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Multi-step-ahead Multivariate Predictors: A Comparative Analysis

Cescon, Marzia LU and Johansson, Rolf LU orcid (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.
Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
host publication
Proc. 49th IEEE Conf. Decision and Control (CDC2010)
pages
2837 - 2842
conference name
49th IEEE Conference on Decision and Control
conference location
Atlanta, Georgia, United States
conference dates
2010-12-15
external identifiers
  • wos:000295049103047
  • scopus:79953159314
project
DIAdvisor
language
English
LU publication?
yes
id
02d43334-9d44-4e44-a31d-156cf72c5c17 (old id 1789264)
date added to LUP
2016-04-04 14:08:21
date last changed
2022-02-15 18:04:23
@inproceedings{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}},
  booktitle    = {{Proc. 49th IEEE Conf. Decision and Control (CDC2010)}},
  language     = {{eng}},
  pages        = {{2837--2842}},
  title        = {{Multi-step-ahead Multivariate Predictors: A Comparative Analysis}},
  url          = {{https://lup.lub.lu.se/search/files/62894117/8168883.pdf}},
  year         = {{2010}},
}