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LICORS: Light Cone Reconstruction of States for Non-parametric Forecasting of Spatio-Temporal Systems

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journal contribution
posted on 01.05.2014 by Georg M. Goerg, Cosma Shalizi

We present a new, non-parametric forecasting method for data where continuous values are observed discretely in space and time. Our method, light- cone reconstruction of states (LICORS), uses physical principles to identify predictive states which are local properties of the system, both in space and time. LICORS discovers the number of predictive states and their predictive distributions automatically, and consistently, under mild assumptions on the data source. We provide an algorithm to implement our method, along with a cross-validation scheme to pick control settings. Simulations show that CV-tuned LICORS outperforms standard methods in forecasting challenging spatio-temporal dynamics. Our work provides applied researchers with a new, highly automatic method to analyze and forecast spatio-temporal data.

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Publisher Statement

Copyright Institute of Statistical Science, Academia Sinica

Date

01/05/2014

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