Long-Term Prediction of Time Series Using State-Space Models
Elia Liitiäinen and Amaury Lendasse
Artificial Neural Networks – ICANN 2006
Lecture Notes in Computer Science
, Berlin / Heidelberg
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 estimation 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.