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Multi-step ahead forecasting using complex-valued vector autoregregression
Multi-step ahead forecasting using complex-valued vector autoregregression
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机译:基于复值向量自回归的多步预测
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摘要
Computer-implemented methods, computer program products, and systems are provided for multi-step ahead forecasting. A method includes configuring, by a processor device, a Vector Autoregression (VAR) model to generate a multi-step-ahead forecast based on previous observations. The previous observations are predictors and the multi-step-ahead forecast is a response to the predictors. The method further includes training, by the processor device, the VAR model using complex-valued weight parameters to avoid a training result relating to any of a divergence and a convergence to zero.
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