Event Prediction Technique Based on Correlation Mapping and Fourier Decomposition
8 Pages Posted: 3 Mar 2023
Date Written: February 27, 2023
The method of predicting events based on correlation mapping and Fourier decomposition of relevant time series, which is presented in this paper, is intended for the predictive calculation of signs that an event will occur. As input data for calculating the forecast, in addition to the series that needs to be extended with forecast values, relevant series that are close in the content are used. The calculation is based on a model that calculates the correlations of the total values of the Fourier decomposition for all relevant time series with the historical series. In this case, a certain number of constant parameters of the Fourier decomposition is calculated as the result of solving the optimization problem. Based on the generated model and the values of constant parameters, further values of the initial series are calculated, that is, the predicted event is determined.
Keywords: Event Forecasting, Relevant Time Series, Fourier Decomposition, Correlation of Time Series, Correlation Mapping
JEL Classification: A13, C00, C6, C80
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