Date of Original Version

8-2012

Type

Technical Report

Rights Management

All Rights Reserved

Abstract or Description

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.

Share

COinS