This article is cited in 2 papers

Short Notes

The use of the inverse problem of spectral analysis to forecast time series

A. I. Sedov

Nosov Magnitogorsk State Technical University, Magnitogorsk, Russian Federation

Abstract: The paper proposes a new method to forecast time series. We assume that a time series is a sequence of eigenvalues of a discrete self-adjoint operator acting in a Hilbert space. In order to construct such an operator, we use the theory of solving inverse problems of spectral analysis. The paper gives a theoretical justification for the proposed method. An algorithm for solving the inverse problem is given. Also, we give an example of constructing a differential operator whose eigenvalues practically coincide with a given time series.

Keywords: inverse spectral problem, perturbation theory, time series.

UDC: 517.984.64

MSC: 47A55, 47A05, 34A55

Received: 25.02.2019

Language: English

DOI: 10.14529/jcem190108

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