Forecastable Component Analysis
Georg M. Goerg · 2013
I introduce Forecastable Component Analysis (ForeCA), a novel dimension re-duction technique for temporally dependent signals. Based on a new forecastability measure, ForeCA finds an optimal transfor-mation to separate a multivariate time series into a forecastable and an orthogonal white noise space. I present a converging algorithm with a fast eigenvector solution. Applica-tions to financial and macro-economic time series show that ForeCA can successfully discover informative structure, which can be used for forecasting as well as classification. The R package ForeCA accompanies this work and is publicly available on CRAN. 1.