A novel signal extraction approach for filtering and forecasting noisy exponential series

作者：Hassani Hossein^*; Kalantari Mahdi

来源：Comptes Rendus Mathematique, 2018, 356(5): 563-570.

DOI：10.1016/j.crma.2018.03.006

The coefficients of Linear Recurrent Relations (LRR) play a pivotal role in many forecasting techniques. Precise and closed form of the LRR coefficients enables one to achieve more accurate forecasts. On account to the fact that, in real-world situations, a time series data is contaminated with noise, extracting the noiseless series is of great importance. This paper seeks to obtain a closed form, with less noise level, of LRR coefficients for noisy exponential time series. Improving the filtering performance through employing noiseless eigenvectors of the covariance matrix is another novelty of this study. Our simulation results confirm that the proposed approach enhances filtering and forecasting results.

• 出版日期2018-5