Long-term prediction of time series using state-space models

Abstract

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. © Springer-Verlag Berlin Heidelberg 2006.