A differential geometric approach to time series forecasting
| Autor: | Babak Emami |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
0209 industrial biotechnology
Series (mathematics) Geodesic Applied Mathematics Connection (vector bundle) Tangent 020206 networking & telecommunications 02 engineering and technology Manifold Computational Mathematics 020901 industrial engineering & automation Differential geometry 0202 electrical engineering electronic engineering information engineering Tangent space Applied mathematics Mathematics::Differential Geometry Solving the geodesic equations Mathematics |
| Zdroj: | Applied Mathematics and Computation. 402:126150 |
| ISSN: | 0096-3003 |
| DOI: | 10.1016/j.amc.2021.126150 |
| Popis: | A differential geometry based approach to time series forecasting is proposed. Given observations over time of a set of correlated variables, it is assumed that these variables are components of vectors tangent to a real differentiable manifold. Each vector belongs to the tangent space at a point on the manifold, and the collection of all vectors forms a path on the manifold, parametrized by time. We compute a manifold connection such that this path is a geodesic. The future of the path can then be computed by solving the geodesic equations subject to appropriate boundary conditions. This yields a forecast of the time series variables. |
| Databáze: | OpenAIRE |
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