
  year         = {2010},
}